SRP Wrapper Guide 2024

Wrapper Guide Europe 2024

Turn Data into Intelligence

The Application Programming Interface (API), is a web-based software application which allows clients to access our data in a controlled manner & integrate it using their own software packages & systems.

Retrieve

• Download real time SRP data directly to excel

• Receive market share on each asset class/payoff for each company of interest

Interrogate

• Monitor & increase your market share

• Carry out accurate trend analysis with comprenhensive product data spanning over 15 years in seconds

Incorporate

• Import data directly into in-house systems/platforms and interrogate the data and risk more effectively

• Combine data sets with other products and visualise it in the context of the larger business

Issuing wrappers

Structured products are available through a wide range of investment vehicles depending on the jurisdiction and include pooled funds, medium term notes, certificates, warrants and deposit wrappers, among others.

They may also qualify to be included in standard retail wrappers such as life insurance, individual savings accounts (ISAs) and pensions. Although the main focus when investing in structured products is the underlying investments used within it and the investor goal the wrapper is also important in determining suitability for end investors as the taxation treatment of the different wrapper is always a consideration.

While the choice of asset, sector and credit rating are the main concerns when using structured investments, an appropriate and efficient choice of tax wrapper is an important part of the product selection. Structured products offer access to innovative payoffs through different issuing wrappers. By doing so, they provide a solution to invest in a product with a tailormade risk-return profile in a cost-effective manner.

Unlike traditional stocks and bonds, structured products offer a unique approach to investing by combining various asset classes and financial instruments into a single package. These packages are structured to meet specific investment objectives while managing risk.

They often include a mix of traditional assets such as stocks, bonds, cash, derivatives, and other financial instruments with the goal of exposing investors to various markets and assets, all within a single, tax-efficient investment vehicle.

The different wrappers used by structured products have

their own legal status and are used by financial institutions to structure a pool of assets into one single security – OTC, note, certificates, warrants, funds, life insurance policy and structured deposits.

This report is not aimed at looking at the regulations and laws around the different wrappers but at shedding light on the different vehicles used in the global structured products market beyond those covered by the SRP database such as funds of structured products, AMCs and retirement products.

The SRP Structured Investments Guide is part of SRP’s educational initiatives to support and promote structured products as efficient and safe instruments to provide access to markets, deliver returns for retail investors and protect their capital, and the different instruments available for investors.

The guide showcases the different wrappers available in each regional market – Europe, Asia Pacific (Apac), and the Americas – as well as some of the main players in each category by region.

Most wrappers used in the structured products market are debt instruments issued by banks usually as senior unsecured debt that can be listed or not, but product providers can also use securitisation as alternative to more traditional forms of financing and credit enhancement such as AMCs, CLNs or tracker certificates.

Editorial: Amelie Labbé, Pablo Conde, Summer Wang, Marc Wolterink, Jocelyn Yang

Production: Paul Pancham

Marketing: Daniel Evans

Sales: Reihaneh Fakhari

Front cover image: AdobeStock

REPRINT POLICY:

If you are interested in having a similar bespoke report produced for your organisation, please contact:

Reihaneh Fakhari

T: +44 (0)20 7779 8220

M: +44 (0)79 8075 6761

E: Reihaneh@structuredretail products.com

SRP’s Reprint Policy: Articles published by SRP can be sent to sources for reference and for internal use only (including intranet posting and internal distribution). If an article is to be shared with a third party or re-published on a public website (i.e. a location on the World Wide Web that is accessible by anyone with a web browser and access to the internet), SRP offers reprints, PDFs of articles or advertisements, and the licensing to republish any content published on the SRP website. Prices vary depending on size, quantity and any additional requirements. To request authorisation to republish any Q&A, profile or feature published by SRP, please contact: info@structuredretailproducts.com

Europe

There are five main wrapper groups for structured products in Europe: securities, lifeinsurance, deposit, fund, and pension.

The former, which in 2023 comprised mostly of investment certificates and MTNs, but also a small amount of warrants, green bonds, and social bonds, captured 79% of the European market by sales volume during the year (2022: 86%).

Securities were big across Europe, but especially in DACH countries, with 2023 issuance in Switzerland alone reaching 223,932 products, according to SRP data. The securities wrapper also delivered high sales volumes in France and Italy, and again Switzerland.

The life insurance wrapper group, which predominately are unit-linked insurance plans, held 15% of the market – up five percentage points year-on-year (YoY), while the deposit wrapper, which is strong in Spain, but also the UK and Poland, claimed 4.4%.

The fund wrapper was mainly used in France but also had an impact in Belgium, where – despite only two funds being issued during the year – sales reached US$790m, while products wrapped as pension (0.7% market share) were mostly the domain of investors in the UK and Ireland.

Europe: wrapper group - market share by issuance*

Europe: top 10 issuers life insurance products by sales volume in 2023

Europe: top 5 issuers structured funds by sales volume in 2023

Europe: wrapper group - market share by sales volume*

Switzerland

Switzerland is the largest European market by issuance for structured products targeted at the primary market.

In 2023, almost 225,000 structured products were issued in the country – 10 times as many as the 20,230 products that were seen in Germany, the second biggest market for issuance.

Most Swiss products are investment certificates: 87% of all products issued in 2023 were linked to this wrapper type (2022: 90%). The remaining 13% were wrapped as MTN, while the warrants wrapper, which was sporadically used in previous years, was not seen in 2023. Sales figures show a similar picture, with 80% of all 2023 volumes linked to investment certificates and the rest invested in MTNs.

In 2023, UBS was the number one provider of investment

Switzerland: wrappers - market share by issuance*

certificates in Switzerland. The bank issued close to 70,000 structured certificates during the year – the equivalent of a 35% share of the market. UBS’ certificates offering in 2023 included 42,000 products linked to FX rates with EUR/USD the preferred currency pair.

Some 15,400 of the bank’s certificates were linked to a basket of shares with a further 10,500 products linked to a single stock. The shares of Lonza and Roche, both seen in 1,640 products were the most frequently used.

Vontobel claimed 19% of the Swiss certificates market by issuance in 2023 while Julius Baer, Leonteq and Zuercher Kantonalbank captured 12%, 7%, and 6.2%, respectively.

Switzerland: wrappers - market share by sales volume*

Switzerland: top 10 issuers investment certificates by issuance in 2023

Switzerland: top 10 issuers MTNs by issuance in 2023

Zuercher

BNP

Luzerner

Germany

In Germany, some 20,230 products were issued on the primary market in 2023, up from 20,140 in the previous year.

Of these, 12,700 (or 63% of all issuances) were investment certificates and 7,530 were MTNs.

Twenty-four different issuer groups were active during the year (2022: 22). Unicredit was the most prominent provider, issuing 7,500 products – split between 5,500 certificates and 2,000 MTNs. More than 90% of the bank’s products were linked to a single stock, with those of Mercedes Benz (697 products), Siemens (636), and Allianz (434) the preferred option of the German investors.

Landesbank Baden-Württemberg (LBBW) issued 2,850 certificates and around 1,050 notes in 2023, with 58% of its issuance linked to a single share; 32% tied to a single

Germany: wrappers - market share by issuance*

index; and the remaining 10% credit-linked. LBBW’s most popular stocks were the same compared to those offered by Unicredit, while the Eurostoxx 50 was its most used index (1,036 products), ahead of idDAX 50 ESG NR Decrement 4% PR EUR Index (202), and MSCI EMU SRI Select 30 Decrement 4.0% Index (136).

DZ Bank, another prominent German issuer, issued 1,284 products in 2023 – similar to its issuance in the previous year (2022: 1,304). Eighty-seven percent of DZ’s products were investment certificates while the Eurostoxx 50 (520 products), MSCI World SRI Sustainable Select 3.5% Decrement Index (95), and once again the shares of Siemens (49), Allianz (47), and Mercedes Benz (45) were its most popular underlyings.

Germany: wrappers - market share by sales volume*

Germany: top 10 issuers investment certificates by issuance in 2023

Germany: top 10 issuers MTNs by issuance in 2023

France

In France, the number of wrappers available is more extensive compared to Switzerland and Germany, with – aside from notes and certificates – products also available in green bond, fund-, and warrant format, although the latter has been fairly non-existent since 2019.

France: wrappers - market share by sales volume

Some 87% of all issuances in 2023 were wrapped as MTN; 12% were investment certificates; and the remaining one percent were green bonds and structured funds.

Out of a total of 18 MTN issuers, Société Générale (23%), Morgan Stanley (21%), and BNP Paribas (13%) were the biggest by issuance, with the latter also responsible for 94% of all issuance of investment certificates in 2023. By sales volume, Crédit Agricole captured 25% of the monies invested in MTNs, ahead of SG (17%), and Natixis (7.4%).

It has to be noted that products issued under the MTN wrapper in France are often also eligible via a life-insurance contract.

Structures wrapped as funds achieved their highest sales volumes in 2021, when 37 products collected an estimated US$3.2 billion – the equivalent of 10% of the whole market in that year.

By 2023, their market share had gone down to three percent, with an estimated US$1.3 billion gathered from 20 products that were issued via five different providers, of which Crédit Mutuel Arkéa claimed the highest volume (US$400m from four products).

France is the biggest European market for green bonds, with 33 products worth US$1.3 billion issued during 2023 (2022: US$1.6 billion from 50 products). In the past five years, there

France: green bonds - market share issuers by sales volume

have been nine different issuers of green bonds, however, in 2023 there were only four that actively issued products on this wrapper: Natixis, Crédit Mutuel Arkéa, CACIB, and La Banque Postale.

Of these, Natixis, which achieved a market share of 65% from 19 products, was the main issuer, followed by Crédit Mutuel Arkéa (26% from six products), and CACIB (nine percent from seven products).

Natixis’ green bond offering was linked to nine different single equity-indices – six of which were proprietary to the bank –including iEdge Europe Climate EW 40 Decrement 50 Points GTR Index (six products), iEdge ESG World SDG Decrement 5% NTR Index (three), iEdge ESG Transatlantic SDG 50 EW Decrement 5% NTR Index, and iEdge PAB Climate Objective 40 Euro Decrement 5% NTR Index (two each).

Crédit Mutuel Arkéa’s green bonds were linked to the Euro iStoxx Ocean Care 40 Decrement 5% Index (five products distributed via Arkéa Direct Bank) and S&P Core Eurozone 50 Paris-Aligned Transition ESG 5% Decrement Index (one product distributed via Federal Finance Gestion), respectively.

BNP Paribas, which had claimed a market share of 65% in 2019, and in 2022 still held a respectable nine percent (from just three products issued), was not active in the green bond space during 2023.

Italy

Italy is another market dominated by investment certificates. In 2023, almost 99% of all products issued in the country were wrapped as a certificate, a figure that was close to similar for the period 2019 to 2022.

The same applied to sales volumes, with the exception of 2019 and 2022, when slightly less of the capital invested –90% and 95%, respectively – came from certificates. This was mainly down to structured funds – eight of which (worth US$1.8 billion) were seen in 2019 (exclusively issued via Amundi) and another three (worth US$650m) in 2022 (issued via Crédit Agricole).

By sales volume, Intesa Sanpaolo was the number one provider for investment certificates in 2023 with a 38% share of the Italian market. The bank collected around US$14.3 billion from 284 certificates – up 75% by sales volume YoY (2022: US$8.2 billion from 274 products). Its best-selling

Italy: wrappers - market share by issuance*

product, and that of the Italian market, was a 1.2-year standard long digital certificate linked to the inflation (Italy CPI FOI Ex Tobacco) that sold US$1 billion during its subscription period.

The product was one of five inflation-linked structures (that sold US$2.8 billion) issued by Intesa in 2023. However, the bank achieved its highest volumes, at a combined US$7.2 billion, from 87 products linked to a single equity-index.

Unicredit captured 18% market share in 2023 from selling 826 certificates worth US$6.8 billion (2022: US$4.2 billion from 616 products), while BNP Paribas (8.9% market share), Mediobanca (5.2%), and Marex (five percent) completed the top five.

Italy: top 10 issuers investment certificates by issuance in 2023

Italy: top 10 issuers investment certificates by sales volume in 2023

Italy: wrappers - market share by sales volume*

United Kingdom

In the UK, structured products are sold as plans, which can be accessed via various wrappers including MTNs and individual savings accounts (ISAs) – which are exempt from income tax and capital gains tax in the investment returns – pension schemes, and deposits.

In 2023, some 1,118 structured plans worth an estimated US$2.1 billion were issued in the UK (2022: US$3.6 billion from 1,529 products). Of these, around 245 products worth an estimated US$510m were accessible via a combination of MTNs/ISA/pension.

Deposits, for which the UK, together with Spain and Poland, is one of the leading European markets, gathered an estimated US$550m from 210 products during the year.

Barclays was the main deposit taker in 2023. The bank

was the manufacturer behind almost 100 deposits that sold around US$250m (2022: US$90m from 35 products). Seventy of the bank’s deposits were distributed via MB Structured Investments; 13 via IDAD; 11 via Causeway Securities; and four via Arcus Partners/Dura Capital.

Royal Bank of Canada (RBC) is another active provider of deposit plans in the UK. The Canadian bank was behind 57 plans (US$140m) for which Causeway Securities (16 products), Arcus Partners/Dura Capital (15), and Meteor Asset Management were the main distributors in 2023.

UK: deposits - market share by sales volume issuer groups UK:

UK: deposits - market share by issuance issuer groups

Santander was the deposit taker for 11 products (US$50m) that were sold via the bank’s own distribution network while Goldman Sachs and Société Générale were also active in the UK deposit sphere, selling US$50m (from 20 products) and US$45m (from 18 products), respectively.

All but one of Goldmans deposit were sold via Mariana Capital Markets while SocGen’s offering was mostly available via Tempo Structured Products.

Up until 2021, Investec had been the main issuer for deposits in the UK. The bank held a market share of around 70% in 2019 and 2020, when it sold US$310m and US$240m, respectively.

In 2021, the bank announced its exit from the UK retail market. Investec stopped issuing retail structured products in the UK from April 2021 onwards, but despite this, it still claimed a respectable market share of 43% from 23 products that sold US$110m in the first quarter of the year.

The three most active distributors for deposits in 2023 were Meteor Asset Management (US$208m from 83 products), Causeway Securities (US$75m from 31 products), and IDAD (US$55m from 22 products) while in 2022 the top three comprised MB Structured Investments (US$70m from 28 products), Causeway Securities (US$45m from 19 products), and Meteor (US$25m from 12 products).

Regardless of the wrapper, the vast majority of structured plans in the UK are linked to the FTSE 100 index. In 2023, almost 60% of all issued products were linked to the UK benchmark, including 543 products linked to the FTSE 100 on its own, and a further 110 products linked to a basket, often also including the S&P 500.

By sales volume, products tied to the FTSE 100 captured 56% of the UK market in 2023, miles ahead of the FTSE 100 Equal Weight Fixed Dividend Custom Index and the FTSE 100 Custom Synthetic 3.5% Fixed Dividend Index, which held 5.9% and 2.5%, respectively.

UK: deposits - market share by sales volume distributor groups

UK: deposits - market share by issuance distributor groups

Belgium

In Belgium, where total volumes for 2023 reached US$4.6 billion from 79 products (2022: US$1.7m from 92 products), there are three main wrappers: MTNs, unit-linked insurance plans, and structured funds.

Belgium: wrappers - market share by sales volume

In 2023, notes captured 65% of the Belgian market with sales of US$3 billion from 68 products, although their average sales, at US$44m per product, were much lower than the average sales for funds (US$395m) and unit-linked insurance plans (US$145m).

Belfius claimed more than half of the MTN market in Belgium on the back of sales of US$1.7 billion collected from 17 products.

The bank’s best-selling product was Active Interest 03/2027, which gathered US$490m during its subscription period. The four-year steepener – issued on the paper of Luxembourg domiciled Belfius Financing Company – offers a fixed coupon of 3.35% pa during the first two years of investment, while the annual coupon for the final two years is equal to two times the difference between the 30-year EUR constant maturity swap (CMS) rate and the two-year EUR CMS rate, subject to a minimum coupon of two percent and a maximum coupon of 3.5%.

Other note issuers in 2023 included, among other, BNP Paribas (US$625m from 24 products), SocGen (US$280m from three products), Deutsche Bank (US$165m from seven products), and Natixis (US$140m from one product).

Funds held a market share of 17%, which was the result of two products – both from KBC – that sold a combined

Belgium: wrappers - market share by issuance

US$790m, including Perspective World Timing 100-1, a six-year product linked to a basket of 30 global stocks, which collected US$645m during its subscription period. At maturity, the product returns 100% of the nominal invested, plus 100% of the potential rise in the basket, capped at 60% and subject to 12 months backend averaging.

In 2022, there were no structured funds issued in the Belgian market but there were eight (US$260m) in 2021; 17 (US$620m) in 2020; and 28 (US$1.1 billion) in 2019.

The market share for unit-linked insurance plans was 16%down from 27% in 2022. It was achieved from five products that sold US$735m. Four of the products marketed in the year came from KBC and were investment funds linked to the unit-linked life insurance product KBC-Life Multinvest, which, to generate a return, track the performance of a basket of a selection of 30 shares of large-cap companies.

The fifth product, Ethias Invest 01/2023 GSI, an 8.1-year structure for which Goldman Sachs International is the issuer of the MTN in which the internal investment fund invests, was linked to the MSCI Europe Climate Paris Aligned EUR Index.

Unit-linked market share fell to 7.5% in 2021, but in 2019 and 2020 this wrapper type captured almost a third of the Belgian market.

Poland

In Poland, the appetite for structured deposits has always been strong. During the past five years, the market share for the deposit wrapper has never been lower than 40%, while it reached a high of 75% in 2020.

The 55 deposits issued in 2023 accumulated combined sales of US$520m – down 43% compared to the previous year (2022: US$900m from 54 products).

The main provider is Bank Millennium, which in 2023 held 61% of the market for deposits in Poland, driven mostly by its monthly shark-fin products linked to equities, single equity indices, or exchange-traded funds.

PKO Bank Polski, another local bank, which claimed 26% of the market in 2023 issued 16 products that were all linked

to a basket of shares. BNP Paribas’ products (seven percent market share) were tied to FX rates, either EUR/PLN or USD/ PLN, and Alior’s products (six percent) were, like BNPPs, linked to share baskets.

Investment certificates grabbed 36% market share in 2023 with sales of US$460m from 87 products. Issuers for this wrapper type included BNP Paribas (31 products), Goldman Sachs (23), Unicredit (13), and Société Générale (nine). The latter was also the main issuer of MTNs, which sold US$290m in total, ahead of Santander.

Poland: wrappers - market share by sales volume

Poland:

Poland:

Poland:

Sweden

In Sweden, where some US$720m was collected from 476 products in 2023 – down 32% YoY by sales volume – investment certificates and MTN’s captured 46% and 39% market share, respectively.

However, compared to other European markets, Sweden stood out due to its relatively high market share attached to structured warrants, which reached 15% in 2023, level from the previous year.

In 2023, 70 warrants worth US$110m were issued via nine different providers, of which Leonteq, with sales of US$85m from 42 products was the standout issuer, followed, at some distance, by Morgan Stanley (US$12m

from 13 products) and BNP Paribas (US$6.5m from five products). Leonteq’s warrants were available via three local distributors: Sirius Asset Management (24), SIP Nordic Fondkommission (13), and Garantum (five).

The only other distributor active in the warrant segment was Strivo (formerly known as Strukturinvest), which marketed products from Morgan Stanley, BNP Paribas, Natixis, Credit Suisse, SocGen, UBS, and Deutsche Bank.

Sweden: wrappers - market share by sales volume

Sweden: wrappers - market share by issuance

Sweden: top issuers for warrants by sales volume in 2023

Sweden: warrants - market share by sales volume distributors

Thematic Investing Solutions

The future will be shaped by emerging technological, macroeconomic and geopolitical megatrends. Now there’s a way to capture these themes.

SCAN

TO LEARN MORE

Behind the wrap – OTC

Structured products are traded either over the counter (OTC) or on stock and securities exchanges. Products traded on an OTC basis are bilateral contracts agreed and settled individually between two market participants or counterparties including expirations, barriers, payoffs and cash settlements.

In an OTC market structured product, all terms and conditions involved with a transaction are held within counter parties only. In other words, it is a decentralized market where the participants trade with one another directly, without the oversight of an exchange.

In the OTC market, issuers of structured products act as market makers by quoting prices at which they will sell (offer) or buy (bid) to other counterparties and negotiate execution prices by telephone, e-mail and text messaging.

The bilateral negotiation process is sometimes automated, but it is not open to all participants equally and the prices quoted between counterparts can vary and are related to factors such as size or credit rating. Additionally, issuers on an OTC transaction can withdraw from market making at any time, which can cause liquidity to dry up, disrupting the ability of market participants to buy or sell.

With the arrival of structured products platforms, issuers can submit quotes directly to electronic system and execute the trades directly. This replicates the multilateral trading set up of an exchange—but only for direct participants.

OTC markets are well organised and liquid during normal times, but they have been criticised for failing to demonstrate resilience during market disturbances and can become illiquid and dysfunctional at critical times. OTC markets are also less transparent and have fewer rules than exchanges.

SRP estimates that around 30% of the products transacted in the public space are traded on an OTC basis with the remaining traded on exchange.

Structured products fall under the exotic OTC equity derivatives category, according to the Isda classification as they have different characteristics that other OTC or exchange equity derivatives (EQDs) possess.

Multiple factors usually drive their performance. They are highly customized and tend to be used by sophisticated investors to meet very specific needs. Examples of exotic products include barrier options, accumulators and lookback options. Many other exotic instruments, including one-off bespoke products, also fall into this category.

OTC EQDs can be customized to hedge specific exposures and are used by institutional investors, asset managers, pension funds, endowments, hedge funds, public and private companies, insurance companies, banks and other market participants use OTC EQDs to achieve various investment goals, including hedging, investment exposure, market access and diversification.

According to the latest paper from Isda, the OTC EQD market has had a stable size over the past 15 years, with fluctuations within the US$6.3 trillion to US$7.6 trillion range. Geographically, the market has seen a significant shift in the dominance with the US emerging as the central region for total notional outstanding taking over the once-leading position held by European developed countries.

The research also noted the prevalence of short maturities in OTC EQDs, with 63% of notional outstanding having a remaining maturity of one year or less.

Exchanges

Many structured products are listed on stock exchanges. Trading structured products on exchange can have some advantages for investors and issuers as the communication of bid and offer prices to all direct market participants are centralised – market participants can buy as low or sell as high as anyone else as long as the trader follows exchange rules.

Securities exchanges have also fuelled the growth of the self-directed side of the structured products market. Unlike OTC products, which are characterised primarily by very high transaction sums, stock exchanges have helped issuers and providers to transact smaller size transactions enabling access to those investors who wish to invest smaller amounts.

Exchanges have also helped to democratise the market by putting private and institutional investors at a level playing field as the trading rules of a regulated venue guarantee a transparent settlement for every party involved.

Additionally, the large number of products available for trading on exchanges fuels price competition between the banks and market liquidity, which enables the end investor to access products with the lowest-cost and the smallest spread from a selection of identical products.

Deutsche Boerse

The German exchange is one of the main European hubs to list and transact structured products and offers a wide range of investment and leverage products.

On the investment category, the instruments available on the exchange include Reverse Convertibles, Bonus Certificates, Discount Certificates, Warranty Certificates, Express Certificates, Index Certificates, Performance Certificates and Misc. Investment Products.

On the leverage segment investors can access Factor Certificates, Plain Vanilla Warrants, Knock Out without Stop Loss, Knock Out with Stop Loss and other Misc. Leverage Products.

There are more than 20 issuers of structured products active on Deutsche Boerse with Vontobel, DZ Bank, BNP Paribas, SG, Landesbank Baden-Württemberg, DekaBank Deutsche and Leonteq Securities, among others foreign issuers such as HSBC, GS, JPM, Unicredit , Barclays and UBS.

Deutsche Boerse also owns DB Xetra, an electronic trading platform where 90 percent of stock trading in Germany is conducted. The platform has become the global reference

market for many German equities and the most important market for ETFs in Europe.

DB Xetra

For foreign, less strongly traded shares with a home market outside Germany, bonds and classical funds, the principle of full electronic execution does not work as such securities may lack the necessary liquidity if supply and demand are low. In the worst case, your order would remain in the order book or you would have to sell or buy at a bad price.

In order to prevent this, Deutsche Boerse offers specialist trading via the Frankfurt Stock Exchange which also offers listing and trading of structured warrants and certificates.

Index service – STOXX

Worldwide, clients use our indices as underlyings for financial products such as ETFs, funds, structured products and derivatives.

SIX Swiss Exchange

SIX Swiss Exchange is one of the main exchanges for structured products in Europe. The exchange reported a record 102,505 new structured products listed during 2023 - new listings increased by 7.7% year-on-year (YoY) and by 79% compared to 2021.

However, turnover, at CHF7.9 billion (US$9.2 billion), was down significantly at -34.4% YoY and -60.5% from 2021. In December, 8,941 new structured products were listed, an 8.7% increase from November but down 4.9% YoY. Turnover for structured products traded on the SIX Swiss Exchange reached CHF551m in December – down 20% compared to November and a decrease of 14% YoY. December had 19 trading days with an average of 1,519 trades and an order size of CHF20,489 (November: CHF23,378).

Miss-trades stood at 12 units – down from 16 registered in November. The number of tradable products fell by 6.6% to a total of 56,193 structured products. Of these, more than three quarters are from the leverage segment; 21.1% are yield enhancement products; 3.1% are participation products; 0.7% are capital protection products; and 0.2% are credit-linked investment products.

Twenty different issuers were active on the exchange in 2023. Of these, UBS was the most active with a market share of 29.3%. The bank reached CHF2.3 billion in turnover from 88,138 trades, slightly ahead of Vontobel (28.4%) which achieved a turnover of CHF2.2 billion, although the latter needed many more trades to achieve that figure (149,315).

Zuercher Kantonalbank (ZKB) completed the top three with a turnover of CHF861.9m from 48,175 trades (10.8%). BNP Paribas, in fourteenth place, was the highest-ranking

foreign bank, with a turnover of CHF32.3m from 2,283 trades ahead of Banque Internationale à Luxembourg which raised CHF28.4m across 382 trades.

Goldman Sachs, Société Générale and J.P. Morgan were also active in 2023, but their market share was negligible. In December, 19 issuers were active – the top three (UBS, Vontobel, ZKB) remained unchanged compared to the previous year.

Top trades

The most traded product in December was a participation structure which came in the shape of a 10-year UBS tracker certificate linked to the S&P 500 Total Return Index. The open-ended structure, which was first launched in January 2010, reached a turnover of CHF47m from 16 trades.

A Julius Baer barrier reverse convertible certificate BRC) on a basket comprising Dax, S&P 500, Eurostoxx 50, and Nikkei 225, which struck in July 2023, achieved a turnover of CHF5m from 16 trades, while another yield enhancement structure, Banque Cantonale Vaudoise’s BRC on a the shares of Nestle, Novartis and Roche, gathered CHF3m from just one trade in December. This product has since matured.

The best performing capital protection product was Goldman’s 10-year callable participation notes on the Eurostoxx Select Dividend 30, which reached a turnover of CHF3m from three trades.

Boerse Stuttgart

Boerse Stuttgart Group has strong market position as a venue to transact a comprehensive structured products range – it operates stock exchanges in Germany, Sweden, and Switzerland.

Based on the order book statistics, the Stuttgart Stock Exchange generated a total turnover of around €90.1 billion in 2023. This means that the trading volume across all securities classes was flat compared to the previous year.

The trading volume in structured securities amounted to around €36,7 billion in 2023. A turnover of around €26,6 billion was recorded for leverage products while the turnover from investment products came to around €10 billion. Based on the order book statistics, exchange-traded products (ETPs) generated turnover of around €16.8 billion.

Some of the main providers of structured products on the Stuttgart Stock Exchange include DZ Bank, Deutsche Bank, LBBW, BNP Paribas and Vontobel.

Based in Zurich, Boerse Stuttgart’s BX Swiss subsidiary offers a broad range of services including listing and trading in equities, ETFs and structured products provides reliable access to a broad portfolio of financial products in Switzerland and continuously develops innovations, such as zero-fee trading.

BX Swiss has 3,162 AMCs /wikifolio strategies listed as well as 4,036 deriBX structured products, 70 ETPs and 736 ETFs.

The main issuers on the BX exchange include Vontobel, Bank Safra Sarasin, Julius Baer, Credit Suisse, ISP Securities, Leonteq, SG, Swissquote and Zurcher Kantonalbank.

In December 2023, Leonteq announced the acquisition of a 10% share of BX Swiss for a single-digit million amount. The long-term strategic partnership will enable BX Swiss to facilitate access to Leonteq’s investment solutions while the Swiss structured products firm will gain access to the ecosystem of Boerse Stuttgart Group, the sixth largest exchange group in Europe.

Boerse Stuttgart also owns Cats, a leading OTC trading network with services for fully automated, bilateral trading. More than 60 brokers, order flow providers, issuers and market makers in eight European countries interact through cats; as well as Easy Euwax, a trading segment for structured securities with high trading quality and transparency, without exchange transaction fees.

In Sweden, the Nordic Growth Market (NGM) offers listing and trading via its structured securities trading segment for warrants, turbo warrants, mini futures, unlimited turbos (minifuture BEST), constant leverage certificates and tracker certificates.

Euronext

The Pan-European exchange offers multi-listing of warrants & certificates and structured notes between three of its listing venues - Euronext Amsterdam, Euronext Brussels and Euronext Paris.

The exchange also offers listing and trading oof structured products on three other European exchanges including the Euronext Milan, Euronext Dublin and Euronext Lisbon. Multilisting is not available between the above three marketplaces and Euronext Lisbon/EasyNext Lisbon.

Euronext Securities provides three different processes to service structured products: a manual, a semi-automated and a fully-automatic process. All with the same price structure.

Looking at Euronext Paris exchange, the main providers of structured securities in 2023 were BNP Paribas, SG BCP, Citi and Goldman Sachs.

The most traded structured products during this period were leverage structures with knock-out followed by leverage certificates without knock-out or stop loss as well as participation products, constant leverage products and yield enhancement products.

The table below displays the daily averages of value traded and number of trades per product type (EUSIPA1 categorization level 3) on all instruments traded on Euronext’s pan-European MTF, as well as the variation over the previous month, over the last 12 months’ monthly average and the weight of each product type over the total.

Index service

Euronext offers more than 1,000 indices of all sizes and profiles, providing widely recognised benchmark solutions. We design, manage, calculate and publish advanced and cutting-edge solutions licensed by the world’s largest issuers of financial products.

Seven major national indices in Europe

The exchange offers blue-chip indices for France (CAC 40), Belgium (BEL 20), Italy (MIB ESG), Ireland (ISEQ 20), Norway (OBX), Portugal (PSI), and the Netherlands (AEX, as well as blue-chip ESG variants).

Luxembourg Stock Exchange

The Luxembourg Stock Exchange operates two different markets for trading of securities: the EU-regulated Bourse de Luxembourg Market and the exchange-regulated Euro multilateral trading facility (MTF).

Since 2018, LuxSE offers the possibility to admit securities to its official list without admission to trading – many structured products transacted OTC as well as private placements are listed on LuxSE. The securities are displayed on the LuxSE Securities Official List (the LuxSE SOL), LuxSE is a leading venue for listing international debt securities and offers trading services for shares, fixed income, investment funds, covered warrants and certificates.

Many banks use LuxSE to list their exchange-traded products – some of the main issuers of structured products on LuxSE include Credit Suisse, DB, Natixis, UBS, Goldman Sachs, BNP Paribas, SG and JP Morgan. LuxSE was a pioneer in the ESG space with the launch of its Luxembourg Green Exchange (LGX) in 2017, a segment dedicated to social and sustainable (S&S)

projects to enable investors accessing a venue dedicated to social and sustainable bonds to respond to demand for such instruments.

The exchange cover other types of instruments such as securities, structured notes as well as active and passive funds (ETFs). LuxSE’s was also one of the first European exchanges to move into the DLT space with the addition of security tokens to its securities official list in April 2023.

The three series of security tokens admitted on LuxSE SOL are digital covered bonds and structured products that have been issued and deployed by Societe Generale’s digital assets arm, Societe Generale - FORGE (SG - FORGE), natively on the Ethereum and Tezos public blockchains respectively.

London Stock Exchange

LSEG provides broker-quoted prices for structured notes, including structured certificates of deposit (CDs), to meet increased demand for pricing of structured products.

Some of the main issuers on the LSE include SG, Investec, Lloyds Bank, Barclays and Goldman Sachs. In addition to broker-quoted prices, LSEG Evaluated Pricing Services also offers evaluated pricing for structured products. The exchange’s Pricing Service Plus offers tailor-made and transparent valuations, along with risk calculations for structured notes and hard-to-value, over-the-counter (OTC) derivatives.

Index services – FTSE Russell

FTSE Russell is the provider of two of the most popular underlying indices in the UK ( FTSE 100) and US (Russell 2000) retail structured products markets. The FTSE 100 features in more than 4,744 products live products excluding flow products and over 10,000 flow and leverage products with combined assets worth an estimated US$17.9 billion. The Russell 2000 is part of the underlying on 26,926 products worth an estimated US$87.1 billion.

Other FTSE indices marketed by FTSE Russell include the FTSE MIB (US$5.4 bn/396 products), FTSE China 50 Index

HKD (US$1.3 bn/104 products), FTSE 100 Fixed Dividend Yield Equal Weight Custom Index (US$423m/239 products), FTSE/JSE Africa Top 40 (US$15.7m/274 products), and FTSE Custom 100 Synthetic 3.5% Fixed Dividend Index (US$125m/64 products)

New FTSE Russell indices recorded in the structured products market in 2023 include the FTSE Custom 150 Equally Weighted Discounted Return Index (US$47m/31 products), FTSE Transatlantic EW Decrement 50 Points TR Index (US$53m/ 12 products), FTSE France 40 Low Carbon ESG Screened Decrement 50 Points Index (US$63m/ 11 products), and FTSE All-Share which has US$678m in assets from five products sold in the UK market.

FTSE Russell has become an active supplier of decrement indices to the structured products market over the last couple of years with several of its synthetic dividend indices used in the UK and France including the FTSE Custom 100 Synthetic 3.5% Fixed Dividend Index; FTSE 100 Equally Weighted 45 Point Decrement Index; amoung others.

Vienna Stock Exchange (VSE)

The structured products segment at the VSE contains certificates, exchange traded funds (ETFs) and warrants.

The certificates segment includes all certificates that are admitted to listing on the official market or that are admitted to trading in the Vienna MTF and include:

• Basket certificates

• Express certificates

• Index certificates

• Guarantee certificates

• Leverage (Knock-out) certificates

• Reverse convertibles

• Discount certificates

• Outperformance certificates

• Bonus certificates

• Other certificates

The warrants segment includes all warrants that are admitted to listing on the Official Market or admitted to trading in the Vienna MTF, and the ETF segment includes UCITS that are admitted to listing on the Official Market or that are admitted to trading in the Vienna MTF and are already listed on at least one other exchange.

Main issuers: Erste Group Bank, Intesa Sanpaolo, Raiffeisen Bank International, SmartETN, UBS, UBS Jersey, UBS London

Warsaw Stock Exchange

In December 2023, total equities turnover value on the GPW Main Market was PLN 24.1 billion, representing a 38.9% increase year on year, while Electronic Order Book turnover value increased by 39.4% year on year to PLN 23.8 billion. The Polish

exchange also reported that in December 2023, structured products turnover value decreased by 15.7% year on year to PLN 138.5m while the aggregate ETF and ETC turnover value increased by 51.3% year on year to PLN 116.8m.

Trading venues

The first Mifid Directive introduced definitions of ‘regulated market (RM)’ and ‘multilateral trading facility’ (MTF) and Mifid 2, which came into effect on January 2017 introduced the concept of a multilateral system – which is neither a RM nor MTF – in which multiple third-parties buying and selling interests in bonds, structured finance products, emission allowances or derivatives are able to interact in the system in a way that results in a contract.

Multilateral trading facilities (MTFs) and organised trading facilities (OTFs) are types of businesses that operate trading facilities or venues, similar to exchanges.

MTFs and OTFs facilitate the arranging and execution of transactions in financial instruments on a ‘multilateral system’, in accordance with non-discretionary rules in which multiple third-parties buy and sell structured products and derivatives.

Despite these overlaps, OTFs differ from MTFs in two distinct ways – OTFs can only offer non-equities, whereas

MTFs can offer equities and non-equities. An OTF can also only be operated by an investment firm, while an MTF can be managed by an investment firm or market operator.

Additionally, orders executed on an OTF are carried out on a discretionary basis, unlike MTFs where buyers and sellers must be matched according to non-discretionary rules.

OTFs are also allowed to engage in matched principal trading on instruments that aren’t subject to the clearing obligation set out in the European Market Infrastructure Regulation (EMIR), provided they have client consent to do so.

Spectrum Markets

Spectrum Markets is a pan-European marketplace where retail investors can invest in structured products via their brokers.

From its launch, trading has been available in ten countries: Germany, France, Italy, Spain, Sweden, Norway, the Netherlands, Ireland, Finland, and Belgium.

Spectrum Markets offers trading of securitised derivatives leverage products including warrants, knock-out warrants and constant leverage warrants on more than 800 underlyings including currency pairs, major indices, equities, commodities and crypto currencies.

Spectrum Markets ended 2023 on a high having reported a record year in 2023, with a 9% increase in the total value of order book turnover compared to the previous year, reaching €3.62bn. Trading volume for the year grew by 14%, with 1.62 billion securities traded in 2023 compared to 1.42 billion the year before. This volume was executed across nearly 2.5m trades.

During 2023, which was Spectrum’s fourth full calendar

year in business, the MTF unveiled several initiatives including the addition of UniCredit Bank as a member of the venue, making a range of warrants and constant leverage warrants accessible to retail investors via their broker or bank, alongside Societe Generale and Raydius. Trading participants on the venuw include IG, INtermonte, Equita, iBroker and Directa.

Spectrum has made a number of strategic moves over the last few months including a collaboration with ICE Data Services Italy, a subsidiary of Intercontinental Exchange, and becoming a member of the German Structured Securities Association (Bundesverband für strukturierte Wertpapiere - BSW), and the Italian Association of Certificates and Investment Products (Acepi).

The new additions have increased the number of instruments available on the venue across Europe by more than six times, year on year.

Exchange Traded Products

Exchange-traded products (ETPs) have emerged as a popular listed wrapper that allow product providers as well as institutional and retail investors to take advantage of their tradability, overall transparency and low cost.

ETPs include a wide array of investment products, such as exchange-traded funds (ETFs), exchange-traded notes (ETNs), exchange-traded managed funds (ETMFs) and exchange-traded commodities (ETCs).

ETPs can be delivered in various forms including:

• Physical ETPs, which provide exposure to physical cryptocurrencies in custodian accounts.

• Synthetic ETPs, which use derivatives/futures contracts to replicate the performance of underlying assets.

• Leveraged ETPs, which take simultaneous long-short positions to amplify returns.

• Inverse ETPs, which involve short positions on digital assets.

Each category of ETP has distinct characteristics and structures tailored to different asset classes and investment strategies.

Exchange Traded Products (ETPs)

… A collective scheme

Exchange Traded Funds (ETFs)

ETF- Structural set-up

• Built around a collective investment scheme (fund), characterised by diversified portfolio mainly tracking a diversified index, regardless of replication method.

• Issued by a regulated asset management company, in Europe essentially a Ucitslicensed manager.

• Counts typically on several Aps/liquidity providers to facilitate secondary market liquidity

Source: EFAMA

…. A debt instrument

Exchange Traded Commodities (ETCs)

ETN - Structural set-up

• Built around a (zero interest) note, entitling holder to income stream from performance of an underlying ionstrument. Exposure is typically narrow (non-diversifed).

• Issued by an SPV, generally registered in non-EU/EEA jurisdiction and dependent on bank guarantor/sponsor

• Typically have one (or very few) AP/liquidity provider, usually coinciding with guarantor/ sponsor/affiliated entity.

ETNs, for instance, carry various risks, including the credit risk linked to the issuer’s financial stability. They also feature call risk, which could result in potential loss if the issuer recalls the ETN. However, the returns on ETNs are typically tied to the performance of an underlying index or benchmark (after deducting any fees).

ETFs, on the other hand, usually hold a diversified portfolio of investments, generally reflecting an underlying index of investments such as stocks or bonds. Investors buy and/or sell shares of the ETF on an exchange, similarly to the trading

Exchange Traded Notes (ETNs)

ETC- Structural set-up

• Built around a (zero-interest) certificate, offering a narrow (non-diversified) exposure to single commodities

• Issued by an SPV, which may or not be registered in an EU/EEA jurisdiction

• Counts typically on average several Aps/ liquidity providers to facilitate secondary market liquidity

process for stocks. ETFs can include a variety of underlying investments such as stocks, commodities, bonds, crypto and a combination of the above.

ETFs are designed to replicate the performance of an index or sector and have several advantages over mutual funds as they are traded on public exchanges during trading hours, offering investors the benefit of intraday liquidity.

They can either be actively or passively managed, each approach with its own impact on the expense ratio and unlike

mutual fund trades, which are executed at the end of the trading day, ETFs can be bought and sold throughout the trading day.

ETFs have been the main driver of activity and volumes within the broader ETP universe as measured by flows, but the listed structured products market - known as the flow & leverage market, has carved its corner in the leverage/inverse listed space triggering significant AuM growth.

Over the course of the last year, issuance and inflows into exchange-traded products (ETPs) continued to grow.

The ETFs industry in Europe had 2,948 products, with 12,001 listings, assets of US$1.82 trillion, from 99 providers listed on 29 exchanges in 24 countries as at year-end, according to research firm ETFGI. During December, ETFs gathered net inflows to US$17.42 billion. Of these, approximately 97% were invested in exchange-traded funds (ETFs).

The market landscape in the ETP market has also evolved with the entrance of new non-banking issuers in various European countries such as Granite Shares, Leverage Shares, HanETF as well as new low cost fintech brokers and trading venues such as Spectrum Markets.

Listed certificates – trackers, leverage/inverse

On the baking side, SRP data shows that there are more than 18,000 flow products issued as securities listed globally with an outstanding of US$89 billion.

Some of the main players in the listed space include SG which has capitalised on the acquisition of Commerzbank’s EMC business to establish a pan-European footprint, as well as other European players such as Unicredit, BNP Paribas, Leonteq or Vontobel, and a number of US banks including Citi, Morgan Stanley and Goldman Sachs, which have set a foothold in some of the biggest European listed markets.

SRP data shows that the largest structured products listed market by outstanding are Germany, Switzerland and France while the biggest players in this space include ING, Vontobel, UBS, Société Générale and Citi.

The steady rise of listed products since the beginning of the Covid pandemic has attracted the interest of an increasingly large audience of self-directed investors which can now access a wide catalogue of listed instruments provided by banks to accommodate virtually

all types of desired allocations in their investment portfolios via structured warrants, as well as daily leverage/ inverse and turbo certificates.

The most recent report from the European Structured Investment Products Association (Eusipa) noted that the European structured products listed market has €392 billion in open interest with turnover increasing across stock exchanges.

Q3 2023 turnover in investment products which represent 31% of total traded volume on European trading venues remained flat QoQ and up 10% YoY. Turnover of leverage products which include warrants, knock-out warrants and constant leverage certificates reached €19 billion in the period from July to September, representing 69% of total turnover. Turnover in leverage products decreased by 17% YoY and increased by 19% from Q2 2023.

At the end of September, Eusipa member trading venues were offering 426,859 investment products and 1,840,503 leverage products, an increase of two percent in the number of listed products on a quarterly basis and by 10% YoY.

Banks issued 1,496,606 new investment and leverage products in the third quarter of 2023, up five percent on the previous quarter and down 12% annually.

In total, 137,296 new investment products were launched, accounting for nine percent of new issues, with the

1,359,310 new leverage products representing 91% of the total. There was nine percent less investment products launched compared to Q2 2023, according to Eusipa.

For Austria, Belgium, Germany, Switzerland, Luxembourg and Italy, the market volume of investment and leverage products issued as securities increased by two percent from the previous quarter to a total of €392 billion. At the end of September, the market volume of investment products stood at €380 billion, up two percent QoQ, while the outstanding volume of leverage products totalled €12 billion representing a 29% increase on a year-on-year basis.

Crypto ETPs

ETPs have also played a role in bringing crypto assets to the mainstream with a number of non-banking issuers such as 21Shares, Valour ETP, ETC Group, Hashdex or Sygnum leading the activity in this space.

Since the launch of the first crypto ETP in Sweden in 2015, the XBT Bitcoin Tracker One-SEK, the number and diversity of products linked to cryptocurrencies have increased steadily, with 176 Crypto ETFs/ETPs and 482 listings globally at the end of 2023.

Assets invested in Crypto ETFs and ETPs listed globally have increased 119.6% in the first 11 months of 2023. Crypto ETFs and ETPs listed globally gathered net inflows of US$1.31 billion during November, bringing year-to-date net inflows to US$1.60 billion, which is higher than US$744.08m in net inflows recorded in 2022, according to ETFGI.

Germany’s Deutsche Boerse and Switzerland’s SIX exchange

offer a comprehensive catalogue of regulated crypto investment products from crypto index funds to Bitcoin and Ethereum ETPs, as well as autocallables and reverse convertibles.

The growth of crypto products on SIX Swiss Exchange traces back to 2016, when Bank Vontobel listed a structured product certificate that tracked the price of bitcoin. The first crypto index ETP was listed on SIX in November 2018 by Amun (now called 21shares).

There are now 151 crypto ETPs and 135 crypto structured products listed on SIX – in 2021, trading turnover of crypto products on SIX reached its all-time high at CHF 8.6 billion, an increase of 673% compared with the previous year (CHF 1.1 billion).

Boerse Stuttgart, the second largest exchange in Germany, has a dedicated trading venue for digital assets with crypto certificates becoming one of the fastest growing traded products on the exchange – in 2021 the exchange reported a trading volume of more than €1 billion.

In 2023, the exchange reported €461m trading volume on crypto ETNs as well as €70m in crypto leverage products and €98m in crypto index certificates.

Some issuers of structured products have been early adopters of crypto assets with Swiss players leading the pack. According to SIX figures, Vontobel has 72 listed products linked to cryptos while Leonteq has 63 listed structures as of the end of 2023 – the payoff profiles of these products include tracker certificates and mini-futures with up to 19 crypto underlyings used.

YOUR GREAT IDEAS SHOULD AND CAN COME TO LIFE WITH US ON YOUR SIDE

Societe Generale, Bank of the year for sustainability*, brings you innovative nance solutions to meet your ambitions for a more sustainable future. Discover our clients’ successes: wholesale.banking.societegenerale.com

ADVISORY INVESTMENT BANKING FINANCING MARKETS TRANSACTION BANKING SECURITIES SERVICES EQUIPMENT FINANCE FLEET AND MOBILITY SOLUTIONS

The communication on this page is not directed at or intended for retail customers. *Awarded by International Financing Review for 2023. Societe Generale is a société anonyme, with its registered off ice at 29, boulevard Haussmann, 75009 Paris, France, and a capital stock of 1 003 724 927,50 € registered at the Paris Trade register under the number 552 120 222 (and APR no. 651C). Societe Generale is a Frend credit institution (bank) authorized and supervised by the European Central Bank (ECB) and the Autorité de Contrôle Prudentiel et de Résolution (the French Prudential Control and Resolution Authority) (ACPR) and regulated by the Autorité des Marchés Financiers (the French nancial markets regulator) (AMF). Societe Generale London Branch is authorised by the Prudential Regulation Authority and is subject to regulation by the Financial Conduct Authority and limited regulation by the Prudential Regulation Authority. Details about the extent of our regulation by the Prudential Regulation Authority are available from us on request.

SG: listed products is a growing niche market

The French bank has become a leading player in the listed structured products market in Europe on the back of the acquisition of Commerzbank’s Equity Markets & Commodities (EMC) in 2018.

Société Générale’s public distribution business includes the offering of two main types of listed products. On one hand it offers leveraged instruments such as turbo warrants, covered warrants or factor certificates; these instruments offer leveraged exposure to the performance of an underlying and constitute the vast majority of the volumes traded by our clients in Europe.

On the other hand, SG’s listed products include investment products, which provides yield enhancement or specific exposure to some markets or underlying; these include discount and bonus certificates, reverse convertible or delta one trackers on indices, stocks or any other commodity underlying (e.g., oil, energy, and natural gas etc.).

“Our client base is mostly composed of what the market calls self-directed retail investors, who are not seeking any investment advice,” says Didier Imbert, head of public distribution Europe at SG. “They are looking actively for investment or hedging opportunities and generally want to implement short term views on the market as opposed to buy and hold strategies.”

According to Imbert, the bank’s public distribution business activity serves the needs of “a rather market niche which cannot be compared with the size and volumes of investments collected on the structured products distribution business aimed at the investment advice market”.

“We estimate for example that in Germany, which is by far the largest market for listed products in Europe, the number of active investors in such products probably does not exceed 500,000, which is still very small in the context of the overall retail market,” he says.

2023 highlights

Didier Imbert: Last year, we saw a 25% decrease of the overall market volumes of listed products traded by retail investors in Europe compared to the exceptional year of 2022 which was one of the best years ever for listed securitized derivatives. Despite this decrease, activity in

2023 remained very solid with over 200 billion EUR turnover on listed products recorded in Europe, still way above the volumes seen pre-Covid crisis.

This suggests that there is a strong activity and demand for these products even in a rangy equity market and subdued volatility context.

Top listed markets

Didier Imbert: Germany remains the core market for listed products in Europe – two thirds of the volumes on listed products were traded out of Germany - with the Nordics, mostly Sweden, being the second most active region for listed leveraged instruments representing close to 15% of the European volumes.

Then there are several other mature markets, such as Italy, France, Switzerland, The Netherlands or Iberia, which each represent around one percent to five percent of the overall European volumes.

The listed products landscape is highly competitive as there are more than 15 issuers across Europe, including European and US banks, offering investors a very large choice of similar mainstream vanilla products at very competitive prices.

Limited payoffs

Didier Imbert: Innovation around payoffs in this space is somehow limited and there is little room for differentiation. Most issuers are concentrating their efforts in one or two countries with Germany as the main focus given the size of the market. For us, however, the focus has always been different as SG has been historically and remains one of the few issuers with a genuine pan-European presence – we are present in 13 countries – and a significant footprint among the online banks community in Europe.

Looking at market growth, we think online banks and neobanks will play a critical role as the initial offering of those outlets which was concentrated mostly on their domestic

Digitalisation has played a key role in accommodating the increasing number of products and volumes

market is now being gradually rolled out geographically in new countries. The emergence of Pan-European brokers offering their services in multiple countries also bodes well with our leadership position and strategy and has become a catalyst of our growth as those players see us as a valuable partner to support them in their expansion.

Market dynamics

Didier Imbert: Since the COVID pandemic in 2020 which saw a significant increase in the investment activity by self-directed retail investors, the listed products market has been delivering growth.

This is not a one-off trend, but the foundations are there for a sustainable activity among European investors to use more and more listed securitized derivatives in their portfolios for hedging purposes as well as to boost their potential returns through the use of leverage.

Digitalisation has played a key role in accommodating the increasing number of products and volumes as well as making access to these products easier and cheaper. With the development of user-friendly Trading apps by online banks and neobanks bringing new services and functionalities to facilitate access to new generations and to a wider range of investors, the scope for growth is significant.

Education

Didier Imbert: Issuers such as SG have contributed and continue to contribute to the growth of this market by assisting and supporting investors in their journey and user experience. Our goal is to create appropriate tools and educational materials, videos, webinars to continuously improve investors’ financial culture in general and their knowledge of these products in particular so they become more comfortable in trading such instruments.

As a matter of examples, SG is running the most successful YouTube channels for retail investors for listed products in Europe with over 250,000 hours of watch time. We also run popular trading competitions in several countries each

year with more than 30,000 participants; more recently, SG launched a new innovative e-learning tool called “100 Questions” enabling investors to test their knowledge and to deep-dive into some specific topics related to the full range of listed products.

Outlook, trends

Didier Imbert: We are always looking at different ways to develop and expand our product range including new thematic investment trackers - offering exposure to themes such as global cybersecurity, silver economy or sectors related to the European Green Deal for example - as well as products with some level of capital protection that investors can access in the secondary market. Although trackers are moving beyond the traditional pure index exposure, they will remain pivotal in providing long/short exposure to simple assets and underlyings.

We use our research to respond to demand from investors seeking access to specific markets and trends – we recently issued trackers offering exposure to Japanese stocks which have been a success and show our ability to bring to this market interesting and timely investment ideas with short windows of opportunity.

From an asset class perspective, self-directed investors are generally looking for a cross-asset offering with underlying ranging from the main Equity indices, single stocks to commodities (energy, precious metals), interest rates or FX currencies. There continues to be demand for exposure (long or short, with or without leverage) to commodities – mainly oil, natural gas and precious metals such as gold and silver.

Having said that, the listed products market remains highly driven towards equities – 60% of the turnover volumes continue to be linked to equity indices with another 20% going to single stocks. Throughout 2023 and YTD, US tech stocks and artificial intelligence related stocks have been particularly in high demand and continue to drive activity, especially during the quarterly corporate earning seasons that prove very active, leading to spike in volumes traded on single name products.

Issuers of listed/flow products - Europe

ING

Product Issuance: 270,563

Turnover: US$9.8 billion

ING launched its first listed leverage products in the Netherlands in October 2008, following the success of turbos from ABN Amro, and speeders and limited speeders issued by Citi and Commerzbank, respectively.

Back then, the bank named its leverage long and short products Sprinters, since the more generic ‘turbo’ was trademarked by BNP Paribas. Even though in 2014, a judge ruled that the use of the name ‘turbo’ was permitted since it is considered a generic name for this investment product and could no longer be used by BNP as a brand name after a court case brought by Binck Bank, ING has stuck to calling its leverage products Sprinters in the Netherlands, although in other markets such as France, Germany and Poland it uses the ‘Turbos’ tag.

Société Générale

Product Issuance: 2,538,724

Turnover: US$9.1 billion

SG has become a leading player in the European listed structured products market space following the acquisition of Commerzbank’s EMC business in 2018. After completion, the French bank became responsible for the management of income payments, early redemptions and maturities on Commerzbank’s structured products book, which included over 500,000 live products across jurisdictions at the time. Existing live investment and flow products issued by Commerzbank were transferred over time to the French bank.

UBS

Product Issuance: 1,819,498

Turnover: US$8.07 billion

UBS offers a range of listed products in its KeyInvest platform comprising 2,631 investment products such

as reverse convertibles and BRCs and cap prot notes as well as leverage products and 38,101 leverage products including put/call warrants as well as warrant with knock-out, mini-future, and factor certificates.

According to Swiss bank, warrants and mini-futures differ in design, but the same principle applies to both types of products: they offer investors the opportunity to disproportionately participate in the price development of an underlying with a relatively small capital input either on rising and falling markets.

Vontobel

Product Issuance: 1,495,748

Turnover: US$8.4 billion

According to Vontobel Markets there are 31, 374 leverage products and 3,597 investment products available for trading on the SIX Exchange. Vontobel is also one of the leading issuers of exchange-traded investment products in the Nordic region with over 14,000 active instruments available on Nordnet and listed on the Nordic Growth Market (NGM) exchange in the NDX (Nordic Derivatives Exchange) market for derivatives and structured products.

The current offering includes exchange-traded certificates, leveraged products and structured products with exposure to a wide range of underlying asset classes adapted for different types of investments.

Citi

Product Issuance: 1,785,762

Turnover: US$5.8 billion

Citi started trading levrage products in Europe in 2016 after the launch of its Leverage & Shorts range at Euronext in Paris aimed at amplifying the variations of the CAC 40 or DAX indices by a daily constant leverage, on the upside and on the downside, through the replication of Leveraged indices. Since then the US bank has expanded its footprint in other European exchanges including…

Deutsche Bank

Product Issuance: 424,447

Turnover: US$5.7 billion

The German bank offers certificates and warrants via its X-markets platform. These products are targeted at selfdirected investors seeking to participate directly in exotic markets or in the purchase of stocks with a discount as well as leveraged exposure to a wide range of underlyings.

According to DB, X-markets offers one of the most comprehensive product ranges in the world. Ranging from plain vanilla warrants on stocks, indices up to warrants on commodities and hedge fund products, as well as KnockOut warrants (Waves) and other exotic pay offs.

BNP Paribas

Product Issuance: 1,619,082

Turnover: US$5.6 billion

The French bank offers a wide range of listed securitized derivatives adapted to a wide range of self-directed investor profiles via the BNP Paribas Exchange Traded Solutions (ETS) franchise which is part of the Global Equities & Commodity Derivatives business unit.

Following the acquisition of the Royal Bank of Scotland (RBS) in 2014 BNP Paribas became a fully active issuer in the exchange-listed products market.

In some markets, the offering is focused on leveraged products ranging from Mini-Future Certificates and KnockOut Warrants to Constant Leverage Certificates and Warrants on equity indices, European and US single stocks, energy and metal commodities, precious metals and foreign exchange for active traders.

In Switzerland, for instance, close to 1,000 standardised or tailor-made products are issued and listed on SIX Swiss Exchange every year. The bank also has 12,000 active products on Swiss DOTS, which can be traded daily from 8am to 10pm via its Swiss DOTS partners.

JPMorgan

Product Issuance: 1,764,772

Turnover: US$5.6 billion

J.P. Morgan entered the listed products market in Europe

in 2001 with the launch of the ‘MorganWarrants’ and ‘MorganCertificates’ to German private investors quoted on the Euwax exchange and available on the CATS platform after entering Switzerland and Italy’s listed products markets.

The US bank expanded its presence in the European market after the launch of a range of turbo warrants linked to the domestic Dax on the Euwaxx segment of the Stuttgart exchange in December 2017.

Goldman Sachs

Product Issuance: 1,779,754

Turnover: US$5.6 billion

Goldman offers factor certificates as well as warrants and knock-out products – Turbos and Mini-Futures - to indirectly invest in stocks, indices and other assets using leverage.

Goldman Sachs began trading certificates and leveraged products as market maker via Germany’s Gettex in 2021 after broadening its partnership in the European ETP business with FinTech Group’s Flatex as part of its European expansion strategy which started in The Netherlands in Q1 2019. In 2022, Goldman started its Warrants & Certificates activity on the French market.

Morgan Stanley

Product Issuance: 1,083,349

Turnover: US$3.4 billion

Morgan Stanley began its structured certificates and warrants activity in the German market via a strategic, longterm partnership with Germany’s FinTech Group in 2016. Under the agreement FinTech Group’s online broker Flatex branded and marketed exchange traded products (ETP) issued by the US bank.

The US bank began to make inroads to Europe’s exchange traded products (ETP) market in 2015 when it was accepted as a new member of the Nordic Growth Market (NGM) structured products specialist exchange and started issuing mini futures and bull & bear certificates in the Swedish exchange.

Morgan Stanley was the second foreign provider to enter Sweden’s listed market following the arrival of Vontobel, which launched a range of bull and bear structured certificates aimed at private and institutional investors on the NGM earlier that year.

Non-banking issuers of exchange traded products (ETPs)

The ETP market growth in recent years has been fuelled by a number of ETP providers that have become active issuers of ETPs.

This wrapper has also been pivotal for the development of new products linked to crypto currencies and digital assets. As opposed to the US where regulatory restrictions have prevented the growth of this part of the market, crypto ETPs have become mainstream thanks to the favourable regulatory environments.

Top 20 Crypto ETPs by Assets under Management

Source: ETFBook

HanETF

HANetf was launched in London in 2017. The company offers a full white label operational, regulatory, distribution and marketing solution for asset managers who want to launch and manage Ucits ETFs. HANetf has introduced 45 products through its lifetime, which have US$2.6bn in assets under management.

Leverage Shares (non synthetic)-

Leverage Shares is a European leader in leveraged and

In Europe several countries have developed clear regulatory frameworks for cryptocurrencies, including Switzerland, Germany, and France.

These countries have recognised cryptocurrencies as a legitimate asset class and have established rules for their trading and custody.

Crypto ETPs have rapidly grown since 2021 and now account for about 3% of all crypto assets, according to Morningstar.

inverse ETPs, offering experienced traders magnified exposure, and efficiency when buying stocks on leverage. The ETP issuer is the only provider in Europe that offers physical replication of leveraged and inverse ETPs.

The company listed its first ETPs on the London Stock Exchange in 2017 and entered the European market in 2021 via Euronext Amsterdam.

In 2022 began listing in Italy’s Borsa Italiana and Germany’s Deutsche Boerse and launched a white label service. The

company’s range of leverage/inverse ETPs surpassed $500m in assets under management in 2023.

GraniteShares (synthetic)

GraniteShares was launched in the US in 2016 and rolled out its European business in London in 2019 to develop an collateralised, short and leveraged ETP range offering exposure to single stocks.

The initial listings are listed on the London Stock Exchange and feature exposures to a range of blue-chip companies listed in the UK. GraniteShares product capabilities in Europe range from short and leveraged single stock ETPs through to the creation of bespoke, focused collateralised baskets to meet the specific investor requirements.

These can be thematic, e.g. global renewables, or sector focused, UK banks. GraniteShares AUM stood US$2.09 billion as of 7 February, 2024.

21Shares

21Shares offers the largest suite of crypto- currency exchange-traded products (ETPs) in the world. The crypto ETP issuer based in Zug, Switzerland, launched its the world’s first physically-backed crypto ETP in 2018.

21Shares’ range of ETPs comprises more than 40 products tracking the market’s main single currency assets, diversified and smart indices as well as inverse and staking strategies.

Valour ETP

Valour Inc. issues exchange traded products (ETPs) aimed at retail and institutional investors seeking access to digital assets via their traditional bank account. Established in 2019, Valour is a wholly owned subsidiary of DeFi Technologies Inc.

Valour ETP products are listed across European stock exchanges including Euronext (Paris & Amsterdam), Frankfurt Stock Exchange and Nordic Growth Market. The company has currently 24 ETPs tracking the performance of individual crypto currencies as well as baskets and staking strategies.

Valour reported a significant increase in assets under management (AUM), reaching US$437m as of 31 January, 2024.

ETC Group

ETC Group is a European digital asset management firm specialised in developing crypto ETPs that are 100% physically backed. In 2020 the company launched the world’s

first centrally cleared Bitcoin exchange-traded product on Deutsche Boerse Xetra.

In 2023, the provider listed for the first time a diversified crypto ETP on an MSCI Digital Assets Index. ETC Group surpassed US$1 billion in assets under management (AuM) for the first time since April 2022.

Hashdex

The firm has established in 2018 in Brazil and entered the European market using a special purpose vehicle (SPV) to meet the prospectus directive (PD) requirements and is preparing to roll out its first ETP linked to a basket of crypto assets. Hashdex launched its first European product, the Hashdex Nasdaq Crypto Index Europe ETP, on the SIX Swiss Exchange in 2022.

The ETP tracks the Nasdaq Crypto Index Europe (NCIE), an index designed to measure the performance of the overall digital asset market while remaining reflective of the ETP listing standards at specified European exchanges. The Nasdaq Crypto Index was created in partnership with Nasdaq in 2020. The company’s European expansion in 2022 continued with the listing of the Nasdaq Crypto Index Europe ETP in Germany, France, and Netherlands.

Exchange Traded Funds

Most issuers of structured products in Europe are also involved in the exchange traded funds (ETF) market alongside asset management companies.

Top 10 ETF issuer inflows in Europe - 2023

AMCs – a space for growth and innovation

Without AMC With AMC

ASSET MANAGER ASSET MANAGER

The AM has to coordinate dozens of Client bookings with different custodian banks.

Source: IPS Group

Investors buy the AMC and the AM only has to perform one adjustment within the AMC.

The use of Actively Managed Certificates (AMC) has seen a revival over the last few years as buy-side managers and investors looked to take advantage of the advantages this wrapper offers when building structured products portfolios.

By consolidating multiple assets including structured products into a single AMC, distributors can arrange diversified portfolios to offer investors exposure to a variety of distinct investment strategies which can decrease operational expenses and streamline portfolio management.

The active management aspect also enabled portfolio managers and advisors to rebalance the underlying composition of the products and respond to market conditions and the changing needs of investors in a timely manner.

AMCs were initially developed as a cost-efficient wrapper alternative to mutual funds as they enabled lower investment amounts. The initial US$5 to US$10m dollars minimum investment needed to launch an AMC has decreased over time and can now be launched with just US$1m to US$2m.

While this first generation of AMCs helped lower the barrier on the amount of capital required to invest, it did not solve the issue of accessibility as not all issuers had the required balance sheet to trade certain assets, such as high yield

bonds or convertibles. The second generation of AMCs have taken this segment into the next level as they allow smaller investment amounts of around US$1m dollars, and the underlying strategies can include public, private and digital assets, as well as non-bankable assets such as luxury real estate, and fine art.

AMCs have become an area of growth and innovation in the listed products space. AMC platform Vestr estimates that there is over US$1 trillion in AuM in AMCs with 90% of AMCs sold in the form of private placements and nearly half of them coming from Asia.

Most of the activity comes from Switzerland where there are more than 2,000 AMCs listed on the SIX and BX exchanges, but there are other markets where AMCs are driving increasing activity such as Germany, Luxembourg and Singapore, and most recently South Africa.

Introduced to the Johannesburg Stock Exchange’s listings in July 2022, AMCs have since flourished with a market

capitalisation of R8.5 billion (US$450m) across a total of 32 AMCs listed on the exchange as of 18 August 2023.

Unlike traditional listed funds, investors do not buy physical assets as AMCs provide synthetic exposure to the underlying assets and replicate the performance of the actual assets without physical ownership.

AMCs have become a viable alternative to funds as they don’t require a substantial asset base, which was a barrier for smaller issuers, and provide a streamlined gateway to bypass the complex and asset-heavy fund registration.

Third-party portfolio managers have also embraced AMCs as they allow them to leverage the existing banking infrastructure, which includes pivotal components such as custody services and advanced trading infrastructure which also mitigates the high operational costs of managing funds.

UBS Group’s recent foray, with five new AMCs listed on the JSE in 2023, illustrates the direction in which the South African market is heading. These portfolios, encompassing the likes of the SAAM Local Growth Portfolio and the Mergence Global Quant Equity Portfolio, aim to deliver real returns through a focused investment in high-quality growth stocks.

UBS was one of the first banks to develop AMCs back in 2002 and has north of 1,000 standalone AMCs in varying sizes. Following the launch of the UBS Neo platform in 2012 UBS also moved off-exchange partnering with online bank Swissquote to enable the use of AMCs to wrap their strategies.

Automation

Fintech companies like Vestr and GenTwo have fuelled further activity in the AMC segment by enabling the issuance of AMCs off-balance sheet using Special Purpose Vehicles (SPV) to ease the balance sheet restrictions, trading constraints or asset class limitations of investment banks.

Some of the AMCs facilitated by GenTwo recently include Hamburg-based asset manager Solvium Capital’s AMC investing in shipping containers; Hollywood production company Barry Films’ AMC investing in film and TV series projects; and Zug-based venture capital investor Crypto Valley Venture Capital’s AMC facilitating early-stage investments into Switzerland’s blockchain industry.

The AMC space has also spurred the surge of boutique portfolio managers exploring the potential of this wrapper.

Most recently, UK firm Inch Kintore partnered with Unicredit to bring a gold v FX strategy to the AMC market, and C8 Technologies collaborated with Credit Suisse to launch the Credit Suisse Active World ESG Certificate, a private

placement linked to equity names in the Morningstar Developed Markets Sustainability 200 Index, with weights from C8’s proprietary equity factor overlay.

Cirdan Capital also issued an AMC in 2023 based on C8’s Diversified Risk Premia Index; while prime brokerage for digital asset managers Covario and Geneva-based advisory firm AIS Financial Group teamed up to launch an AMC linked to a crypto asset strategy.

Some of the most recent developments in the AMC market comes from investment banks already active in the structured products market.

Vontobel has been expanding its catalogue to include a number of AMCs linked to proprietary strategies like the China New Vision Index and Inflation Influenced Index.

In this area, BNP Paribas has also upgraded the capabilities of its Smart Derivatives platform to give its clients the possibility to create and reshuffle their own AMC baskets –the bank’s clients can now define the precise composition of their underlying baskets which can include stocks, usual equity indices or QIS indices as well as bonds and structured products; and Leonteq has also integrated its AMC Gateway module into its LYNQS platform to target buy-side firms developing their own underlying strategies.

Most recently, Pictet and Vontobel partnered in 2023 to test a new settlement mechanism for tokenised investment products on a public blockchain infrastructure – the proof of concept to issue tokenised investment products was recorded on a public blockchain and traded on BX Swiss Exchange. The two banks each issued an AMC linked to a basket of equities which were associated with digital tokens recorded on an Ethereum test blockchain, a process commonly referred to as ‘tokenisation’.

One of the main European venues for AMC trading is the SIX Swiss Exchange which currently has 690 such products listed on exchange*.

Of these, 627 are based on equities, 393 on custom indices and 40 on commodities. Although there are no figures available on open interest or subscription volume, the total turnover of AMCs traded on SIX in CHF stands at around CHF1.02 billion (US$1.17 billion) or CHF 1.48m on average.

Currently, 178 AMCs are above average in terms of turnover with the Top 20 accounting for almost 33% of total turnover. The Top four AMCs by turnover in CHF are UBS CMCI structures on industrial metals, aluminium, composite and Brent.

*Figures provided by payoff.ch

Vestr: AMCs are fuelling structured product development

Founded in 2017 and based in Zug (Switzerland), Vestr is an independent white-label business-to-business (B2B) software provider that facilitates the creation and lifecycle management of actively managed certificates (AMCs).

The startup went live with its first customers in 2018 and signed tier one private bank Julius Baer as a client in 2019. Vestr’s Delta platform is backed by Six Group, as well as an undisclosed top five Swiss bank, and other private equity investors like DI Ventures, and EquityPitcher, and it’s sold as a white label Software as a Service (SaaS) solution for Actively Managed Certificates (AMCs).

Stefan Wagner, head of business development at Vestr provides an overview of the main considerations around this wrapper including pros and cons versus funds and their role in investment portfolios. by vestr, a game-changing end-to-end

According to Wagner, historically, implementing specialized investment strategies incurred high costs, limiting accessibility to a select few.

“However, digital solutions have lowered that cost and have created clear opportunities for active investment strategies,” he says, adding that AMCs “have emerged as a transformative solution to address these issues”.

Technology fuelling AMC activity

In the financial sector, new technologies provide unprecedented opportunities and challenges. Artificial intelligence, blockchain, and data analytics are not buzzwords but transformative tools that can redefine how financial operations are conducted.

Asset managers must leverage these technologies to enhance the decision-making processes, optimize risk management, and ultimately deliver greater value to investors. The rise of robo-advisors, algorithmic trading, and digital investment platforms signals a shift in investor preferences. To remain competitive, asset managers and service providers need to tailor their services to meet these evolving expectations.

Gone are the days of one-size-fits-all investment models. Instead, investors turn to specialised strategies catering to specific preferences, risk tolerances, and long-term objectives. The integration of digitalization solutions plays

a pivotal role in facilitating such tailored investments, offering cost-effective means to implement and manage specialized portfolios.

Defining AMCs

AMCs are structured products with dynamically adjusted underlying strategies or components, managed at the discretion of a strategy manager or according to a predefined index rule.

These certificates offer a swift, adaptable, and cost-effective method for investors to access dynamic investment strategies. Issued as debt securities, AMCs can link to both traditional securities and non-bankable assets like real estate, loan portfolios, collectables, and digital assets.

AMCs can go by various names such as Dynamic Equity Notes, Strategy Notes, Actively Managed Trackers, Exchange Traded Notes (ETN), or Exchange Traded Products (ETP). This flexibility in nomenclature underscores the versatile nature of these certificates.

Classifying AMCs

AMCs come in different types, evolving from passive derivatives to more dynamic structures. Three main classifications include on-balance sheet AMCs, off-balance sheet AMCs, and tokenised AMCs.

On-Balance Sheet AMCs: Issued by banks or securities dealers, typically with traditional capital market instruments as underlying assets. Investors may be exposed to the credit risk of the issuer.

Off-Balance Sheet AMCs: Issued by Special Purpose Vehicles (SPVs), these AMCs can be linked to alternative investments such as private equity, digital assets, or collectables. SPVs are structured to mitigate investor exposure to the issuer’s credit risk.

Tokenized AMCs: Leveraging Distributed Ledger Technology (DLT), these AMCs use blockchain for transferability. This format is particularly popular for AMCs involving digital assetbased investment strategies.

Lifecycle of AMCs

The issuance process for AMCs is streamlined and involves presenting the investment idea, negotiating terms, onboarding the investment manager, and creating legal documentation.

The lifecycle includes investment, offer, legal documentation, and structuring. Once documentation is in place, AMCs can be issued rapidly.

Advantages of AMCs

Asset managers are increasingly drawn to AMCs due to their simplicity, flexibility, and customization, making them a favoured choice for active investment management.

With AMCs, converting an investment strategy into a transferable security is swift and efficient. AMCs are versatile, accommodating various investment strategies and underlying assets, including equities, bonds, digital assets, and non-bankable assets like collectables.

AMCs vs. Funds

While AMCs and funds have similarities as financial products, they differ in terms of structure, transparency, costs, regulation, and trading. In contrast to traditional funds, AMCs provide a faster, more flexible, and cost-effective way to access dynamic investment strategies.

Setting up a mutual fund involves a complex process, demanding substantial pre-launch assets, an extended setup time, and significant expenses for legal, auditing, and accounting services. In contrast, AMCs enable investors to convert their investment strategy into a transferable security within a few days.

Notably, many AMCs start operating with assets under management (AuM), totalling less than USD 10m.

Structure

Actively Managed Certificates (AMCs): AMCs are categorized as debt securities, often falling under the classification of Structured Products. They can function as exchange-traded products (ETPs) and trade on stock exchanges, similar to exchange-traded funds (ETFs).

Funds: Funds, encompassing mutual funds or hedge funds, constitute pooled investments with diverse structures, including open-end or closed-end funds.

Transparency

Actively Managed Certificates (AMCs): AMCs typically provide a daily disclosure of their holdings, offering investors a high level of transparency. This allows for visibility into the underlying assets and their performance.

Funds: Mutual funds are obliged to periodically disclose their holdings, commonly on a quarterly basis.

Cost

Actively Managed Certificates (AMCs): AMCs generally boast lower expense ratios when compared to actively managed mutual funds.

Funds: Actively managed funds often incur higher expense ratios due to additional costs, which are not automated and are outsourced to third parties, along with the extended time required for regulatory approval.

Regulation

Actively Managed Certificates (AMCs): AMCs are regulated as Structured Products in most jurisdictions. When listed on exchanges, they must adhere to the regulations of those specific stock exchanges.

Funds: Mutual funds fall under the regulatory oversight of securities regulators, such as FINMA (Finanzmarktaufsichtsbehörde) or BaFin (Bundesanstalt für Finanzdienstleistungsaufsicht).

Trading

Actively Managed Certificates (AMCs): AMCs can be traded

Over the Counter (OTC) or on stock exchanges throughout the trading day, allowing investors to buy or sell shares at market prices. This flexibility is akin to trading stocks and bonds.

Funds: Mutual funds typically undergo a single daily net asset value (NAV) calculation, and transactions occur at the end of the trading day at the NAV price.

Role of AMCs in investment portfolios

Actively Managed Certificates (AMCs) play a crucial role in investment portfolios, offering agility in adapting to market opportunities.

Through ongoing analysis, strategic adjustments, and asset reallocation based on market trends, AMCs capitalize promptly on favourable conditions, potentially outperforming passive counterparts.

AMC market growth

The AMC (Actively Managed Certificate) market is growing fast, thanks to key factors that appeal to issuers, asset managers and investors. These include easy setup, low costs, flexibility, increased transparency, time efficiency, and adaptability to market trends.

The market’s expansion is further driven by the involvement of White Label Solutions and innovative fintech companies, contributing to its overall dynamism.

Swissquote Bank

Swissquote is a second-tier structured products issuer – the online bank marketed CHF200m worth of yield enhancement publicly listed products in 2023 mostly in the form of BRCs linked to Swiss corporate names.

The bank however has made itself a name in the Swiss domestic AMC market on the back of sustained activity since it entered this space in 2016, following a partnership with UBS to develop a range of thematic AMCs. Since then, the online bank has issued AMCs in partnership with Vontobel and most recently with Luzerner Kantonalbank.

The first European online bank to trade Bitcoin on its platform in mid-2017 and issue tracker certificates on cryptocurrencies, Swissquote was also behind the first actively-managed crypto-focused certificate, called MultiCrypto Active Index, which is listed on the Swiss stock exchange.

Swissquote then launched a partnership with multiple issuers in 2018 to expand its thematic portfolio management business under the brand name Themes Trading, a compilation of AMCs.

According to the 2022 data, Swissquote has sponsored more than 40 tracker certificates on theme-based indices, which have attracted notable investor demand with traded volumes totaling over CHF450m in 2021.

These AMCs have included investment strategies on cryptocurrencies as well as a range of sustainabilityfocused certificates, such as an AMC linked to the Swissquote Rainbow Rights and Decarbonization.

Swissquote built up its partnerships base throughout 2021 and has brought to the market several AMC strategies via trackers, such as the first-ever inverse AMC: the Swissquote Global Inverse Index.

This AMC proposes a strategy constructed with derivatives from inverse ETFs to profit from a fall in the value of an underlying benchmark, using the MSCI World as a benchmark and wrapped in an AMC with Leonteq as the issuer.

Later in the year, the Swiss bank launched the Swissquote Recovery Index, which offers exposure to industries positioned to benefit from the reduction of Covid-19 crisis. On the one hand, the Pharma Opportunity AMC focused on companies leading the search for a Covid vaccine; on the

other, the Swissquote Blockchain Index and the Swissquote Multi Crypto Active 2.0 index, two-second generation DeFi and crypto gauges, delivered via AMCs underlying tracker certificates.

Before its partnership with Leonteq, Swissquote pioneered several new strategies around key investment themes such as the #DE30 Social Sentiment Index, a benchmark that summarises and evaluates the opinions expressed on social media regarding the German Dax via an algorithm powered by artificial intelligence (AI), as well as the Swissquote Cannabis Portfolio and Swissquote Bitcoin Active Index.

Other examples of AMCs sold by Swissquote during the 2021-2023 period include the Mega Cash & Leveraged Cash Dividends AMC which was targeted at investors looking for income.

Most recently, Swissquote partnered with GenTwo to access the Swiss-based B2B fintech company’s services in order to create AMCs across a wide range of assets, including traditional equity, foreign exchange, derivatives, structured products, commodities and digital assets. This partnership aims to expand Swissquote’s offering to external asset managers and other institutional clients.

One of the most recent AMCs marketed by Swissquote was launched in 2023 and seeks to replicate the performance of the Morningstar PitchBook Unicorn Select 20 Index over time. Such index aims to measure the performance of the largest 20 privately-held venture-backed companies from developed markets with a valuation of US$1 billion or more.

Since 2022, Swissquote has become an issuer of structured products (Yield Enhancements, Capital Protected and Participation categories) in its own right, including SIXlisted AMCs.

The Swiss bank, under its Swiss issuing program, has launched innovative products such as Value Rockstars, which analyses SEC form 13 filings for positioning, and Impact Index, which donates 50% of dividend payout directly to healthcare providers of renewable energy in underdeveloped regions.

UBS: AMCs have a variety of use cases

UBS has one of the longest track records in the industry for these types of solutions, having executed the first UBS AMC solution in 2002.

Giulio Alfinito and managing director – global head of QIS structuring and Rehman Haroon, head of AMC trading Europe, UBS Investment Bank, talk about the AMC business at UBS and how the market has evolved over time

Alfinito notes that historically, AMCs have been a very important business for UBS.

“Initially they were very relevant mainly for the Swiss market, but we’re now getting requests from different jurisdictions,” he says. “AMCs started as an equity long only business where clients would manage synthetic equity certificates and effectively deliver their strategies to investors.

AMCs capabilities have evolved over time to include equity long/short and then options, futures, bonds as well as quantitative investment strategies (QIS) which can be delivered not only in certificate format, but also in swaps and bankruptcy remote vehicles.”

UBS’ AMCs are available on the UBS Neo platform which now includes a comprehensive set of execution and reporting tools.

“[Neo] has become a stable well-established business and diversified across jurisdictions, client types and exposures,” says Alfinito. “The platform no longer caters only for managers of long only strategies that execute at the end of day but offers a variety of intraday execution capabilities, including algorithms, and advanced reporting tools which allow institutional clients trade in swap format to deploy hedge fund like strategies.”

Drivers of activity

Rehman Haroon: The Swiss intermediary market as well as the connection with our own wealth management (WM) business has been particularly relevant and critical to the success story of our AMC offering. There is now increasingly less of a blurred line between what we see as fit for purpose around execution, wrapping and distribution between small financial intermediaries in the institutional space. There are arguably some differences around reporting, and there are now other intermediaries involved in flow, especially when we

talk about the swap offering.

What we have done and what we continue to do is leverage the building blocks of our offering to understand where they can be repurposed. We have had huge success with institutional clients in Germany, we are talking extensively to clients in the Nordics, and we are seeing a huge pickup in demand coming from Asia. We have also been the first mover in South Africa, and we are talking to clients in the Latam region as well.

AMCs applications

Rehman Haroon: There are a variety of use cases. The core of the value proposition is around the distribution in certificate format.

People wanting efficiency around single entry point execution when wrapping either into multifamily office accounts or indeed much more broadly distributed. Of course, some of these products have been listed on SIX where we provide liquid secondary markets. Having something which has ETFlike liquidity with the ease of discretionary management is one of the major selling points.

AMCs sit within the UBS Neo ecosystem which is the client interfacing portal that UBS has for research, market commentary, trading activities, investment ideas, etc. We have AMCs as an application within that. Neo provides a host of API connectivity for clients to access their own execution systems and portfolio management solutions. Having connectivity that allows our calculation functionality alongside the rebalancing flow sync seamlessly into clients’ own solutions is something we have spent a lot of time on in the last 18 months, and we are in a very good shape with that now.

Changes on demand

Giulio Alfinito: It is important to convey that the platform in terms of AUM, and in terms of an overall asset under management run rate, has been weathering well the challenging environment of 2022 and 2023. In 2022, you may have thought that the underperformance of 60/40 portfolios would affect the AUM. And the opposite for 2023 when market conditions have been more benign.

However, if you look at the numbers, there has been little volatility because effectively, we managed to deliver more into the long/short space diversifying more throughout 2022 and benefiting in 2023. This is a platform that grows on the back of innovation and on the other side it a is an extremely established business.

2023 activity

Rehman Haroon: From a discretionary standpoint, most of the AMCs launched in 2023 remained a blend of yield enhancement. If we stick with equity still being the core and backbone of the offering, there was definitely option implementation, be it on a pure discretionary basis or with some implementations via our QIS team. Being able to robustly manage this, not just end-of-day execution, allowed more discretion around market timing, and liquidity, even during market hours of the US listed market. Here, we have been able to find a solution from not just the liquidity scale, and wrapping it in a quite small size, which otherwise would have been the reserve of much larger institutional style clients.

AMC’s USP

Rehman Haroon: Being able to implement multi asset strategies in a transparent fashion and being able to align funded versus unfunded assets with margin considerations, as well as potentially leveraging all things that we got very good at doing. That’s where people now are increasingly finding value; we see less of the vanilla equity only now as everyone feels they either need futures or some yield enhancement options as part of the base offering.

Competitive landscape

Giulio Alfinito: Aside from pricing considerations client experience is very important. Of course, pricing is important, competitors want to get a seat at the table, and we must stay competitive.

However, the fact remains that at UBS we have been in this business for years very long and built a very solid franchise which has grown organically over the years.

At UBS, we have a very robust governance framework around product suitability and how we assess distributors. A strong brand, good governance and multi-year experience across jurisdictions play an important role with clients and gives UBS a competitive edge. You don’t want to lose all of this for the sake of saving five basis points.

Having said that, the market is evolving, and we must be conscious of the fact that we need to innovate in terms of technology and capabilities – we are doing all this, and it is a big investment on our side. We are not complacent, and we are very conscious of the fact that we must win clients’ business in a competitive environment. We need to be on top of our game in terms of the quality of the infrastructure and the quality of the services that we offer.

Rehman Haroon: We see new players being aggressive in the AMC space. I don’t think from a maturity of a platform approach, competitors are able to offer what we can. I fully understand some of the larger US players have an equivalent offering to some degree, but they don’t necessarily target the same client base where we’ve had huge success.

Arguably we are sort of chasing down a little bit where we would try and tackle the institutional space where the AMC/ AMS offerings should have crossover.

Smaller players in Switzerland are also participating, and the feedback we get is that the offering remains very well respected and there is a constant influx of new interest and recurring business. We are not complacent. The overall point for the platform remains, regardless of your size – whether you are an institutional investor or a smaller intermediary – your experience should be consistent and follow all the execution and control frameworks the bank operates.

It should be done robustly, efficiently, and this is where we continue to try and have the ambition to deliver on. Ninetynine times out of 100 people are satisfied and appreciate our efforts and that we find solutions to deliver on things that otherwise perhaps would have been impossible.

Having something which has ETF like liquidity with the ease of discretionary management is one of the major selling points.

Leonteq

Since 2014, Leonteq offers actively managed certificates (AMCs) to asset managers (Index Sponsors) to customise and implement investment strategies ‘with greater adjustability, cost efficiency and transparency’.

Leonteq supports product implementation, trade execution and reporting with one central rebalancing for all clients to avoid individual trade processing with custodian banks and save on trading fees from custodian banks.

Leonteq’s AMC platform can accommodate different investment strategies and fee models, supports various asset classes from simple cash instruments to complex derivatives and offers performance summaries and intraday secondary market.

At the end of 2021, Leonteq integrated its actively managed certificate (AMC) platform AMC Gateway into its digital structured products platform LYNQS.

The new AMC module provides access to more than 100,000 underlyings across different asset classes throughout global markets, including crypto currencies and any kind of derivative including listed options, forwards, futures, swaps and customised OTCs and FX strategies.

The AMC module is targeted at index sponsors to create and manage their own index strategies wrapped as AMCs. The platform also offers lifecycle management capabilities such as displays overviews and dashboards with information of a client’s AMCs, including performance, index components, rebalancing transactions and historical cashflows.

The Leonteq structuring team can also create customised structured products portfolios that can be replicated in AMCs. Leonteq has hundreds of outstanding AMCs which represent a CHF6bn of yearly turnover.

AMC offering

Some of the AMCs offered by Leonteq include the first ever inverse AMC – the Swissquote Global Inverse Index, a strategy constructed with derivatives from inverse ETFs to profit from a fall in the value of an underlying benchmarkusing the MSCI World as a benchmark - and wrapped in an AMC with Leonteq as the issuer.

These are the Swissquote Recovery Index which offers exposure to industries positioned to benefit from the reduction of Covid-19 risk; the Pharma Opportunity AMC focused on companies leading the search for a Covid vaccine; as well as the Swissquote Blockchain Index and the Swissquote Multi Crypto Active 2.0 index, two second generation DeFi and crypto gauges delivered via actively managed strategies.

The launch follows the addition in March 2021 of the Quote module, a fully automated click ’n’ trade tool within Lynqs digital platform which was launched in September 2019, as the firm’s Constructor platform was phased out – LynQs offers pricing from 10 issuers.

Leonteq reported a three percent growth in total turnover to CHF15.9 billion (US$17.3 billion) driven by 26% increase in turnover from own products in the first half of 2021, and launched 2,455 publicly offered structured products during the period.

The Swiss firm also completed the onboarding of Basler Kantonalbank and Banque Internationale à Luxembourg onto Lynqs – reporting more than CHF350m in turnover from these two issuers in the second quarter of 2021.

1 WEEK TO SET UP NEW AMC

LOW MIN AMOUNT OF CHFK 500

LISTING ON SWISS STOCK EXCHANGE

SECONDARY MARKET

Julius Baer

Julius Baer acts as an issuer and administrator of AMCs, establishing the certificates, performing portfolio rebalancing, acting as market maker and calculating the performance of the underlying strategy.

The asset manager provides the issuer with the initial portfolio composition and any future adjustments. The bank allows the asset manager to combine securities from various asset classes, from liquid stocks to less liquid bonds, alternative funds or derivatives.

According to Julius Baer, AMCs are no newcomers to the structured products market and have followed a strong growth trajectory in the last couple of years. In contrast to their fund counterparts, they are set up within a few weeks with no issue costs for the asset manager and offer ongoing cost advantages due to their efficient administration. In addition, the certificates are issued with an ISIN number, making them transferable securities which may be booked at various custodians.

Asset managers benefit from a high degree of flexibility in designing their investment strategy. The tailor-made certificates might include derivatives, embedded leverage and regular coupon payments. They might also be hedged against FX risks. Short futures can also be deployed to actively manage the equity beta of the portfolio and to create market neutral positions, as well as to extract alpha.

AMCs are popular among asset managers as they make managing investment strategies on behalf of multiple clients more efficiently. Different clients with custody at various banks may invest into a single vehicle, so reducing the administrative burden of new account openings – which take time. Further, the performance of the portfolio can be transparently presented and the asset manager generates a track record for her/his investment strategy.

In cooperation with an external provider, Bank Julius Baer has developed a web-based tool for managing AMCs, called EPIC. Intermediaries can access their portfolios from a personal computer, laptop or tablet. Besides general information on the AMC (such as assets under management, live prices etc.) and an overview of the portfolio, the asset manager can enter new trading orders, adjust and download portfolio reports, and view historical information such as accrued fees, historical rebalancing or any corporate actions on the underlying securities (coupon payments, dividends, stock splits etc.).

Since August 2020, when the first version of EPIC was officially launched, the bank has added new features including a variety of asset classes, which may all be combined in a single AMC: equities, bonds, ETFs, funds and structured products.

EPIC users remain responsible for compliance with all applicable cross-border regulations, particularly especially if intermediaries access EPIC and manage the AMC from somewhere other than the primary place of business.

The latest addition to the Julius Baer AMC platform is an FX hedge functionality. Intermediaries have an overview of the exposure in each currency of the underlying securities and can define the target exposure for each currency. Depending on the type of the product, the target exposure may be defined in terms of percentage of the portfolio value or in absolute value. The performance of the portfolio may be rehedged at the advisor’s discretion. This feature enables the asset manager to limit foreign exchange risks while also being able to reduce or remove the FX hedge opportunistically to profit from expected currency fluctuations.

AMC on diversified hedge fund portfolio

Source: Julius Baer

GenTwo launched in 2018 as a financial service for individual securitization of all kinds of assets targeted at financial intermediaries seeking to manage structured product portfolios in a cost-efficient manner.

GenTwo’s issuance framework for AMCs is an off-balancesheet unregulated solution that enables intermediaries to consolidate their issuance needs via their own issuance special purpose vehicles (SPV).

The GenTwo platform allows its clients to issue an unlimited number of products while selecting the custodian and broker that best aligns with their requirements.

The platform also allows external asset managers (EAM) to incorporate their preferred management and performance fees to streamlines processes and optimise the potential benefits for all parties involved.

GenTwo Orpheus Capital

GenTwo has worked with Swiss structured products boutique CAT Financial Products and Aquila, a bank used by independent Swiss asset management companies and family offices, to create a next generation platform for AMCs.

This platform enables Swiss asset managers to create compliant AMCs with Swiss ISIN codes, which can be used for their own products and services. Swiss asset managers then have the ability to implement their portfolio strategies and investment ideas beyond traditional assets using AMCs offer.

GenTwo also offers a white-labelling service which will enable the platform to deploy its tools in different ways.

Orpheus Capital was launched to provide technical, operational and business consultancy services to companies operating in the UK, South Africa, Channel Islands, Israel, and Switzerland.

Founded in 2021 by Andrew Wolfson who moved to London after 20 years at FirstRand Group’s RMB Global Markets in South Africa where he held senior positions including client & technical structurer, head of cross-asset structuring and multi-asset solutions strategist, the firm offers enablement across public, private and digital market assets as well as technical skills and consultancy services out of reach for most companies.

Orpheus also offers access to its securitization issuance platforms and assist in the creation of structured solutions including AMCs, trackers and tokens on all assets and CLNs on project financing.

“At Orpheus Capital, we introduce a ‘plug-and-play’ securitisation service that empowers banks to establish their

AMC platforms with significantly reduced costs and effort compared to traditional approaches,” says Andrew Wolfson, CEO and founder of Orpheus Capital.

Through Orpheus Capital, banks can seamlessly adopt a white-labeled AMC offering without integration hassles. AMCs are set up as standard clients, allowing asset managers to utilize familiar banking tools.

Banks can serve as both custodians and brokers, maintaining critical components of the value chain in-house and thereby fostering stronger customer loyalty.

Additionally, as Orpheus Capital clients, they gain access to a suite of other Orpheus Capital solutions, facilitating efficient entry into private market assets as securities with Swiss ISIN.

Enhancing retirement solutions

As state pension systems struggle to meet the needs of retirement investors structured products are seen as a viable alternative in many markets.

Structured investments and solutions featuring structured products are providing ‘fresh opportunities’ to traditional pension and insurance providers as traditional products fail to deliver on the needs of retirement investors.

Although the US market is the more advanced market for retirement products the European market is also seeking to leverage defined payouts and low volatility underlyings to add value to retirement portfolios and deliver strategies to manage retirement risk.

The shift seen in the US market towards indexed-linked annuities and downside guarantees in retirement products has not been replicated in European markets where retirement investors have had no choice but using traditional wrappers such as the investment plan in the UK, ‘assurance vie’ in France or other long-term individualised protected investments offered by insurance companies and wealth managers like MunichRe or Generali Asset & Wealth Management.

However, over the last few years several traditional longterm product providers such as MunichRe as well as fintech providers like Quantessence and FNZ as well as new entrants such as Socius Technology and NeoLife have started to look at capitalising on their structuring capabilities to develop a new generation of retirement products with defined payouts.

As the government-back pension system becomes less sustainable the shift towards private based solutions is being supported and promoted from different quarters and markets.

One of the most recent developments comes from Switzerland where the country’s structured products trade body - the Swiss Structured Products Association (SSPA)published the handbook Structured Products and Derivatives for Pension Funds.

The aim of the handbook is to improve the understanding of structured products among pension fund portfolio managers

and to present the advantages and risks of structured products in a transparent manner.

The SSPA study covers the macroeconomic and regulatory environment, and the resulting investment implications for pension funds including risk management and structuring opportunities. The report also sheds light on legal aspects as well as the main features and risks of structured products that pension funds need to consider.

The SSPA believes that due to the technical complexity of the products as well as the legal and regulatory aspects, Swiss pension funds have been holding back from investing in structured products.

In addition, the fact that structured products customised for institutional investors are less well known than the traditional structured products with payoff-profiles more suitable for private investors, may also have prevented pension funds from investing.

Dispelling myths

The handbook states that the acceptance of structured products as suitable retirement investments has been hindered by some of the existing myths around complexity and claims that these products are not cost-transparent for pension funds.

However, the handbook notes that ‘with current disclosure requirements and suitability checks for structured products their inclusion in pension funds or retirement portfolios has become a necessity’.

The Swiss market was a first mover with the approval in 2019 of new guidelines that allow pension funds to access traditional as well as non-traditional asset classes with a targeted risk-return profile, which meets the specific requirements of the pension fund.

This development opened an opportunity to structured products as additional investment instruments that can enable

pension funds to achieve the required returns, and address some of the market risks fuelled by the macro environment.

With structured products, pension funds can access investment profiles and risk premia, which are not easily available via other investment vehicles, and even though pension funds are long-term investors and often prefer linear payoff profiles, they must regularly report their financials, including the coverage ratio.

This requirement also favours products with an asymmetric payoff profile as a suitable retirement investment, especially when they offer partial downside protection.

The flexibility of structured products and their ability to extract value from different market environments and asset classes also make them an attractive component of any portfolio as to the traditional bond elements they can incorporate different asset classes like credit (credit linked notes) or particular risk premia strategies which can be more efficiently accessed via a structured product than with another instrument.

Overall structured products and derivatives are being adopted to enhance the toolkit of instruments available to pension funds and retirement products and are expected to play an increasingly important role in delivering returns to retirees.

CPPI revisited

The Constant Proportion Portfolio Insurance (CPPI) approach had a significant weight in the European retirement space for many years but issues with cashing-out events triggered by market corrections put a bad light on this payoff structure.

However, technology has helped to develop a second generation CPPI structure called iCPPI or individualised Constant Proportion Portfolio Insurance which has led to a growing momentum for new private structured saving solutions over the last few years.

The most important change is the substitution rate from the accumulation position to retirement and people have started to understand that they need to fill this gap with private solutions.

Investors are familiar with capital protection featured in hybrid and index-linked products, which has led to increased demand for alternative solutions. Some of the new features embedded in these products include open-ended single, recruiting premium and top ups while there is also a wide investment universe as well as actively managed portfolios with underlying funds.

One of the most recent developments in the retirement space comes from NeoLife, a new French B2B control

function intermediary and an administrator of retirement products which is seeking to bridge the gap between investment banks and retail distributors.

The firm created by former Natixis, J.P. Morgan and Barclays equity derivatives bankers is seeking to leverage on their experience to work directly on combined solutions designed to fit the different savings wrappers and leverage their unique features.

Other examples include Quantessence’s partnership with Generali to launch the Lifetime Partner 24 strategy, a hybrid index-linked product offering capital protection. Most recently with Hilbert Solutions partnered with Quantessence to develop a new capital protected pension product.

Hilbert’s Retirement Protect 90 product is a ‘personalised and protected’ structure based on a model portfolio managed by BlackRock which dynamically allocates assets between a performance basket and a conservative basket. The product also limits downside risk by protecting up to 90% of the capital invested.

The PER is a new wrapper resulting from recent changes in regulation, and it offers an efficient way to step into the retirement market with a reasonably priced product. This wrapper also allows investors to switch from accumulation to decumulation.

“We looked at several wrappers including annuities, but we decided the PER was the most suitable vehicle to individualise protection,”

The use of new technology to support long term savings in the individualised protection space, QIS and leverage finance has also brought new players to the fore including FNZ Q-Hub which houses its iProtect module - a solution platform to support individualised protection transactions from a technology and operational perspective - aimed at iCPPIs and individualised Time-Invariant Portfolio Protection (iTIPP) products.

UK fintech Socius Technologies has also entered the retirement market with the launch of its Retirement Income Platform, SPERO, in 2023. SPERO which is an acronym for “Systematic Platform for Enhanced Retirement Outcomes” is targeted at insurance and pension providers, wealth managers and advisers who service the needs of individuals approaching and in retirement.

Socius Technology is seeking to leverage the improvements on its iCPPI platform engine which has been used across Continental Europe, including Italy, Spain and Greece, by large global life insurers to facilitate access to derivative quotes for gap-risk from a panel of investment banks and reinsurers.

SociusTec: individualisation is key to build retirement portfolios

UK fintech provider Socius Technologies offers three products: a structured product administration platform that digitises paper-based processes, an account management system that allows product providers to provide personalised strategies, and a quantitative framework called SPERO® to evaluate savings and retirement income strategies.

The firm’s structured products platform is targeted at product manufacturers and distributors who use it to manage the entire lifecycle of a structured product, from pre-strike marketing to maturity and subsequent reinvestment options.

Regulated firms and their advisers use the structured product platform to set up clients, initiate digital applications on their behalf and monitor a client’s holdings over time. Clients use the platform to apply for structured products, monitor their holdings, and track all lifecycle events (partial surrenders, surrenders, maturities, transfers-in, transfers-out, etc.).

Socius’ account management system is a powerful addon for platforms that want to allow providers to offer personalised solutions to clients. The account management system was originally developed to support “individualised constant proportion portfolio insurance” products or iCPPI. The platform has been active since 2015 and is currently used to manage several large iCPPI propositions offered to investors across Continental Europe.

“Our overall point is not that structured products necessarily have a part to play in retirement per se, but product structuring does,” says David Stuff, director at Socius, adding that the company is seeking to capitalise on its structured products background to do things differently around “shaping return profiles, using derivatives and dynamic strategies to enhance returns or provide protection, and analysing the outcome to establish what adds value to investors.”

Socius wants to apply its dynamic, personalised portfolio management capability to retirement.

“The account management system was built to facilitate iCPPI structures but can manage all dynamic, personalised, goal-based, and risk-management strategies,” says Stuff. “iCPPI is no different from liability-driven investments (LDI) or asset-liability modelling (ALM) strategies used by defined benefit (DB) schemes. Socius allow providers to offer personalised versions of these strategies.”

In the accumulation phase, this means replacing generic glidepath strategies and target date funds with agile, personalised strategies to help savers meet their goals. In the retirement phase, it enables the management of the performance and liability matching assets, the blend between the two, and the implementation of dynamic income strategies and more.

“Our ability to implement dynamic, path-dependent strategies is particularly salient for banks innovating in this market,” says Stuff. “Socius’s technology sits on top of the existing account management functionality and allows product providers to implement the cutting-edge strategies the banks develop.”

The SPERO® platform provides a proprietary framework to test, score and rank saving and decumulation strategies.

“It can be used by product developers, advisers and customers to develop products and select the strategy that best meets the customer’s needs,” says Stuff.

According to Stuff, this aligns well with new regulatory requirements as the UK’s Department for Work & Pensions (DWP) focus on ‘value for money’ and the Consumer Duty initiative from the Financial Conduct Authority (FCA) means that product providers and advisers must demonstrate that their strategy offers better customer outcomes.

“The SPERO® framework provides a robust, impartial, reliable testbed for product providers,” says Stuff. “The framework incorporates behavioural traits as well as pure quantitative analysis.”

Stuff says that the independence of the account management software is helpful because it allows custodians and platforms to implement investment banks’ proposed strategies. “Typically, that strategy implementation software was provided to the platform by a bank that developed the strategy. By offering the software independently, more banks can operate in this space, more banks can propose strategies, and more insurance companies can implement their strategies.”

Stuff notes that there is scope to leverage the technology to bring new strategies to the market in the accumulation space.

“We’ve been looking at products based on time-dependent strategies that offer a personalised glide path that provides regular real optimisation of portfolios. Dynamic personalisation is one of the best ways to improve member outcomes and value for money in pensions,” he says.

“We also offer an independent scoring and ranking process, which is relevant in the UK, with consumer duty, as the regulator is putting pressure on product providers to prove that they offer better outcomes to investors.”

Socius’ SPERO® analysis tool is an independent Monte Carlo testing framework that allows users to test different accumulation and decumulation strategies and creates a score and a rank for those strategies.

“This is a big part of the product development process as product providers must show that the products they offer add value and offer better investor outcomes,” says Stuff.

Structured products

According to Stuff, structured return enhancement products can be valuable in creating a payoff for investors in the first seven or eight years of their retirement that generates high, stable and predictable returns.

“Those structures can deliver a very steady return; investors must accept that the mark-to-market value may be vulnerable if there are big sudden drawdowns, but their value tends to bounce back very sharply when markets recover”, he says.

Stuff also notes that some funds of structured products are delivering eight percent compounded return year after year and that a lot of exciting work is done around annuities, which provides a solution to the longevity problem.

“For us, rather than trying to use existing structured products within a Retirement Income Solution, we look at variable income strategies where your income is determined through a formula,” says Stuff.

“We’ve seen the growth of defined contribution pension

schemes in the UK and in Holland, which provide another way to structure the returns that people get and look at intergenerational transfers in ways that provide an element of protection against the sequencing and longevity risks.”

Though the Socius account management platform and SPERO® are about product structuring rather than structured products, Stuff acknowledges that there are significant merits in using individual products within retirement as well as multi-bucket strategies “that offer a simple form of structure that allocates monies to the different types of assets”.

“There’s been quite a lot of interesting developments in terms of the way that the iCPPI structures are being constructed. We’ve been looking at ways in which you can mitigate cashlocking.” says Stuff.

“We’ve developed the iCPPI capability into a platform that runs segregated managed accounts using an algorithm that sets the allocation for each client. The platform enables mass customisation at scale so that providers can personalise their proposition.”

Socius is seeking to use its technology to deliver solutions in different parts of the market, and one of the obvious places to go was retirement “because there is a huge demand for mass customisation and personalisation in the retirement market”

“The ability to implement personalised strategies accurately and robustly resonates with the market,” says Stuff. “People are forced to invest for retirement within the current framework. We must show that mass customisation offers better results and that clients will get better outcomes.”

The retirement market in Europe is 20 times bigger than the savings market, which suggests that there is scope for the structured product industry to go beyond its ecosystem and way of communicating.

“As an industry, we must realise that there are massive opportunities for product structuring within retirement,” concludes Stuff. “But to make that leap and get the adoption, we’ve got to reframe how we’re doing things and how we’re talking about things to make sure we use a language that is common within a different segment.”

We must show that mass customisation offers better results and that clients will get better outcomes

Hilbert: incorporating new personalised, protected structures for retirement investors

Launched in 2012 in Paris, independent advisory and financial engineering company Hilbert Investment Solutions, entered the UK market in 2014 led by partner and former Old Mutual executive, Steve Lamarque.

Over the last ten years the UK the company has offered its cross asset structured solutions engineering services (equities, rates, and commodities) to a range of distribution channels in the UK market including institutional investors, asset managers, insurance companies, private banks, wealth managers, distributors, independent financial advisers and family offices.

The company which is now established as an active provider in the UK market is branching out to complement its structured solutions business.

Most recently Hilbert Investment Solutions has turned its attention to the retirement space which led to a partnership with asset manager BlackRock and tech provider for retirement products Quantessence to launch a new pension product linked to a portfolio of ETFs.

“We have always focused on risk and how extract the most value from the different components and key features of a structured product, Now, we’re applying the same principle to address the growing difficulty savers and investors face in safeguarding their retirement funds amid ongoing market turbulence” says Lamarque.

“Protection is on our DNA, and we understand the value of delivering soft and hard protection to investors depending on their risk profiles and needs.

The company wants to bring that knowledge and that ability to deal with the different moving parts of a structured product to tap into the retirement and savings space.

“Most of the savings are not going into structured products and the appetite for ETFs and Funds remains high as investors can get more liquidity and is cheaper for clients. We thought we could respond to that demand and aim at the retirement space.”

“Our approach is quite unique in that we have used our structuring skills and knowledge to offer something different for retirement investors. We are also using the PER wrapper to sell the product in France and are the first provider to go into the market using this wrapper to offer a protected investment” says Lamarque.

Plan d’Epargne Retraite (PER) and a registered Self Invested Personal Pension (SIPP).

The new Hilbert Retirement Protect 90 is a ‘personalised and protected’ structure based on a model portfolio managed by BlackRock which dynamically allocates assets between a performance basket and a conservative basket. The product also limits downside risk by protecting up to 90% of the capital invested.

The product provides two options including a protected capital amount – the Secure Capital Option – or a protected fixed income – the Secure Income Option.

Lamarque is no strange to CPPI strategies and the problems they had with cashing out issues which have somehow tarnished the reputation of this structure but claims that technology has helped to improve these products as well as the ability of insurance providers to offer better guaranteed products.

Insurance companies have struggled in the past to offer good long-term guaranteed products and we think there is opportunity in this segment of the market to deliver new solutions to investors that fits our business model.

The model portfolio chosen to underlie the product fits very well in an individualised, capital-protected retirement solutions from a construction and diversification perspective.

“Transparency and liquidity were also key elements in the decision to choose an ETF model portfolio when you’re

trying to build capital protection on a portfolio as you need to have that view to be able to hedge yourself in the right way,“ said Lamarque.

Liquidity is also key when building long term investment plans as it also helps with allocation and risk management - the choice of wrapper also needed some thought with the PER coming into focus on the back of recent changes in regulation.

The new wrapper offers an efficient way to step into the retirement market with a reasonably priced product and allows investors to switch from accumulation to decumulation.

“We looked at several wrappers including annuities, but we decided the PER (in France) and SIPP (In the UK) were the most suitable vehicle to individualise protection,” says Lamarque.

“We don’t have anything against constant proportion portfolio insurance (CPPI) or individualized constant proportion portfolio insurance (iCPPI) structures, but we wanted to come up with something different that would be flexible enough to provide individual protection and serve the needs of each end client.”

Any product offering market exposure has risks embedded but in this case the infrastructure was key as it enabled us to adequately test the product and to apply commission/ decommission to address the needs of investors at different stages of their life cycle, according to Lamarque.

“We wanted to complement our structured products offering with a product that can sit alongside structured notes or deposits in a portfolio, but with a different type of structure and investment term. We believe this product will resonate with retirement investors as it removes the credit risk and has enhanced liquidity,” said Lamarque.

The product uses a similar mechanism to CPPI in the sense that it’s a dynamic mechanism where you rebalance between the investment portfolio and a money market fund or cash.

“A big innovation lies in the mass customization. We turn one actively managed model portfolio into potentially tens of thousands of individualised accounts. These may have different features and allocations in function of the individual client’s preferences and actions. The BlackRock portfolio managers can focus on their core competence without having to worry about this. Hilbert has the flexibility to adapt the product to the individual’s circumstances.”

Going forward, Lamarque expects that new products will be developed for the retirement market that will overcome the limited choice of the past.

“We have seen it in the US with the annuities market where the use of indexed annuities has become the fast-growing part of the market.”

“In Europe, we don’t have those types of fixed indexed annuity and registered index annuity products, but they are an interesting way to serve retirement investors.”

“We need clear regulation to align European markets with the US because there is a perception that some of the things that are done in the US cannot be done in Europe and that limits investor choice,” said Lamarque.

Lamarque also believes that by expanding the retirement products ecosystem investors will benefit as they will have access to different players and go beyond funds.

Investors are already used to deploy structured products via their pension and life insurance wrapper so it’s just a question of expanding the ecosystem.

Hilbert’s plans are to continue looking at solutions and ways to deliver them to investors with different needs and investment horizons.

“We want to add new features to this product and create more options whether it is by using different model portfolios or different exposures. That is the phase two of this initiative. On phase one we want to continue to educate our clients and explain how this product can fit in their offering.”

With rates now at good levels to price protection in structured products and long-term saving strategies Hilbert believes that there will be benefits as the new products will be able to deliver better outcomes to investors.

“Our structured products managed portfolio remains our best-selling product because it’s quite stable and offer three options (conservative, aggressive, defensive) when it comes to risk profile. However, we have also been doing more bespoke and customised products,” concluded Lamarque.

“We have a defensive approach when it comes to rates and returns, and this lends well to develop long-term products for retirement investors.

“We see the pension savings market as an opportunity to leverage our skills to create new products. Our goal is to create a diverse range so that investors can find a product for each of their needs.”

Funds of structured products

Funds of structured products are actively managed investments which typically aim to provide capital growth over the medium to long-term by investing in structured products such as autocalls or barrier reverse convertibles (mostly) linked to equity indices, either single or as part of a basket. In this chapter we review a sample of funds from the UK, Ireland, the Netherlands, and Switzerland.

Atlantic House Defined Returns Fund

Launched in 2013 and with assets of £1.9 billion, this Dublin domiciled fund is one of the oldest and most established funds of structured products around.

The fund is targeted at advised and discretionary market investors and aims to deliver an annualised net return of seven to eight percent over the medium to long-term in anything but the bleakest market conditions. It offers an actively managed exposure to a diversified portfolio of defined return investments linked to global equity indices.

The fund primarily invests in UK Government Bonds to provide the return of capital to investors over time, alongside a portfolio of global, liquid derivatives that generate the return on capital. It benchmarks its performance to the Solactive United Kingdom Large Cap ex Investment Trust Net Total Return Index, the Solactive US Large Cap Index and the Solactive Euro 50 Net Total Return Index. Its performance for 2023 was positive at 13.88% (GBP Accumulation (B)), compared to 0.05% the previous year.

As of 31 January 2024, 94.41% of the fund is backed by gilts and cash, with the remainder of the portfolio made up of individual notes issued by Crédit Agricole (2.58%), J.P. Morgan (1.65%), and RBC (1.36%).

The fund’s average cover to achieve a positive return is 34.19% while the average cover before capital loss is 38.54%. In June 2023, Atlantic House launched the Global Defined Returns Fund, which is also registered in Dublin and aims to generate an annualised net return of 8-9% pa over the medium to long-term.

The fund, an evolution of the Defined Returns Fund, aims to be exposed to equity markets in a proportion similar to that of a large cap world index. The largest exposure is the US large cap market, with lower exposures to Europe, Asia, and Australia. Its comparator benchmark is the Solactive GBS Developed Markets Large & Mid Cap Index.

As of 31 January 2024, the fund’s assets under management totalled US$32.8m and its cumulative performance since the launch (Share class: GBP Accumulation A Hedged) was 5.13%, against 13.22% for US large cap, 8.99% for UK large cap, and 12.17% for EU large cap. Its average cover to achieve a positive return is 31.07% while the average cover before capital loss is 37.04%.

The managers took four months from the launch of the fund end-June 2023 to get fully invested to ensure that not investments strike at the same time.

Schroder Income Maximiser Fund

The fund is actively managed and invests at least 80% of its assets in equity and equity related securities of UK companies, which are selected for their long-term income and capital growth potential. It targets an income of seven percent per year, but this could change depending on market conditions. The fund benchmark’s itself against the FTSE All Share Total Return Index (comparator 1) and IA OE UK Equity Income Index (comparator 2).

To seek to enhance the yield, the investment manager selectively sells short-dated call options over individual securities, portfolios of securities or indices held by the

fund, by agreeing strike prices above which potential capital growth is sold. The fund also invests directly or indirectly in other securities (including in other asset classes), countries, regions, industries or currencies, collective investment schemes (including Schroder funds), warrants and money market instruments, and hold cash. The fund may use derivatives with the aim of achieving investment gains, reducing risk, or managing the fund more efficiently. The calendar year performance for 2023 was 11.2% compared to 7.9% for comparator 1 and 7.1% for comparator 2 (2022: 1.1% compared to 0.3% and -2.2%, respectively). End-January 2024 the fund counted 45 holdings.

Fund manager(s)

Schroders’ Structured Fund Management Team, which consists of Jeegar Jagani, CFA, Scott Thomson and Ghokhulan Manickavasagar, reporting into Mike Hodgson, Head of Risk Managed Investments & Structuring Fund type

Fortem Progressive Growth Fund

This Irish Ucits V Icav fund aims to provide positive returns of 6-7% along with reduced equity beta over the medium to long-term. The fund invests in major equity index-linked structured products with a maximum of two underlying indices per investment.

The fund’s performance over 2023 was positive at 12.42% while since inception (September 2017) it has returned 26.85%. End-January 2024, the average cover to capital preservation was 37.4% with the average cover to capital growth set at 36%.

structuredretailproducts.com

Levendi Thornbridge Defined Return Fund

Levendi’s fund comprises of a diversified portfolio of defined return investments linked to major market equity indices. Its fund managers aim to maximise the chance of generating an average medium-term annual return of six percent above GBP deposit rates.

The year 2023, as a whole saw some profoundly changes in the fund, with an elimination of corporate credit risk, and diversification into a new index to list only the most impactful. The fund saw a roll of 30 products into higher yielding defensive products.

The cumulative fund performance for 2023 was 12.55% and 34.13% for the last five years.

End-December 2023, the average cover to achieve the target return was 39.3% with the average cover to capital preservation set at 50.3%.

Some 99.8% of the fund provides exposure to autocalls with the remaining 0.2% invested in cash. The top five holdings are all gilt-backed 10-year autocalls linked to the FTSE 100 and S&P 500, offering coupons of between 8.70% and 9.25%.

Mondriaan Structures Fund

This Dutch domiciled fund invests in structured products with a conditional principal guarantee. Its objective is to generate an average long-term return at least equal to the average longterm return of equity markets in general, however with a lower level of risk compared to a diversified equity portfolio.

Generally, the fund is full invested, however it is allowed to invest maximum 25% of its value in cash. By investing in government bonds to hedge the derivatives the fund uses, the counterparty risk on financial institutions has

been reduced to a minimum. The fund closed January 1.13% higher relative to December 2023. Its cumulative performance for 2023 stood at 11.95%. At the end of January 2024, the liquidity position amounted approximately three percent of the fund assets (Dec 2023: 12%).

The average buffer towards the protection barrier is more than 40% at the end of January, with a lowest buffer of more than 36%. During January, a large number of structures were redeemed for a total notional of around €32m.

VT Protean Capital ELDeR Fund

This fund developed by Investec Wealth & Investment and Protean Capital aims to generate income and capital growth through investments in structured products linked to major global equity markets. The Fund may also invest in collective investment schemes, money market instruments, debentures, fixed interest securities, deposits and cash and near cash.

The manager anticipates annual income of circa 4.50% to 5% and annual capital growth of circa two to four percent over the longer term. In January 2024, the fund held 45 structured products, including a Barclays FTSE Income Note 06/28 (3.97% of the fund); a CACIB FTSE Income Note 05/28 (3.37%); and a Morgan Stanley Dual Index Note 07/25 (2.87%).

Forte Pharma Fund

This actively managed fund is domiciled in Luxembourg. It aims to achieve its objective – generating long-term returns consistent with the preservation of capital and prudent investment management – through a strategy focused on investments in the global pharmaceutical and biotechnology sectors.

The fund invests in customised structured products with global pharma companies as underlyings. It has no benchmark index and is not managed in reference to a benchmark index.

As of 31 December 2023, the fund was invested in 19 structured notes with an average maturity of 27.2 months and an average coupon of 24.52%. The products were linked to 22 different equity underlyings and issued via nine different issuers with a median credit rating of A-.

The cumulative fund performance for 2023 was negative at -13.81%. The minimum subscription for the fund is US$200,000 and there is a management fee of one percent. A performance fee of 20% is applied in accordance to the high watermark principle.

Lowes UK Defined Strategy Fund

The investment objective of this Irish domiciled Ucits fund is to provide an annualised targeted return in excess of five percent above the Bank of England Sterling Overnight Index Average (Sonia) over the medium to long-term in rising, directionless or modestly falling UK equities markets. It aims to achieve its objective by investing in structured products. The fund comprises 21 different strategies, which are diversified in terms of observations dates, observation levels and counterparty exposure. Gilt-backed strategies are spread across two investment banks, while the strategies in note form are diversified across five issuers.

In December 2023, the fund rose by two percent, taking its return for the year to 7.50%. The largest holdings include an eight-year gilt-backed note linked to the FTSE 100 that offers an annual coupon of 8.31% and is set to mature (if not autocalled prior) on 11 July 2027 (6.59% of the fund) and another eight-year gilt-backed structured, this time linked to the FTSE Custom 100 Synthetic 3.5% Fixed Dividend Index (FTSE CSDI), with a potential coupon of 9% pa. that expires in November 2031 (4.73% of the fund). As of 31 December 2023, 83.01% was invested in strategies; 9.30% in unallocated gilts; and the remaining 7.69% in cash.

Ballybunion Insignia Defined Returns Fund

The investment objective of this qualifying investment fund regulated by the Central Bank of Ireland is to generate longterm capital growth. The fund has a target return of 7-9% per annum over rolling five-year periods. It aims to produce positive returns in all but extreme negative equity market scenarios by investing in a diversified pool of structured notes.

The fund primarily invests in euro denominated autocalls, although it may also invest in different payoff structures

and denominations such as GBP or USD. Underlyings vary from single indices and index baskets to multiple stock basket-based notes and single stocks. The fund usually holds 10 to 15 notes, with an approximately equal split by notional value and counterparty exposure. As of end-January 2024, the fund had exposure to 13 different counterparties (excluding cash) and was for 83% invested in step-down autocalls; nine percent in 100% protected notes; and eight percent in twin-win notes.

Causeway Securities Defined Growth Fund

This Dublin registered fund (Ucits V) offers actively managed exposure to a portfolio of autocallable structured products linked to major equity indices. The products are backed by G7 government bonds, reducing counterparty bank risk.

For investors requiring a regular income, the fund also has distributing share classes that pay out five percent p.a. (paid quarterly in USD or GBP), or four percent p.a. (paid quarterly in EUR) of the share class NAV. The funds cumulative performance for 2023 was 14.49% (Share class: USD-A).

Since its launch in February 2020 the fund’s performance is 11.22% with an annualised return of 2.77%.

Launch date

As of 31 January 2024, the portfolio comprises 16 step-down autocalls, each linked to a worst-of basket of three indices –mainly benchmarks such as FTSE 100, S&P 500, Eurostoxx 50, Russell 2000, Nikkei 225, and SMI. These products pay an average coupon of 10.02% pa and their average distance above the final autocall barrier is 9.48%. If the product reaches the final observation date, the coupons are triggered if the underlying indices are above 80%, or in some cases, 75% of their initial level.

Twenty-one products have already matured, paying an average coupon of nine percent p.a.

4 February 2020

Asset manager Causeway Securities

Fund manager(s) Gemini Capital Management (Ireland) Limited

Domicile Dublin, Ireland

Fund type UCITS V

Assets under management (*As of 31 Jan 2024) US$22.092m

Finanzlab Multi Index Fund

The objective of this Swiss open-ended fund is to provide an efficient investment in a diversified portfolio of barrier reverse convertible (BRC) products linked exclusively to equity indices of the major developed countries. The fund ended the year with a monthly performance of 0.76% and an annual performance of 11.77% (annualized 6.01%). Its goal remains to realise an annual absolute return of 5% net of fees and to

minimise risk through very low barriers. By the end of January 2024, the portfolio was invested at 90.55%, consisting of 10 products from eight different issuers, with the remaining 9.45% invested in cash. The average coupon is 6.47% per annum in CHF. Eight products have an American barrier of 50%, while the other two products have a European barrier of 60% and 50%, respectively, at maturity.

Launch date

Asset manager

Fund administrator

Domicile

Fund type

Assets under management (*As of 31 Jan 2024)

MGTS IDAD Refined Growth Fund

This UK open-ended investment company (OEIC) uses structured products to deliver reliable and consistent returns for portfolio managers allocating to alternatives.

The top 10 holdings of the fund include a Goldman Sachs Classic Autocall (5.71% share), a BBVA Triple Index Classic Autocall (5.50%) and a Marex Pharma Classic Autocall (5.46%). The fund’s cumulative performance for 2023 was 12.31%. As of 1 February 2024, the fund was invested for

75.84% in core holdings and 18.03% in tactical holdings –both comprising broadly of structured products from a range of issuing banks. The remaining 6.14% were cash holdings. Its average cover to capital loss is 41.15% with the average cover to capital gain at -5.41%.

The fund has exposure to 21 different issuers, of which BBVA has the largest share (6.22%), followed by Goldman Sachs (5.71%), Marex (5.46%), and Royal Bank of Canada (5.32%).

VT SG UK Defined Return Assets Fund

This open-ended investment company is sponsored by Société Générale and will seek to achieve its objective –generating capital growth over the long term – primarily via exposure (indirectly by way of a swap) to a portfolio of defined return investments. The portfolio is composed of 12 rolling up to six-year autocalls (each of which will have a potential maturity date on a different calendar month each year) which are designed to provide a defined return if the FTSE 100 is at, or above, a predefined level on a specified date. The fund may

also invest in transferable securities, bonds, money market instruments, deposits, and cash.

During January 2024, the fund returned +0.07%, ahead of the FTSE 100 Total Return Index which dropped -1.27%. The indicated gross redemption yield (GRY) at the end of January 2024 increased to 8.89%. The January leg did not trigger and remained in place, and post the month end the February observation point also passed without triggering a reset.

Index Solutions for Structured Products

Morningstar Indexes was built to keep up with the evolving needs of investors— and to be a leading-edge advocate for them. Our rich heritage as a transparent, investor-focused leader in data and research uniquely equips us to support individuals, institutions, wealth managers and advisors in navigating investment opportunities across major asset classes, styles and strategies.

The adoption of derivatives products within the global financial industry has undoubtably grown over the last 20 years. This growth allows investors to benefit from a wider range of investment vehicles, enhance their market access and more closely align their investments with their risk profile. Indexes play a central role within this ecosystem.

From traditional benchmarks and unique IP-driven indexes, to index design, calculation and distribution services, we have the capabilities and expertise to support the structuring community.

us indexes@morningstar.com