SRP in brief: onwards and upwards

US asset manager Calamos has listed the first-ever autocallable ETF, known as the Calamos Autocallable Income ETF, on NYSE Arca. The product tracks the MerQube US Large Cap Vol Advantage Autocallable Index through one or more total return swaps, with J.P. Morgan acting as the counterparty.

The new ETF is designed to provide a high stable monthly income through a laddered portfolio of 52 to 260 synthetic autocallable notes, ‘transforming a complex institutional market into an accessible, liquid, and tax-efficient ETF solution’. It seeks to invest at least 80% of its assets in US Treasuries, cash and cash equivalents and unfunded total return swaps on the autocallable index.

Natixis hired Romain Benvenuto as executive director, head of equity structuring, Americas, with a reporting line to Guillaume Calvino, global head of equity structuring based in Paris, the bank’s spokesperson confirmed with SRP. Benvenuto joined the French bank from HSBC, where he was most recently director, global head of quantitative investment strategies (QIS) structuring based in London during his 10 years at the British bank.

Emea activity

In Europe, the Middle East and Africa (Emea) region, some large issuers of structured products marketed cheaper products in 2023 for some payoff types, ‘including autocall, reverse convertible and barrier reverse convertible,’ Natasha Cazenave, executive director at the European Securities and Markets Authority, said during a presentation earlier this month.

As investors have become accustomed to higher rates for longer, we have seen renewed demand for structured products - Natalia Cermeno, Nomura

Nomura has entered a small group of banks that offer green structured notes in the private placement space. Natalia Cermeno, the bank’s co-head of structuring, Emea, noted that activity in the green structured notes market slowed down in 2022 and 2023 as fixed income rates were higher after global central banks lifted benchmark rates to fight inflation, driving down demand for yield enhancement.

‘As investors have become accustomed to higher rates for longer, we have seen renewed demand for structured products to eke out more competitive returns, leading to a record year in 2024,’ says Cermeno. “We could hit the €1 billion (US$1.16 billion) mark this year.’

The Gothenburg-based Strivo distributed a Nasdaq-listed 3273 Indexbevis Europeisk Försvarsindustri Platå, which offers leveraged exposure to a basket of European defence companies in a MerQube index while providing downside protection of up to 25%.

“We’ve observed growing demand this year for products linked to the defence theme. This appears to be driven more by opportunistic, theme-based interest than by a broader shift in overall investor appetite,” Olle Gustafsson, head of structuring at Strivo, told SRP.

In the UK, 68 publicly offered structured products collected an estimated £137m (US$184m) in May. Sales increased by 40% compared to April (£98m), but down 2.1% year-on-year, according to SRP data.

In an actively managed certificates roundup, we featured Zuercher Kantonalbank’s open-ended AMC, which achieved a turnover of CHF50m from 200 trades on SIX last month. 

In Switzerland, an estimated CHF11.4 billion (US$13.8 billion) was collected from 25,196 products that struck during April 2025, according to SRP data. Sales volumes were 23% down compared to the previous month but increased 23% year-on-year.

The Belgian Structured Investment Products Association (Belsipa)’s release showed that turnover of structured products issued on the Belgian primary market accounted for €687m (US$791m) during the first quarter of the year, down 36% year-on-year and 68% quarter-on-quarter.

Meanwhile, FVC’s Tim Mortimer looked into Vanna, while EVOLIDS FINANCE’s Patrick Oberhaensli analysed how the aggregation of different Greeks provides extra insights when managing underlying risk.

Product development in Apac

Pivoting to Asia, Amundi BOC Wealth Management, the Paris-based firm's wealth management joint venture with BOC Wealth Management in China, has rolled out its offering of structured wealth management products. The new product which tracks the S&P 500 and is based on a bear knock-out payoff structure struck on 4 June,.

The product comes to the market as the joint venture issuer looks to diversify its product shelves, according to a source familiar with the matter, with the latest underlying allowing investors to express a “short” view compared to the conventional “long” view on the S&P 500 seen in the market.

Recapping the discussions at SRP China conference held in Shanghai earlier this month, the large language model (LLM) has made it easier for Keyway Capital to package a structured product into a solution to meet clients’ demand, according to the firm’s chairman Michael Wu, who spoke at the technology-themed panel.

QIS has gained traction as such investment strategies respond to different macro environments, including in a low-rate environment seen in China, according to Xiaofan Chen, head of structured products, financial markets at Shanghai Pudong Development Bank, who shared during the index-focused panel discussion.

Meanwhile, in South Korea, interest rate-focused, capital-protected derivative-linked bonds (DLBs) accounted for the largest market share of the country’s structured product sales in May, amounting to nearly 33%, or KRW1.68 trillion (US$1.2 billion) in volumes. 

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