This year has seen a continued momentum of issuances linked to the S&P 500 Futures Excess Return (ER) Index, including variants with a volatility control or decrement feature.

As part of the S&P factor series, the excess return index constructed from the front-quarter e-mini futures contract on the S&P 500 is arguably in its heyday in the structured note market having been live since 2010. In August 2023, Goldman Sachs first successfully brought the underlier to the US through registered structured notes after making several attempts earlier that year, SRP data shows. Its sales volume on the single index hit US$129m by the end of 2023. BNP Paribas, J.P. Morg