SRP in brief: measuring risk

This week saw the launch of SRP Greeks, an advanced platform for Greeks data, which offers daily Greeks calculations on Delta, Vega, Gamma, Vanna, Charm and other key sensitivities across some of the most actively traded underlyings including S&P 500, Eurostoxx 50, HSCI, Nvidia and Microsoft.

To develop the new solution, SRP partnered with structured product systems and analytics specialists Future Value Consultants (FVC), who provide the derivative pricing calculations underpinning the Greeks sensitivities. 

Leonteq posted disappointing results for 2024 after recording a reduction in net trading with limited but positive contributions from both hedging and treasury activities totalling CHF21.5 million (US$23.7 million) compared to CHF36.6 million in 2023.

BNP Paribas on the other hand saw its full year 2024 revenues increase to €48.8 billion – up 4.1% year-on-year (YoY) with the bank’s global markets business achieving strong growth in equity & prime services, up 27.8% from 2023, driven by equity derivatives and strong performance in the Americas and Asia Pacific.

Given the geopolitical uncertainty and potential risks to South Korea’s political and economic stability, we chose to minimise exposure - Vincent Bonnard

In part two of our funds of structured products roundup, Jeroen Sinnige of MSF Asset Management, explained why 2024 was a year with few negative outliers for the company’s Market Stability Fund.

“Only the beginning of August was a little turbulent due to movements in interest rates in Japan, which resulted in the Japanese yen weakening and causing some global unrest on the stock markets,” Sinnige said.

Vincent Bonnard of Finanzlab told SRP that the decision to sell the Multi Index Fund’s only position in the Kospi 200 was prompted by the unexpected declaration of martial law by the South Korean president.

“Given the geopolitical uncertainty and potential risks to South Korea’s political and economic stability, we chose to minimise exposure […] the fact that the product was still trading above par made the decision easier,” Bonnard said.

Meanwhile, South Korea’s Financial Supervisory Services slammed the lack of protection for financial customers during the sales process of equity-linked securities tracking the Hang Seng China Enterprises Index as one of the causes driving up financial troubles last year.

‘Excessive sales goals, inappropriate KPI design, formal committee operation, [and] poor sales system’ are among the causes that led to weak internal control and acted as a cause of incomplete sales following its inspection in early 2024,' according to the country’s financial watchdog

SRP’s Nikolay Nikolov provided a global overview of market cap indices in the period 2022-2024 with an uptick in usage registered in Europe and especially the US while Apac experienced a notable decline.

In absolute terms, the market size decreased from US$195.6 billion in 2022 to US$182.1 billion in 2024, according to SRP data (as of 30 January 2025).

FVCs Maggie Tsang analysed key performance trends in product maturities in 2024 in the UK market noting a growing demand for protected income products, particularly since mid-2023, demonstrating the importance of protecting capital and consistent returns. 

Meanwhile, the Eurostoxx 50 index (SX5E) finished 2024 with a positive performance of 14% which was also reflected in the returns delivered by structured products linked to the European benchmark.

The SX5E appeared as the sole underlying index for 16.9K products worth an estimated US$36.4 billion sold across markets in 2024 while maturing products delivered well above current fixed income rates.

Market reviews

There were market reviews for Thailand, Poland, Ireland and the US. The former registered sales growth for structured notes linked to equity baskets of 87% YoY, with the shares of the country’s private healthcare group Bangkok Dusit Medical Service alongside Tesla and Nvidia the most widely used basket components.

Stock baskets also continued to be popular in Poland, capturing 40% market share in Q4, while in Ireland – where National Bank of Canada made its first ever appearance as an issuer – structures tied to single equity indices held the overwhelming majority in the quarter (71% market share) ahead of those linked to managed funds (19%).

In the US, fixed indexed annuity sales set a record at US$125.5 billion in 2024, up 31% YoY, according to Limra’s latest survey results. Also in the US, four investors filed a claim with Finra against Fidelity Brokerage Services for failing to protect them from the ‘reckless trading strategies’ of an advisor in their Fidelity brokerage accounts.

People

In people news, SRP reported on J.P. Morgan’s global markets co-head Jason Sippel parting ways with the US investment bank to join hedge fund Rokos Capital Management. Pranav Thakur, who became co-head of markets with Sippel in 2024, will take on an expanded role as sole head of global markets.

More people developments were seen at BBVA, which expanded its quantitative investment strategies (QIS) solutions team with the appointment of Xavier de La Porte du Theil who joins the Spanish bank as executive director, QIS solutions in Madrid.

Over in Singapore, Arjan de Boer, head of markets, investments and structuring for Asia at Indosuez Wealth Management, left the company after nearly eight years of service following a recent restructuring.

_{Image: Supatman/Adobe Stock.}

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