The demand for decrement indices in the US structured note market has been faltering despite this year’s growth.
This year the market has logged a noticeable pickup in the issuance of structured notes on decrement indices compared to three years ago. However, the activities remain highly concentrated in the notes linked to MerQube vol advantage indices series, a collaboration between J.P. Morgan and its affiliated index provider MerQube over the past three years, SRP data shows. “During the pandemic, the demand for decrement indices the US and Asia Pacific increased a bit after interes
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