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 on notes linked to MerQube vol advantage indices series, a collaboration between J.P. Morgan and MerQube over the past three years, SRP data shows. J.P. Morgan currently holds a 10% equity interest in the US index provider. “During the pandemic, the demand for decreme