for the BRC segment. With the SSPA Benchmark Index, the industry association aims, by its own account, to demonstrate on an ongoing basis that this popular structure works. In this way, the index is intended to strengthen market acceptance and product understanding. Strict rules apply to the benchmark, which is calculated in USD, CHF and EUR. Each version contains twelve standardised BRCs based on the well-known equity indices S&P 500, EURO STOXX 50 and Nikkei 225. “Together, they cover around 75% of the MSCI World Index and provide broad international diversification,” explains the SSPA. Each product included has a maturity of twelve months, a strike of 100% and a barrier at 70% of the initial levels. The structure contains a European option, which means that the protection threshold only applies at maturity. Price movements until then are of no significance.<\/p>\n\n\n\n
![\"\"](\"https:\/\/www.payoff.ch\/wp-content\/uploads\/2026\/10\/payoff-magazine_1026_Grafik_LC_en-1024x616.png\")
<\/figure>\n\n\n\nThe maturities are staggered, so one BRC drops out of the index every month. The capital received, including the coupon, is reinvested in a new product. To obtain the best possible terms, the concept relies on two specialised marketplaces: issuers submit their offers via the Deritrade and Evooq platforms, and the most attractive offer wins. Solactive AG is responsible for the ongoing calculation. Each month, the Frankfurt-based service provider resets the BRCs included to equal weights and continuously deducts the management fee of 1% from the performance.<\/p>\n\n\n\n
A Convincing Track Record<\/h3>\n\n\n\n
So much for the rules. In practice, the SSPA Benchmark Index underlines the hybrid nature of traditional Yield Enhancement Products. BRCs can by no means keep pace with share markets, which have been climbing steadily for years, but they perform significantly better than bonds. To substantiate this, the industry association commissioned the University of Zurich to carry out a comprehensive analysis. As part of the study, the researchers compared the benchmark directly with shares and bonds for the period from 2008 to summer 2024. At 3%, the annual volatility of the BRC benchmark was only marginally higher than that of Swiss Confederation bonds, while the volatility of the MSCI World Index during the entire period under review was around 17% on an annual basis. In terms of risk-adjusted return, the so-called Sharpe ratio, the SSPA Benchmark Index clearly outperformed both shares and bonds.<\/p>\n\n\n\n
Since going live, the index has confirmed the picture established by the university in backtesting. The benchmark was, indeed, held back by interim market setbacks \u2013 most recently at the outbreak of the Iran war at the end of February. Apart from that, however, the benchmark is showing a steady upward trend. With a gain of almost a fifth since the end of July 2024, the USD version stands out. This reflects the different interest rate levels in the three currency areas: USD-based BRCs usually pay considerably higher coupons than comparable products in EUR and, in particular, in CHF.<\/p>\n\n\n\n
The SSPA is pleased with the start of the benchmark. “In the first year, usage and visibility increased steadily both on the buy side and the sell side,” board member Sylveline Besson recently told the Swiss financial newspaper “Finanz und Wirtschaft”. In her view, the launch was well received by the industry. For the first time, a transparent and rules-based reference value is now available for a typical yield enhancement structure. In the interview, Besson outlines how the benchmarks can be used. “In wealth management, they allow for the comparison of the performance of Structured Products in portfolios managed under advisery or discretionary mandates,” the SSPA representative explains, amongst
other things.<\/p>\n","protected":false},"excerpt":{"rendered":"
The Barrier Reverse Convertible (BRC) has always been a “blockbuster” in the Swiss market for Structured Products. To document the strengths of this product, the industry association SSPA launched its Benchmark Index a year ago \u2013 we are taking stock.<\/p>\n","protected":false},"author":7,"featured_media":1448049,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"ngg_post_thumbnail":0,"footnotes":""},"categories":[219],"tags":[],"class_list":["post-1448291","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-learning-curve-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/posts\/1448291","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/comments?post=1448291"}],"version-history":[{"count":1,"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/posts\/1448291\/revisions"}],"predecessor-version":[{"id":1448294,"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/posts\/1448291\/revisions\/1448294"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/media\/1448049"}],"wp:attachment":[{"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/media?parent=1448291"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/categories?post=1448291"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.payoff.ch\/en\/wp-json\/wp\/v2\/tags?post=1448291"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}