Animal Spirits Podcast Talk Your Book: Structured Notes in an ETF
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Jan 19, 2026 Join Jeff Schwarte, an executive at Simplify ETFs, as he delves into the world of structured-note-based ETF strategies. He explains how auto-callable structured notes work and the mechanics of barrier options. Discover the strategy's objective of generating income while buffering downside risks, with insights on laddering effects during market downturns like COVID. Jeff also sheds light on simplifying the incorporation of structured notes into ETFs, comparing them to preferred securities, and discussing embedded protections that enhance stability.
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Structured Notes Wrapped In An ETF
- Simplify packages structured-note contracts into an ETF to provide liquid, continuously tradable exposure to laddered structured notes.
- This creates operational efficiency and allows investors to access negotiated OTC option premiums without buying single illiquid notes.
Collect Premiums, Use Treasuries As Collateral
- Sell barrier options to collect upfront premium and use short-term treasuries as collateral to fund income distributions.
- Design non-call periods so you can stack premiums when contracts are called, increasing distributed yield.
Income Comes With Defined Drawdown Triggers
- The strategy targets double-digit yields by underwriting equity drawdown risk via barrier strikes around 30%.
- Investors receive income while only participating in drawdowns if the underlying closes below the barrier at expiration.