Trade of the month: leveraged return notes

Capped upside in leveraged return notes works in gently rising markets


Leveraged return notes - also known as super trackers or accelerated return products - were once very popular in the US, although they have been eclipsed in recent years by autocalls. The idea behind a leveraged return note is to provide returns that may beat the underlying asset while providing some capital protection. The typical structure has a maturity of one year or longer. On the upside, the product will generally have a participation rate in excess of 100%, possibly with the inclusion