Case Study: Memory In Action

Performance & Exit Rationale:

In October, all three underliers—DELL, Ford, and Amazon—were exhibiting elevated implied volatility and mixed price performance, a clear signal of increased market uncertainty. Being cautious, we saw them as a strategic entry point. Elevated volatility, while commonly associated with risk, often allows for more favorable note structuring. By taking advantage of the heightened implied volatility, we were able to design a note with an attractive yield while layering in multiple levels of downside protection.

The note’s 20% coupon barrier with memory allows us to recover missed income payments retroactively when stocks moved back above their coupon barrier. For example, in March 2025, certain underliers temporarily fell below the coupon barrier, resulting in a missed distributions. However, by May 2025, all three stocks had recovered above the barrier, triggering a full recapture of the previously missed coupons.

Why We Highlighted this note:

In parallel, the 45% principal protection barrier was established when the underliers were already trading off their highs, further increasing the effectiveness of the downside cushion. This positioned the note well even in the face of prolonged market weakness, allowing for continued income generation without excessive capital exposure.

Conclusion:

Ultimately, the note was called in July 2025, locking in 22% income for the duration of the note and 100% repayment of capital. This note highlights the importance of executing capital at strategic times with tailored solutions and our ability to do that at Ancorato.