In this episode of What the Halo, host David Townsend sits down with Matt Swingle from RBC Capital Markets to discuss the launch of the S&P 500 Market Agility Index and how it’s reshaping structured product offerings.
Matt shares how RBC is leaning into growth in the U.S., the innovation behind this new volatility-controlled, rules-based index, and why structured notes are becoming a key access vehicle for advisors and investors alike.
What’s Ahead:
- RBC’s growing U.S. derivatives footprint and retail focus
- Why credit quality matters in structured products
- What makes the S&P 500 Market Agility Index unique
- How long/short and volatility targeting create tactical flexibility
- Where structured notes fit into a modern portfolio
- How advisors can use this to differentiate their practice
Read the full episode transcript below:
David Townsend:
I’m your host, David Townsend. I’m joined today by RBC’s Matt Swingle. Matt, welcome to the show.
Matt Swingle:
Thanks so much, David. Great to be here today.
David Townsend:
Hey, for those maybe a little bit new to you and RBC, can you give us a bit of background? Tell us a little about RBC.
Matt Swingle:
Yeah, absolutely. I joined RBC in 2022. Prior to that, I worked at a few large U.S. institutions, spending a lot of time in the derivatives space, specifically with structured products.
Here at RBC, we’re really leaning into our growth in the U.S. Of course, we’re one of the largest banks by market cap globally—top ten—and we have a rapidly growing footprint in the U.S. Even though we’re headquartered in Toronto, we’re very New York-centric. Sitting here on our trading floor, we have leaders across trading, structuring, sales, and global management—really leaning into what our franchise looks like, especially within derivatives.
RBC itself is growing massively. We have nearly 100,000 employees worldwide and serve 18 million clients. Our wealth management division has grown to become the sixth largest globally, especially in the U.S.
One thing we like to highlight is that we’re considered a top credit in the industry. As you and I talk about structured products today, that’s an important point to drive home. When you’re purchasing a bond and an options package, knowing that you’re doing so with a top credit is extremely important.
David Townsend:
Absolutely.
Matt Swingle:
My role has evolved since joining RBC. It started purely within structured products, but as we’ve grown the derivatives franchise, my mandate has expanded. Now it’s more solutions-focused across not just structured products, but also insurance, ETFs, and ETNs. And, as we’ll talk about, QIS—quantitative investment strategies—are growing not just within structured products, but across a lot of different wrappers.
David Townsend:
Yeah, and what’s interesting is the sophistication of the retail audience—independent RIAs, for example—has really grown. It’s amazing what’s available now, and your team’s expertise has grown right alongside it. We’re thankful you could join us today.
Matt Swingle:
Yeah, I think that’s an important point. When we look at the retail space and RIAs specifically, it’s no longer just cookie-cutter equity/bond sleeves. There are so many alternatives now. And at RBC, we want to lead that effort and provide truly innovative solutions.
David Townsend:
Quick side note—when I got the call about Halo, I came from institutional investment management with a strong background in structured products. I figured it was going to be the same thing—just institutional clients. Then I got here and realized, wait a minute… this is for everyday investors too. It’s amazing how far the space has come.
Let’s dive into one of the more interesting developments: the S&P 500 Market Agility Index, or more formally, the S&P 500 Market Agility 10% TCA .5 Decrement Index—which we’ll just call the S&P Market Agility Index for short. Tell us more about it and why RBC is excited.
Matt Swingle:
Absolutely. We went live with the index in February 2024. One of our focuses is innovation—listening to advisors and identifying themes that are both timely and forward-looking. This index marries those two needs.
We partnered with S&P, who are best in class. They bring index creation capabilities, and we bring structuring and innovation. This partnership allowed us to build the S&P Market Agility Index.
It’s 100% rules-based—no discretion from the sponsor or calculation agent—and fully transparent. It’s designed to be a more tactical evolution of the traditional 60/40 portfolio approach.
David Townsend:
Right. There’s been a big shift away from the set-it-and-forget-it mentality.
Matt Swingle:
Exactly. Remember all the headlines in 2020? “The death of 60/40.” Then COVID hit, rates dropped to zero, and suddenly it was more than just a talking point.
Then in 2022, as rates began rising, we saw a rebound in interest rates and the return of the 60/40 model. That’s when we asked ourselves—how do we make this more dynamic? That’s what the Market Agility Index is all about.
David Townsend:
And what’s really fascinating is that this index is not just long-only—it can go both long and short. That’s a key differentiator.
Matt Swingle:
Exactly. The two main components are the S&P 500 and U.S. Treasuries. The index is designed to be predominantly long—this isn’t a bearish strategy—but it’s strategic. During major dislocations like COVID or parts of 2022, going short can provide alpha.
On the equity side, we go short when 1-month momentum is negative and 5-day realized volatility spikes. During COVID, that signal held for 2–3 weeks and drove significant outperformance.
On the bond side, we’re either long 10-year Treasuries or short 2-year, depending on interest rate trends and curve shape. We don’t want to short the 10-year—it’s a safe haven—but the 2-year is more responsive to regime shifts.
David Townsend:
So it’s basically adjusting automatically based on market conditions. Most of the time it stays long, but when volatility or momentum shifts, it reacts.
Matt Swingle:
That’s right. Around 70–80% of the time, the index is long. But when rates rise, like they did post-COVID, being able to short the 2-year can provide meaningful performance boosts. It’s about adding flexibility to core exposures like S&P 500 and Treasuries.
David Townsend:
And it’s built with volatility control, right?
Matt Swingle:
Yes, we target a 10% volatility level. That creates pricing consistency, which is really helpful for structured note issuers. You can offer consistent terms month over month because the call option pricing stays stable. That’s critical for advisors.
The index has historically annualized around 10% with a Sharpe ratio of 1. In principal-protected products, that’s compelling.
David Townsend:
Zooming out—how are advisors actually using this index? Is it viewed as a 60/40 replacement?
Matt Swingle:
Yes. With about 80% S&P exposure, it behaves similarly to a growth-tilted 60/40 portfolio but with less risk thanks to the volatility control and shorting mechanics.
When volatility is low, you get more equity exposure. When it spikes, you get less equity and more bond exposure. It also saves advisors from having to manually rebalance portfolios daily. This is a set-it-and-forget-it type of solution.
David Townsend:
You mentioned principal-protected notes. Why use a structured note to access this index?
Matt Swingle:
Structured notes are an access vehicle. Right now, this index isn’t available in mutual funds or ETFs. You can only access it via structured products.
Structured notes also offer unique benefits: they can generate yield, provide protection, and unlock innovation. In 2023, over $200 billion in structured notes were issued in the U.S.—a huge increase. That demand reflects how versatile they are.
David Townsend:
And with this index, you’re combining that protection with innovation.
Matt Swingle:
Exactly. Plus, the credit quality matters. RBC has top-tier credit, which is crucial in principal-protected offerings.
You also need a suitable index for this format. If you’re linking to a highly volatile single stock, the call option is expensive, which limits upside. With this index, we can offer better participation and still protect the principal.
David Townsend:
So for advisors looking to differentiate, this is a strong solution.
Matt Swingle:
Absolutely. If you’re an advisor, offering a structured note linked to this index can help you stand out from the competition.
David Townsend:
Last question—how can advisors get in touch and learn more?
Matt Swingle:
We have a dedicated team that handles everything from pricing to marketing. One of the best ways to get started is through our partner, Halo. You guys help facilitate those conversations and loop us in when needed.
Right now, we have a 5-year principal-protected note available with 2x upside leverage and no cap. It’s a great opportunity for advisors looking to provide differentiated value.
David Townsend:
You guys really do show up—whether it’s a $1 million client or a $100 million client. And the marketing support, including from S&P, is really strong too.
Matt Swingle:
Agreed. Just Google the index ticker—SPMKTD—and you’ll find a full index homepage with methodology, fact sheets, and performance data. It’s all publicly available and easy to use for both advisors and clients.
David Townsend:
Awesome. Lots of helpful content out there. Matt, we appreciate your time—thanks for joining the podcast.
Matt Swingle:
Thanks so much, David. Appreciate it.
David Townsend:
And next time you’re in Chicago, we owe you a beer.
Matt Swingle:
Looking forward to it—hopefully when it warms up!
David Townsend:
Exactly. Alright, thanks again.
Please see our Halo Disclosure Page for important disclosures.
An investment in Structured Notes may not be suitable for all investors. These investments involve substantial risks. The appropriateness of a particular investment or strategy will depend on an investor’s individual circumstances and objectives.
Content and any tools discussed are provided for educational and information purposes only. Halo Investing makes no investment recommendations and does not provide financial, tax, or legal advice. Any structured product or financial security discussed is for illustrative purposes only and are not intended to portray a recommendation to buy or sell a particular product or service.
