An equity decrement index is a modified version of an index where the actual dividend stream is replaced by a fixed and predefined amount. The fixed amount is deducted from the asset’s total return at a constant rate. Decrement versions of major equity indices like the FTSE 100 have been widely used as underlyings in structured products for years, and their growth is well documented.

Yield-Based vs Point-Based Decrements

A central design choice in decrement indices is whether the decrement is applied as a fixed number of points or as a percentage yield. A yield-based decrement scales with the price, meaning the deduction grows as the underlying rises and shrinks as it falls. A point-based decrement, by contrast, subtracts a constant number of index points each year regardless of price level. This distinction matters: point decrements will deduct higher amounts when the underlying declines which could result in a significantly higher equivalent yield than at the launch of the index.

Performance Comparison of FTSE Decrement Indicies

FTSE CSDI and 45 Point Decrement Indices

The FTSE Custom 100 Synthetic 3.5% Dividend Index (CSDI) is a yield-based decrement index. This applies a fixed 3.5% decrement to the FTSE 100 Synthetic Index which uses futures to generate a total return index based on the same universe as the FTSE 100 index.

There are currently 50 live products linked to the FTSE Custom 100 Synthetic 3.5% Dividend Index (CSDI) with 89 matured. The average underlying level of the live products is 121.44% after an average of 1.38 years which is very similar to the current relative underlying position of FTSE 100 live products. These two indices are highly correlated and Figure 1 shows that the performance of these underlyings over the past 5 years has been very similar.

The products that have matured linked to this index have paid an average return of 8.78% with an average maturity of 2.08 years. There have been no losses for products linked to this underlying. This return is considerably higher than the average return of products linked to the FTSE-100 which is due to market timing, index performance and product payoff choice.

The second decrement index is the FTSE 100 Equally Weighted 45 Point Decrement Index. Like the CSDI this is in use in products available for investment in the UK at the moment as well as linked to products currently in life and matured. At this time there are 71 live products and 15 matured products. The underlying level stands at 104.96% after 0.98 years which is significantly lower than the 121% observed for both the FTSE 100 and the CSDI. This shows there has been more modest underlying performance for the products linked to this underlying which lowers the probability of returns and increases the current risk profile of these products.

As with the CDSI all the products linked to this index have some autocall feature. With autocall products there is not generally a requirement for underlying growth to reach the maximum return. The fact that the current underlying level is not much higher than its starting level may be less of a concern to investors than for other product types.

Although the current position for products linked to this index looks less optimistic than for the other two indices shown here the matured products have paid the highest returns of the three of 9.27% on average. Again, no products have matured with a loss or capital only meaning all have paid a return on top of the initial investment. The current level of this index is 983.71 (as of 24 April 2026) which means the current equivalent yield is 4.57% which is higher than most indices seen in the UK. The index is up from this time last year where the lower index level meant an equivalent yield of 5.4%, in Apr 2024 the equivalent yield was 5.6%. A high yield allows for products offering attractive returns due to the increased risk and negative forward of the underlying. Products with potential to mature that were priced under these conditions may mean that products linked to this index continue to show standout returns.

Decrement indices have proven to be an effective and well-established tool in structured products, helping deliver enhanced returns for investors. Both yield-based approaches, such as the FTSE Custom 100 Synthetic 3.5% Dividend Index, and point-based structures like the FTSE 100 Equally Weighted 45 Point Decrement Index have supported strong outcomes, with no losses observed in matured products to date. While their mechanics differ, each can play a valuable role, and understanding these differences allows investors to better appreciate the opportunities they offer.

This article was generated from data coming from the SRP Greeks application, a service which provides aggregate Greeks data on important underlyings in structured product markets. The product set is taken from the SRP database and all calculations and analytics are powered by FVC. For more information contact www.structuredretailproducts.com.