Robeco Alternative Investments has launched a capital-protected note linked to a credit hedge fund managed by Robeco Asset Management. The underlying fund, launched last month, buys and sells credit-default swaps and also uses an overlay of currency futures and forwards to smooth its fx exposure. In addition to the currency hedge, Robeco entered an interest rate swap to reduce the note's exposure to interest rate changes from the zero coupon bond which provides the note's capital protection. The use of three different asset classes in the structure earned the note it its name, the Robeco Hattrick Bond.
Edwin Noomen, head of structured products at Robeco Alternative Investments in Rotterdam, said Lehman Brothers is the prime broker of the fund, but said it will use several different counterparties. The zero coupon bond was issued by Robeco Nederland.
The fund itself has EUR2 billion under management, with EUR1.2 billion coming from investment through the capital-protected note. Structured credit funds are increasingly being coupled with capital protection and being pitched to high-net-worth investors, a recent similar deal was launched by ABN AMRO and AXA Investment Managers (DW, 1/28).
