BlueBay Asset Management, a U.K.-based bond manager, is offering capital-protected notes referenced to two of its single-strategy bond funds. These types of notes are rare because investment banks shy away from writing options or constant proportion portfolio insurance on single funds.
Barclays Capital and Deutsche Bank provide the CPPI, according to Alex Khein, head of structured products at BlueBay in London. He said the asset manager also talked to JPMorgan, which offered a zero plus call option strategy. This did not appeal as much as the CPPI structures because JPMorgan's hedging of the call option could affect the underlying funds more than CPPI.
Last year, BlueBay raised USD300 million through its structured products issuance. The products will close to new investment by year end.
