Capital Management Advisors (CMA) plans to launch capital guaranteed products linked to its EUR65 million (USD69.39 million) Pantheon Fund, a fund of 28 diversified hedge funds. BNP Paribas will structure the notes, having recently executed CMA's first leveraged note linked to the Pantheon Fund.
Marcos Camhis, coo at CMA in Geneva, said the group is planning to create the capital guaranteed notes with an options-based structure. Alessandro Mauceri, ceo of a research subsidiary of CMA in Geneva, said investors are asking for options-based structures because they are wary of the risk of full defeasance before maturity in products structured using constant proportion portfolio insurance (CPPI) due to the low interest rate environment.
The manager would like to structure products with a coupon to give investors annual income, Camhis said. The size of the coupon depends on interest rate levels, but would range between 1-2.5%. The notes would be EUR30-50 million and be marketed to institutional clients in Europe. The instruments will have a maturity of five to eight years because products with shorter maturities do not give the structurer enough capital to buy the option.
The Pantheon Fund is administered by BNP Paribas and constructed and managed by CMA.
