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Derivatives

Julius Baer Readies Fund Basket Structures

Bank Julius Baer is looking to structure capital-protected and non capital-protected products linked to a basket of single-manager, single-strategy hedge funds.

Bank Julius Baer is looking to structure capital-protected and non capital-protected products linked to a basket of single-manager, single-strategy hedge funds. The basket will reference the bank's own funds, and will likely focus on currency, credit and emerging markets, global rates and diversified fixed income, said Yoshiki Ohmura, v.p. and head of alternative risk trading in Zurich.

The capital-protected products, called guaranteed alternative investment notes, will be structured using constant proportion portfolio insurance. The non capital-protected products, called absolute return certificates, will be either delta-1 certificates, which Ohmura described as tracking the performance of the underlying basket one-to-one, or leveraged certificates. Julius Baer will hedge the products, both CPPI and option-based, by buying and selling shares in the underlying funds.

Separately, Julius Baer is building a managed accounts platform so it can include non-proprietary single managers in its structures. Ohmura expects the first deal referenced to external funds to be done before the end of the year.

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