Fortis Investment Managers is marketing a novel share-basket deal in France, based on a zero-coupon bond and equity option structure. In the deal, dubbed Fortis Objectif 2008, investors' capital is protected and tied up for just under two years. At the end of the term, investors receive a minimum return of 130%, minus the difference between the five best-performing and five worst-performing shares in the 15-stock basket. The basket consists of correlated names such as BNP Paribas, Unicredito Italiano, Deutsche Bank and ABN AMRO.
Frederik Stoop, structured products manager in Belgium, declined comment on the counterparty or target size. He noted the correlated stocks make the structure more attractive to investors because there is a higher likelihood of it paying out, although this has also raised the cost of the option for Fortis. Short-dated capital-protected deals with high potential payoffs are popular on the continent right now, he added, noting even if the structure fails to pay out more than capital invested, investors have only missed out on interest-rate growth. "The opportunity cost is not high," he added.