CS deploys RavenPack AI via structured fund in Japan

Credit Suisse has partnered with T&D Asset Management to launch a retail structured fund tracking the Credit Suisse Ravenpack Macro Trend JPY Index, which went live on 13 January.

thus making principal protection in Japanese Yen challenging, especially for shorter term products," Tomoyuki Sasai (pictured), head of solutions for Japan at Credit Suisse, told SRP. "Until not so long ago, 10 years was the shortest tenor for principal-protected funds in Japanese Yen."

As Japanese swap rates climb and credit spreads widen from 2022, principalprotected structured funds with a typical five-year tenor have gained traction in Japan, Sasai added.

(US$21.9m) and [we expect] to scale up for further tranches," said Romain Barba, head of investment solutions structuring for Japan at Credit Suisse.

The Swiss bank has been "a key player" in the Japanese structured fund market over the last decade, with capacity to launch offshore fund through its own platform Credit Suisse Universal Trust as well as via partnerships with onshore fund managers for domestic funds, said Barba.

With a three-year tenor, the Credit Suisse Corporate Bond/Big Data Multi Asset Strategy Fund (クレディ・スイス社債/ビ ッグデータ・マルチアセット戦略ファン ド) will be traded on 31 March following a one-month sales window. It will invest in JPY-denominated bonds issued by Credit Suisse and offers a fixed coupon on a yearly basis as well as a conditional coupon linked to the cumulative return of the reference index upon maturity.

The product offers 100% capital protection unless the bond issuer default or early redemption occurs.

"Interest rates have been very low in Japan for an extended period,

The fixed coupon is projected to be 1.15% to 1.35% pa. and will be decided on 31 March with the fund aimed at making distributions of 0.633% to 0.833% pa. before tax for end investors following the fund’s fee deduction. The conditional coupon will be zero if the underlier's cumulative return turns negative, otherwise, it will strive to have a 1:1 participation in the index growth.

T&D Asset Management and Sumitomo Mitsui Trust Bank act as fund manager and trustee, respectively. Credit Suisse Securities, Chibagin Securities and NishiNippon City Tokai Tokyo Securities will distribute the new fund.

"For the first tranche, we have set a reasonable target at JPY3 billion

Barba noted that the Premium Carry Strategy Fund (プレミアム・キャリー 戦略ファンド), which was launched in November 2022 and sells put options with a period of around one month on the S&P 500 index, has been a "topseller". SMBC Trust Bank acted as the fund's trustee.

According to SRP data, there are 52 structured funds managed by T&D Asset Management in Japan with a combined traded notional of US$3.1 billionequivalent.

Launched on 13 January 2023, the Credit Suisse Ravenpack Macro Trend JPY Index is a multi-asset allocation index with three percent volatility target, deriving from the Credit Suisse RavenPack Artificial Intelligence Index.