The Japan Synthetic Warrant Fund

The Japan Synthetic Warrant Fund (JSW) was launched in October 2005 and is a synthetic warrant fund investing in Japan. The objective of the Fund is to seek geared exposure to the Japanese equity market. This is accomplished via a combination of buying asset swapped convertible bonds (CB) and purchasing both listed and OTC warrants in companies that are quoted on the Japanese Stock Exchanges.

Unique concept and strategy without the costs associated with setting up covered warrants

The asset swap of a CB creates an option to repurchase the CB at an agreed level. The structure of the asset swapped options are made up of two components, a synthetic long call on the equity gained through exposure to a convertible bond and a synthetic short of the Japanese Bond market as the Fund sells the fixed income value of the convertible bond under a floating rate repurchase agreement at a fixed LIBOR spread.

Full JSW Fund Description