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.
Partner and Fund Manager – is a founding partner of Dejima and has been involved with the Japanese markets for more than 35 years and was among the pioneers of the Japanese warrant market. In that time he has held senior and significant trading roles in London for Nomura Securities, Robert Fleming, Baring Securities and Investec Bank.
Trevor’s Japanese market career started at Nomura in London and after approximately 2 years Trevor left to join Robert Fleming to act as number two on the convertible trading desk to John Galvanoni. When Japanese warrants were first issued he was responsible for the setting up of their trading desk at Flemings for which he became the director. After working for Robert Fleming for a period of 5 years he left to join Baring Securities with the responsibility of entering them into the market making arena. This was done very successfully and Barings became one of the major players in the market, which led to Trevor becoming a director, and at times being responsible for over 50% of the firm’s profits.
Trevor switched from a trading role to an advisory position at Investec Bank where he originally launched Dejima in the face of the Asian Market crisis. Trevor envisaged, designed and launched the synthetic warrant strategy first with The Dejima Fund Limited in 1998 and moved Dejima to MSG & Partners Limited (MSG, the predecessor to Stratton Street Capital LLP (SSC), which was founded in August 2000 and received its license from the FSA in March 2001. MSG was formed to act as the Advisor to Dejima, which the company took responsibility for in May 2001. The Japan Synthetic Warrant Fund was launched in November 2005 as a weekly dealing sister fund to monthly dealing The Dejima Fund Limited which has since been closed. Trevor continues to manage the Japan Synthetic Warrant Fund.
Matthew Lonergan CFA, CPA
Partner and Fund Manager – is a founding partner of Dejima and has over 25 years’ experience in financial markets in both the US and Europe where he has held senior asset management positions in derivatives and structured products in both the equity and fixed income arena. Matthew is joint manager of the Japan Synthetic Warrant Fund using Stratton Street Capital’s unique synthetic warrant approach that invests exclusively in the Japanese convertible bond market. Matthew joined SSC in 2002 to work on a number of projects including the launch of a global macro hedge fund but moved full time to investment management of the synthetic warrant strategy in 2003.
Prior to that he was a Director of Structured Products at IBJ Asset Management, where he worked in both London and NY from 1994 until 2002, where he covered equity and fixed income based derivative and alternative products, including both convertible and credit arbitrage and all derivative products. Before that Matthew worked at Bank Leu where he managed a convertible arbitrage fund. Before moving to London in 1991, Matthew worked for a number of financial services companies in the US. Matthew began his career with Arthur Andersen, a name now consigned to history. Matthew has an established track record in managing in both absolute return and relative environments. Matthew is experienced in structuring, setting up and managing investment vehicles including hedge funds. He trained as an accountant with Arthur Anderson after receiving a BS in Business Administration from Western New England University in the USA.
Rowan Chaplin ASIP
Partner and Fund Manager - is the third partner and fund manager of Dejima and joined SSC in May 2014. The interaction between ‘this is a cheap derivative, but is it a good company?’ has worked well over the last year. Rowan has more than 25 years of investing experience in Japan first as Head of Japanese Equities at Friends Ivory and Sime (F&C) from 1989 to 2004 managing £1.4 billion of funds in Japan in a variety of portfolios and risk profiles. Portfolios involved large cap, small cap as well as ethical mandates. In the early years convertible bonds (CB) made up a significant part of the Japanese portfolios to protect them as the market fell after the bursting of the Japanese bubble. Trevor was one of F&C’s CB market contacts during the early 1990’s while investing in CB’s.
The Tokyo Trust OEIC was AA rated by S&P in 2000. Ranking 20/181 over 3 years and 25/154 over 5 years. It was during this time Rowan worked with Matt Lonergan at Friends Ivory & Sime, but for a much longer period.
Rowan moved to CQS Management in early 2005 managing Long / Short Japanese Equities until 2007. Rowan ran a carve out of the CB fund as well as providing directional equity research views for other portfolios within the firm. From 2008 to 2010 he worked at Theme Research a third party research boutique with an ex CQS colleague. Rowan joined Mizuho International between 2010 and 2013 where he was in contact with SSC on Japanese research sales.
Dejima Asset Management LLP is an appointed representative of Tiburon Partners LLP which is authorised and regulated by the Financial Conduct Authority. Copyright Dejima Asset Management LLP 2017. All rights reserved.