Last week Ferrell Capital Management began premarketing its $250 million Concert II series market value CDO.

The unique deal's cash flow is based on the performance of a group of hedge funds. Ferrell was showing investors $50 million worth of un-rated junior notes with an internal rate of return of 18%-22%

DKR Capital's AIG International Relative Value Fund acts as the underlying asset through an investment of $200 million (five-year final maturity) in the fund. Swap financing (which is not offered) comprises $150 million of the transaction. BNP Paribas is the swap counterparty. The funds' investments range from commodity and currency arbitrage to domestic and European merger/arbitrage opportunities.

AIG Intl Relative Value has a 5-year performance record of 11.7%, net of fees, with a standard deviation of 2.58%. Six months after the initial investment date, junior note holders have a quarterly option to can get out of the transaction.

Links Securities is acting as a placement agent along with Ferrell.

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