Swiss bank Julius Baer has said it has opened an internal investigation in connection with FIFA amid a corruption scandal surrounding soccer's governing body.

Julius Baer, Switzerland third largest listed bank, was one of a number of banks mentioned in the US Department of Justice's May charge sheet against high-ranking individuals in FIFA.

"We have launched an internal investigation," a spokesman for Zurich-based Julius Baer said. "We are fully cooperating with the authorities."

The spokesman declined to say when the investigation began, or with which authorities it was cooperating.