OUR SPECIALIST PENSION SOLUTIONS CAPABILITY

The day-to-day management of our CDI approach is the responsibility of our Multi-Asset, Quantitative and Solutions (MAQS) team, a dedicated multi-asset investment team that combines the best of both BNPP AM’s fundamental and quantitative expertise.

Up to 20 Solutions modelling, structuring and portfolio management professionals can help tailor CDI portfolio (either real or synthetic) to the objectives, needs and preferences of institutional investors.

The MAQS team manages approximately 132.3bn euros of assets, comprising 165 experts and an experienced leadership team split across four pillars: Multi-Asset, Structured Management, Quantitative & Index, Solutions & Advisory.

Whilst the underlying investment teams are responsible for the selection of assets the MAQS team are responsible for asset allocation, ensuring compliance with client guidelines and managing / matching cashflows against client liabilities.

20
MODELLING SOLUTIONS

132.3bn euros

OF ASSETS

(UNDER MAQS MANAGEMENT)

132.3bn euros

OF ASSETS

(UNDER MAQS MANAGEMENT)

165
MAQS EXPERTS

as of 31 July 2020

The Multi-Asset, Quantitative and Solutions Team

Denis Panel

Denis Panel

Head of MAQS Team

Jean-Philippe Olivier

Jean-Philippe Olivier

Investment specialist

Investment Multi-Asset & Structured Management

Investment Specialists Quant

Investment Multi-Specialists

Christophe Moulin

Christophe Moulin

Multi-Asset

Research & Strategy

Target allocation

Flexible & Absolute Return

Gilles David

Gilles David

Structured Management

Pension Funds & Corporates

Retail

Insurance

Isabelle Bourcier

Isabelle Bourcier

Quantitative & Index

Quant

ETF / Index

CIB Strategies

Anton Wouters

Anton Wouters

Solutions & Advisory

Pension Funds & Corporates

Insurance

Laurent Garde

Laurent Garde

Chief of Staff

Lucien Carton

Lucien Carton

Investment Process

Richard Barwell

Richard Barwell

Macro Research & Investment Strategy

SYNTHETIC REPLICATION OF PRIVATE CREDIT EXPOSURE

While we believe at BNPP AM we have a competitive advantage, with unrivalled access to the origination capabilities of a Tier One global bank, one of the challenges of implementing large CDI portfolios is the material time that it can take to source high quality assets.

As credit terms, covenants and spreads are cyclical in nature, single asset class commitments can suffer as individual managers feel compelled to find assets irrespective of the assessment of the underlying environment. Active asset allocation can allow a multi-asset private credit manager to allocate cashflows to where value exists at any point in time. However, even with this approach there is likely to be a lag between receipt of cashflow and ultimately the identification of a suitable asset.

The simplest (and most common) way to solve such an issue is to ‘park’ assets in cash or liquid investment grade credit prior to identification of suitable assets. Whilst providing the requisite liquidity, such an approach may not be optimal as there is an associated opportunity cost and cashflow risk.

BNPP AM, together with the BNP Paribas Group, has designed a synthetic replication approach that can offer clients the desired liquidity and a spread to more traditional liquid investment grade credit. Alternatives do exist and, depending on the underlying sleeves to be incorporated into the mandate, a synthetic portfolio can be built on a temporary basis using listed and synthetic assets.

One step further would be to incorporate into the replication portfolio the use of over-the-counter real estate, equity and credit derivatives (like equity default swaps and credit-default swaps) as shown in the illustrative table below.

A
SYNTHETIC
REPLICATION APPROACH
GIVING CLIENTS THE
DESIRED LIQUIDITY

Listed infrastructure (or utility) bonds can be used to provide a yield pick up to long-dated investment grade credit whilst offering a high degree of correlation to underlying infrastructure debt transactions. This is particularly pertinent as often they are used as the benchmark by which infrastructure debt managers provide marked to model valuations of their own assets

ABS

Underlying proxy types

Debt / derivatives:

  • Credit card
  • Leasing
  • Auto / Equipment Hire
  • Consumer Loans
  • Listed alternatives

Infrastructure debt

Underlying proxy types

Debt / derivatives:

  • Agricultural Operations
  • Heavy Construction
  • Engineering and R&D
  • Pipelines
  • Oil Field Machinery
  • Listed alternatives
  • Reverse convertible
  • Equity default swaps
  • Credit default swaps

(Leveraged) Loans

Underlying proxy types

Debt / derivatives:

  • Corporate debt
  • Listed alternatives
  • Credit default swaps

Commercial real estate debt

Underlying proxy types

Debt / derivatives:

  • REITS
  • Home Builders
  • Estate Management
  • Operations
  • Listed alternatives
  • Reverse convertible
  • Equity default swaps
  • Credit default swaps

Real assets

Underlying proxy types

Corporate debt / derivatives:

  • Forestry
  • Timber
  • Listed alternatives
  • Reverse convertible
  • Equity default swaps
  • Credit default swaps