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.
as of 31 July 2020
The Multi-Asset, Quantitative and Solutions Team
Head of MAQS Team
Investment Multi-Asset & Structured Management
Investment Specialists Quant
Research & Strategy
Flexible & Absolute Return
Pension Funds & Corporates
Quantitative & Index
ETF / Index
Solutions & Advisory
Pension Funds & Corporates
Chief of Staff
Macro Research & Investment Strategy
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.
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