The French pension reserve fund has announced the funds through which it will be implementing a €200m investment in European securitisation strategies.
The initiative, which Fonds de réserve pour les retraites (FRR) announced last year, is part of a broader effort to diversify the investor’s bond portfolio while aiming to improve its risk-return profile. It also sees the initiative as reaffirming its commitment to making an active contribution to financing the European economy.
Last year FRR adopted a new strategic asset allocation, reflecting an extended investment horizon and the improvement in its financial position.
The new allocation increased the share of equities to 50%, of which 46% are unhedged through options strategies – an increase of 4.5 percentage points compared with 2024. This was mainly offset by a reduction in hedging assets.
In its 2025 financial year, the reserve fund posted a 9.06% return, driven by an 8.77% contribution from equities and “intermediate risk” assets, and 0.40% from hedging assets.
It said the new securitisation exposure would at this stage be implemented through three investment-grade-rated funds, managed by Amundi Asset Management, BNP Paribas Asset Management, and Eurizon Capital.
The funds invest almost exclusively in European asset-backed securities, residential mortgage-backed securities, and collateralised loan obligations. In the longer term, the FRR may establish dedicated mandates, it said.
Earlier this year FRR announced an extension of its private markets investments with three new commitments under the Tibi initiative: a new €30m commitment to the Serena IV fund, which focuses on late-stage/growth investments based primarily in France; a €20m commitment to the Daphni Blue Fund, managed by Daphni; and a €60m to the latest fund from Jolt, a growth equity specialist focused on deeptech.
