In three years, Lyxor has secured mandates from more than 20 European banks to manage their liquidity buffers and is now one of the European leaders in this investment universe.
The strategy, which is offered through dedicated mandates or open-ended funds and invested in European investment grade sovereign bonds, is based on the Lyxor proprietary model of risk budgeting, associated with a discretionary tactical allocation.
Risk-driven active allocation improves diversification of the fund versus a traditional “buy and hold" type portfolio, while the tactical allocation allows the management team to take advantage of market opportunities.
This investment solution is particularly attractive for banks seeking to optimise the risk/return profile of their High Quality Liquid Asset portfolios (HQLA) used for calculating the short-term Liquidity Coverage Ratio (LCR). Investors needing to manage bond portfolios for regulatory reasons, for management of commitments or duration synchronisation are also finding this strategy more appealing.
"This success is the result of continuous improvement of our investment model to bring our customers a new approach to bond management. Our customers benefit in particular from improvements brought by ‘e-Data Liquidity’, a tool developed with Euroclear in 2016 and used to evaluate the intrinsic liquidity of an asset,” says Jean Sayegh, head of fixed income investments at Lyxor Asset Management.
"Collecting EUR10 billion in three years is a recognition by our customers of the distinctiveness of our investment model. With the threat of interest rate rises hanging over the value of active bond portfolios, active management of the various risk premiums is more than ever the way to optimise HQLA portfolio yields," says Guillaume Lasserre (pictured), director and CIO of active management strategies.
