Portfolio Composition

Global structure of the portfolio

With the exception of the management of operational cash requirements, all of the FRR’s investments are made through investment service providers. To do this, the FRR may either use management mandates awarded through tender processes, or invest directly in investment UCIs. Alongside traditional management, the FRR has appointed two managers to follow an overlay management approach. This type of management allows the FRR to hedge its currency risk and tactically adjust its asset allocation without getting involved in the management of the selected managers’ portfolios.

The FRR is exposed to certain asset classes through UCIs managed in a predominantly active manner. These are investments made in emerging market debt, emerging market equities, high yield corporate bonds, loans to the economy, and money market instruments. In 2016, there were no major changes to the portfolio’s composition relative to 2015. Performance assets’ weighting in the strategic allocation for 2016, when established, stayed more or less the same as it was in 2015 (50%).

At 31 December 2016, the FRR’s portfolio comprised:

  • performance assets accounting for 51.1% of the FRR’s net assets, versus 48.9% at the end of 2015;
    and
  • hedging assets accounting for 48.9% of the FRR’s net assets, versus 51.1% at the end of 2015. Matched assets accounted for 44% of the hedging assets and are held to maturity.

Notes

* Corresponding to EUR 5.5 billion for passive management and EUR 7.5 billion for active management at 31/12/2016.

** Corresponding to EUR 1.4 billion for overlay management, EUR 0.6 billion for cash management, EUR 13.2 billion for passive management and EUR 20.8 billion for active management at 31/12/2016.

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