Supporting data collection and creating new benchmarks for infrastructure debt investors
This project follows the completion of a first Research Chair (2012-2015). NATIXIS brings its support to the creation and population of a global infrastructure debt cash flow database.
This database is being built by the EDHEC Infrastructure Investment Institute from lender contributions and primary documentation (financial statements, bond documentation etc), will cover thousands of investments globally, and will allow the production of infrastructure debt benchmarking studies.
Over the 2016-18 period, the Chair aims to produce three types of empirical benchmarking analyses of infrastructure debt:
1. Infrastructure debt benchmarks in an asset allocation context (risk/return);
2. Infrastructure debt in a liability-driven investment context (duration vs. performance);
3. Infrastructure debt performance and the ESG characteristics of infrastructure projects.
The Research Chair was officially launched at the EDHECinfra Forum in London on March 16th, 2016.
Achievements of the first EDHEC/NATIXIS Research Chair
Over the 2012-2015 period, the first EDHEC/NATIXIS Chair (link):
1. Made regular and important contributions to the prudential regulatory debate, especially the adaptation of the Solvency-2 framework to:
– Work towards a clearer definition of infrastructure investment;
– Propose a dedicated prudential treatment for infrastructure, thus defined;
– Calibrate this new prudential treatment and achieve a lower level of capital charge for insurers investing in infrastructure.
2. The Chair has also been involved in the policy-setting process in various fora, including:
– At the G20-level in Moscow, Sydney, Istanbul and Singapore;
– In regional fora such as the OECD, the EU, or APEC.
3. In this context, the Chair contributed directly to the definition of a data collection standard for asset pricing and the calibration of risk models, which is currently being discussed as an output of the G20 Investment and Infrastructure Working Group (IIWG) in 2015.
4. The work of the Chair has also been instrumental in informing and educating investors about infrastructure project debt and its characteristics through:
– 10 academic publications and a new book;
– 21 presentations at industry and policy events;
– 9 articles and more than 100 mentions in the nancial and specialised press.
5. Finally, the Chair’s work led to significant applied research outputs:
– The creation of important new empirical knowledge about construction risk, risk pricing and portfolio construction with infrastructure debt;
– The development of a dedicated asset pricing technology for project finance debt;
– The calibration of models of default frequency and correlation using new data collected by EDHEC and providing of the sole sources of empirical knowledge on these issues.