Enpam, Italy’s largest pension scheme with €25.9bn in total assets, is set to complete the transition to a new liability-driven investment (LDI) approach this year, splitting its assets into two macro portfolio strategies.

Part of the scheme’s assets are held in the Liability Hedging Portfolio (Portafoglio di Copertura delle Passività, PCP), with a strategy aimed at managing solvency risks, investing with a long-term view to pay pensions, generating adequate cash flows, the scheme said in its investment policy document.

The investments in this portfolio will mainly face counter-party risks, remaining neutral to risk premiums, subject to limits in terms of concentration, it added.

Enpam started building the PCP strategy last year by directly buying Italian government bonds with a market value of €1.8bn as of December last year, it said in its 2023 financial statement.

For its second portfolio – the Performance Portfolio (PP) – the scheme will invest applying a growth strategy, generating returns, absorbing market risks, and diversifying across asset classes, it added.

The scheme will define and adjust its strategic asset allocation – which was last approved in 2017 and in place until 2023 – based on its targeted performance.

Asset allocation

Italy’s largest pension scheme is splitting its assets into two macro portfolios

Enpam believes the new LDI approach strengthens the structure of its portfolios, making them resilient to adverse market movements.

The scheme considers securities, private markets (equity and debt), raw materials, Alternative Investment Funds (AIFs), and other types of investments with a predefined liquidation horizon as core investments.

It plans to allocate PCP and PP assets mostly in securities and real assets, the scheme disclosed.

A smaller allocation (5%) is left for mission-related investments supporting the healthcare sector, and investments in the real economy supporting Italy’s economic growth, it added.

Investments in securities make up 77.1% of Enpam’s total assets, of which 66.8% are investments with liquidity for up to one month, and 10.3% investments with liquidity for more than one month (including investments in private equity and debt, plus hedge funds).

The scheme has also boosted alternative investments. It invests 22.9% of total assets in real assets, below the maximum of one third set, and 2.6% in mission-related, and real economy investments, it added.

Last year Enpam returned €450m net on investments.

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Luigi is IPE's Berlin-based DACH correspondent. His coverage includes regulation and the latest pensions and investments trends, and, being a native Italian, he also covers Italy’s pensions market. He has reported from Italy and Germany on international politics and business for European and US publications including USA Today, Bloomberg BNA and for the investigative magazine L’Espresso. He was previously Germany correspondent for Mergermarket covering M&A.View full Profile

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