Amundi's research focuses on modelling structured blended finance vehicles, emphasizing credit risk assessment, tranche calibration, portfolio diversification, cash-flow structuring, and evaluating risk premium. Their analysis highlights three key points:

1. Lower required risk premium: The risk-sharing embedded in structured funds can reduce the risk premium needed to attract private investors compared to direct investments.
2. Importance of rigorous modelling: Scenario analysis and strong benchmarking are essential to ensure that senior investors are not assigned an excessive share of the risk.
3. Need for diversification: A well-diversified portfolio is critical for creating risk-return profiles that align with investor objectives.

Blended Finance: scaling capital for sustainable impact

Amundi Investment Institute