The protection portfolio and 3D investing

One of the most important innovations of the new Dutch solidarity-based pension contract is the protection portfolio.  PGGM is also integrating the 3D investment framework into this part of the PFZW pension scheme, which we have been implementing since early 2026. 

Designed primarily to protect older scheme members (aged 55 and over) against interest rate risk, the protection portfolio may appear “big and boring”. But as responsible investors, we see “boring” here as a badge of honour if it means we protect members from risks they are not willing to take. (Former) employees in the Dutch care and welfare sector do not have a high-risk appetite, and the protection portfolio we manage reflects this. 

At the same time, the protection portfolio reflects participant preferences in other ways: it helps stabilise the pension benefit, making it more predictable. And it contributes to the sustainability ambitions of members, the vast majority of whom indicate that their pension euros should be put to responsible use. So this portfolio is actually not that boring. 

3D investing in the protection portfolio

With the implementation of the 3D investment strategy launched in 2025, which seeks a balance between return, risk and sustainability, we see opportunities on all three dimensions. 

The primary task of the protection portfolio is to hedge interest rate risk. By managing duration, liquidity and diversification, and by allowing not only government bonds but also credit and mortgage positions, the portfolio can structurally contribute to returns without losing sight of its stabilising function. 3D explicitly helps us make choices: where do we accept limited risk in order to achieve more robust returns, and where do we not? 

We see opportunities to introduce sustainability into this part of the portfolio while simultaneously meeting the other two dimensions. The protection portfolio, now more than 100 billion euros in size within a total PFZW investment portfolio of 260 billion euros, thus makes a significant contribution to the overall portfolio ambitions. 

The sustainability ambitions set targets for SDG investments, for aligning part of the investments with the Paris Agreement, and for generating measurable positive impact on the (European) energy transition and Dutch healthcare. This is reflected in the protection portfolio. 

Sustainability, SDGs and Paris‑aligned investing

For all investments in the protection portfolio, we assess whether, and to what extent, they are in line with the Paris Climate Agreement, and our aim is to significantly increase this percentage in the coming years. Our internally developed framework is based on NZIF 2.0 (Net Zero Investment Framework). In addition, over 16% of our investments are classified as SDG‑aligned. All three building blocks, mortgages, corporate bonds and sovereign (related) bonds, contribute to PFZW’s 3D sustainability objectives. 

This includes mortgages with special attention to improving the energy efficiency of homes, as well as so‑called green and social bonds issued by companies or governments. Companies whose green bonds we currently hold in the portfolio include Amvest, Vonovia and EDP (Energias de Portugal).

In the sovereign bond portfolio, we invest in green bonds from, for example, Belgium and the Netherlands, as well as from the World Bank and the European Investment Bank. 

Measurable impact: energy transition and healthcare

The 3D protection portfolio plays an important role in contributing to the generation of measurable positive impact. In the context of the energy transition, we have invested in bonds issued by Vestas, Iberdrola and Société des Grand Projets (electric metro network around Paris). In the field of healthcare, a loan has been provided to Aedifica to enable the development and financing of ten residential care facilities in the Netherlands. 

Initial experiences: stable and robust

The initial experiences with 3D investing in the protection portfolio are encouraging. The portfolio does what it is supposed to do: it fulfils its primary protective role while remaining robust and manageable under varying market conditions. The integration of sustainability fits with the long‑term orientation of this portfolio. 3D forces explicit trade‑offs and thereby increases the transparency and quality of decision‑making.