CRS at PGGM

Since 2006 PGGM has been investing in on-balance-sheet securitisations on behalf of PFZW, the Dutch pension fund for the care and healthcare sector. We call these ‘Credit Risk Sharing’ (“CRS”) transactions as this name better reflects their nature and purpose in our portfolio.

Below we provide a high level overview of what CRS transactions are, and why and how we invest in CRS. We further share more detailed aspects of CRS transactions and how we diligence and structure these to ensure risks are adequately understood and mitigated where possible. Additionally, we offer insights into Responsible Investment considerations in CRS, as well as information regarding regulations that impact CRS transactions.

Discover how Credit Risk Sharing works, why we invest in it, and the role it plays within PGGM’s portfolio.

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What is CRS?

CRS is an excellent tool for banks to manage their credit exposures and capital needs, while providing an attractive investment opportunity for investors. Here we provide detail on how CRS works.

What Is CRS

Why invest in CRS?

We believe CRS provides unique exposure to underlying credit risk originated and monitored by high quality credit institutions. CRS transactions have an attractive risk-return profile with stable cash flows and provide diversification to public market credit exposures.

CRS at PGGM

PGGM is investing in CRS since 2006 on behalf of PFZW. As a pension fund investor, we have a long-term investment horizon which shapes our approach to investing in CRS. Here we highlight our core strategy and philosophy, our views on environmental and social responsibility, and our track record.

Key portfolio figures as per 31 December 2025

llustrate that we are one of the most experienced and largest active investors worldwide in this segment of the market.

CRS at a glance

108

Transactions closed since inception

The portfolio consists of 48 transactions as of end 2024

Risk sharing partners

All market-leading banks

Billion invested (EUR) since inception

€ 6.4 billion as of end 2025

Billion loan notional hedged (EUR)

As of end 2025

Responsible Investment in CRS

It is a core belief of PGGM Asset Management that long-term value creation can only be achieved by combining financial return, risk, and sustainability

CRS Regulations

Regulation has a profound impact on CRS and continues to shape the market both directly and indirectly. There is a great variety of legal rules that affect the economic efficiency and structuring of CRS, with significant differences across jurisdictions.

Current Topic

On the 17th of June 2025, the European Commission (EC) published its proposals for the targeted adjustments to the EU Securitisation Regulation (SECR) and to the Capital Requirements Regulation (CRR). The EC aims to unlock the potential benefits of securitisation for the European economy by addressing existing regulatory challenges as part of the Savings and Investment Union (SIU) strategy.

Our Approach to CRS

How we're approaching Credit Risk Sharing

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Due Diligence & Data

Due diligence is one of the cornerstones of the investment process of the PGGM CRS team.

Due Diligence & Data

Transaction Structuring

Structuring a CRS transaction, which consists of determining and negotiating the terms, conditions and structure, is a crucial element driving the risk profile of a transaction.

Transaction Structuring

Risk Alignment

One of the core elements of our investing philosophy is risk alignment between the investor in a CRS transaction and the bank originating the credit risk.

Risk Alignment

Collateralisation

Collateralisation of the investment notional is engrained in our mandate. We always ensure that the full notional of our transactions is invested such that we are not exposed to unsecured credit risk of the risk sharing bank.

Collateralisation