Responsible Investment in CRS
We aim to fully integrate sustainability into the investment process, alongside risk and return. We call it 3D Investing.
When investing in Credit Risk Sharing (“CRS”) transactions, we invest in the broader economy and not just in what is considered ‘sustainable’. Rather than solely looking at the current sustainability-linked characteristics of assets or companies, we look at how the real economy can transition to become more carbon-neutral and the role of both banks and investors in facilitating this transition.
Engagement – Energy Transition
CRS transactions increase the lending capacity in the banking system. By investing in CRS we therefore help enable banks to provide more financing to the real economy and, in doing so, support the transition of companies towards more sustainable business models. This is particularly important because any companies that rely on bank financing have no publicly traded investment instruments, such as equities or bonds, through which investors could otherwise support their transition. Banks are uniquely positioned to motive their clients to reduce their carbon footprint, by advising them and providing the related lending. We focus on supporting banks in providing loans, which help their clients’ transition. We track, on an on-going basis, the banks’ carbon reduction ambitions and performance with regards to their interim science-based targets. Over the time this reduces the CO2 footprint of the lending books and ensures that banks’ clients across all sectors are facilitated in the transition to a climate-neutral economy. The scale of this influence should not be underestimated: because of the first loss nature of our transactions, the bank portfolio that is directly related to a CRS transaction is 10-14 times larger than the amount invested in that transaction. In addition, when selecting our risk sharing partners their ambitions set and progress made in the area of transition towards more sustainable economy is an important factor that is taken into consideration.
Positive Contribution – SDI
A separate category within our CRS portfolio consists of transactions classified as “Sustainable Development Investment” (“SDI”). These transactions contribute to the UN Sustainable Development Goals (“SDG”) in line with the SDI Taxonomy, by enabling banks to expand lending to activities with a positive societal and environmental impact.
By taking a first loss position on a portfolio such as project finance loans or selected corporate loan portfolios, CRS transactions free up capital which our risk sharing partner banks can use to originate additional lending that supports key sustainable sectors, contributing in particular to SDG 3 (good health and well-being), SDG 4 (quality education), SDG 6 (clean water and sanitation), SDG 7 (affordable and clean energy), SDG 9 (industry, innovation and infrastructure) and SDG 13 (climate action),
Recent examples of our SDI‑aligned transactions portfolio illustrate the breadth of this approach. Project finance transactions such as BBVA’s Verano I (2021), BNP Paribas’s Atlas (2025) and EBRD’s Mosaic (2026) support investments in renewable energy, infrastructure, decarbonisation and emerging markets. In Gasherbrum I (2025), a transaction with mBank, a significant portion of the underlying portfolio consists of sustainable projects, contributing to clean energy objectives.
Given that the need to support the transition applies to many lending areas, we see expanding sustainability features beyond traditional project finance as key to enabling impact at scale.
In addition to project finance transactions, sustainability features are increasingly embedded in large corporate and SME CRS transactions. This includes BBVA's Verano IV (2025) referencing corporate loans where the underlying loans are linked to sustainability related KPIs, - for which the bank is rewarded with a lowered coupon if the KPIs are met, mirroring the underlying loan margin dynamics. Another example is UniCredit’s Silver II (2025) which focuses on lending to SMEs in local economy
We have also completed transaction in an emerging market, where the risk sharing partner commits to use the capital freed up by our transaction to support lending to female homeowners. Similarly, our investment in Scientia I (2025), a transaction with Rabobank, includes commercial real estate with strong energy efficiency characteristics, enabling further financing of sustainable buildings.
We are proactively learning from these experiences and uses them to further build our knowledge and to initiate further transactions with similar features with other partners.
Sustainability in due diligence process
As part of our core beliefs, PGGM integrates sustainability factors in the due diligence (“DD”). During the assessment of the bank’s origination strategy and quality of the risk management process, we investigate which sustainability-linked policies the bank has implemented, how it ensures these are being adhered to and impact the bank’s decisions, and to what extent the convictions behind these policies are part of the bank’s culture.
We conduct a sustainability-linked DD for each transaction using our proprietary DD framework so that we can score and benchmark across banks on their progress. Our framework includes amongst others:
- review of the lending policies of the bank in relation to oil & gas, thermal coal, human rights, and biodiversity,
- assess the bank’s Paris-alignment status, as reflected by their commitment to net zero, interim and long-term science-based emission reduction targets, as well as the level of disclosure and reporting standards.
- Commitments to responsible business conduct such as the United Nations (“UN”) Principles of Responsible Banking, the Equator Principles and UN Global Compact,
- an assessment how banks are managing and monitoring sustainability related risks, such as physical climate risk, transition climate risk and biodiversity risks for its lending portfolio.
Paris Agreement Alignment
Together with our client PFZW, we are committed to the goal of the Paris Agreement to limit global warming to 1.5⁰C. Please see PFZW Climate Plan: Klimaatplan 2024 (pfzw.nl)
PFZW and PGGM are increasingly focussing on moving towards sustainable and impact finance, and PFZW has announced to introduce a 3D investment strategy, balancing risk, return and sustainability. As part of this strategy, the Credit & insurance Linked team, responsible for managing the CRS mandate on behalf of PFZW, is developing specific sustainability related objectives with the aim to aligning the portfolio to the goals of the Paris Agreement.
Sustainability-linked data
For an investor it is important to have insights into the sustainability profile of the underlying portfolio, and how it develops over time. More specifically, in line with the net zero targets of banks, we would like to track progress of the underlying portfolio in relation to the transition. For example, progress can be shown by sharing the transition readiness score of the underlying borrower or by measuring GHG-emission intensity of the underlying portfolio. For this, good quality sustainability-related data is crucial. However, we recognise that some of this data, including the related scoring and assessment frameworks, is still being developed and as such may change over time. We encourage our risk-sharing partners to provide us with such data, despite the fact that it may evolve in the future. Ultimately, when it comes to our CRS transactions, we strive for the sustainability-profile of a portfolio to visibly improve during the life of that transaction as the underlying companies are making progress in the transition.
Please see as well our blog ‘Green securitisation: it’s all about the data’.
Questions?
For questions please contact Barend van Drooge.
