Contact Dutch Home Our services Our insights About us Career Credit Risk Sharing Since 2006 PGGM has been investing in balance sheet synthetic 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. As per 31 December 2019, we have around € 6 billion invested in 22 risk sharing transactions, referencing around € 67 billion of loan portfolios related to a diverse group of economic sectors and credit risks across the world. This illustrates that we have become one of the most experienced and largest active investors worldwide in this segment of the securitisation market. 50 transactions closed since inception The portfolio consists of 22 transactions as of end 2019 14 risk sharing partners All market-leading banks 11 billion invested (EUR) since inception € 5.7 billion as of end 2019 67 billion loan notional hedged (EUR) As of end 2019 PGGM and PFZW value CRS as an asset class with a dedicated allocation in the long-term asset mix. Firstly, because CRS offers an attractive risk-return profile and allows for diversification of exposures to credit risk. As such CRS helps providing pensions for our beneficiaries in the long term. Secondly, when structured appropriately, CRS contributes to a more stable financial system. By helping the banking sector to partially reduce their credit risk exposures and share these with investors, systemic risk is reduced and the financial system becomes more sustainable. As a long-term investor, we strongly believe in supporting a healthy and long-lasting market for Credit Risk Sharing. To achieve this, CRS transactions must function appropriately for all relevant stakeholders: banks must benefit from a genuine sharing of credit risk and investors must benefit from a well-structured investment with an attractive return and easy-to-understand risk profile. Regulators must benefit from standardised transaction structures that are transparent. Through position papers, conference participations and dialogues with banks and regulators, we actively aim to improve understanding of this relatively unknown and developing asset class, as well as to stimulate healthy transaction standards throughout the market. The purpose of this website is to further improve broad understanding and acceptance of CRS by sharing our knowledge and experience. We provide a high level overview of what CRS transactions are, and why and how we invest in CRS. In addition, we provide further insight in more detailed aspects of CRS transactions and how we diligence and structure these to ensure risks are adequately understood and mitigated where possible. Publications on Credit Risk Sharing Presentation booklet CRS - Chinese Simplified | Chinese Traditional | Japanese | Spanish Simple synthetic securitisation - Chinese Simplified | Chinese Traditional | Japanese | Spanish ESMA templates: Not fit for risk sharing transactions Joint Paper, The Benefits of Securitisation Our Approach to Investing in Credit Risk Sharing Transactions - Chinese Simplified | Chinese Traditional | Japanese | Spanish Current topic: STS for CRS In July 2020, the European Commission published its report supporting the establishment of an STS framework for synthetic securitisation – in short STS for CRS. We strongly support this. However, ensuring the long-term success of the STS for CRS framework in good and adverse times demands a combination of alignment of interest, beneficial capital treatment and collateralisation. More What is CRS? Why invest in CRS? CRS @ PGGM Credit Risk Sharing (“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. More PGGM CILI team The CRS mandate is managed by the Credit & Insurance Linked Investments (“CILI”) team, part of PGGM’s private markets platform. As per September 2020, the CILI team consists of 19 professionals with a diverse set of backgrounds and skills. The team also manages a mandate to invest in Insurance Linked Investments. More on the PGGM CILI team Due Diligence & Data Transaction Structuring Regulation & Current Topics Due diligence is one of the cornerstones of the investment process of the PGGM CILI team. Due to the blind pool nature of our CRS transactions, it is essential to have a thorough understanding of the bank and the relevant processes and track record, both from a qualitative and quantitative perspective. More Related articles 19 nov 2020 Press release Assetmanagement Alecta and PGGM enter into credit risk sharing transaction with J.P. Morgan Alecta and PGGM are pleased to announce that they have entered into a risk sharing transaction with J.P. Morgan on the basis of corporate loans originated by its Corporate & Investment Banking unit. More 21 nov 2019 Blog Assetmanagement A fitting reporting template for synthetic securitisations Over the recent years important steps have been set by joint European supervisory authorities to stimulate, strengthen and standardize the securitisation market. We very much welcome these changes. More 22 jul 2016 Blog Investments Securitisation and The Big Short: Food for thought Investing in securitisations is about common sense and maintaining high standards, says Mascha Canio. More Questions? For questions please contact Mascha Canio. Mascha Canio Head of Credit & Insurance Linked Investments mascha.canio@pggm.nl Stay informed Would you like to be kept up to date with new articles on our website? Then sign up for our newsletter. Sign up for the newsletter E-mail address About PGGM About PGGM Asset management Pension management Policy recommendations Our insights Press Contact Career Vacancies Why PGGM Professionals Young Professionals Application procedure Terms of employment Copyright Disclaimer Security Privacy statement PGGM Cookie policy Follow us on LinkedIn By using our website, you also accept our cookies. Cookies contain a (unique) number and no personal details. We cannot identify you personally through the cookies, nor can we use them to identify you on the websites of third parties. Cookies ok