The portfolio consists of 25 transactions as of end 2021
All market-leading banks
€ 5.0 billion as of end 2021
As of end 2021
As per 31 December 2021, we have invested in 25 risk sharing transactions with a market value of € 5.3 billion, referencing around € 48 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.
The portfolio consists of 25 transactions as of end 2021
All market-leading banks
€ 5.0 billion as of end 2021
As of end 2021
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.
In April 2021, the framework for STS securitisations became applicable to synthetic securitisations - in short STS for CRS. We strongly support this, as we have been advocating implementation of such a quality standard since 2015. We believe key features of any healthy and sustainable investment class are that it is relatively easy to understand and manage, which is closely aligned with the objectives of STS.
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.
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.
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.
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 determines the composition of the underlying pool and how the credit risk of that pool is shared with the investor. Further, the structure should ensure that the key requirements of both investor and bank are met, as well as the regulatory requirements.
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.
For questions please contact Mascha Canio.