Dutch pension investor PGGM has entered into a €1.7 billion risk sharing transaction referencing the corporate loans portfolio of UniCredit Bank Czech Republic and Slovakia.

As of 31 December 2023, PGGM credit risk sharing portfolio consisted of 38 transactions referencing approximately €82bn in underlying loans, with a market value of €6.6bn. The transaction, which was given the name “Project Morava” after the river that flows through Prague, is the first-ever directly issued credit-linked note by a Czech bank.

Luca Paonessa, senior director, credit and insurance-linked investments at PGGM, commented: “Project Morava extends the outreach of our mandate to a new geography, which offers particularly attractive diversification benefits to our pension fund client.”

The transaction also includes ESG reporting, aiming to provide an accurate and transparent assessment of the ESG profile of UniCredit’s corporate loans portfolio.

“We are particularly proud of the introduction of line-by-line ESG reporting in Project Morava, which allows PGGM to track the development of the sustainability profile in the portfolio, in line with our belief that sustainability, risk and return are equally important dimensions of our investments,” said Paonessa.

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Tjibbe is IPE's Netherlands correspondent. He splits his time between IPE and its Dutch-language sister publication Pensioen Pro. Before joining IPE following a move back to Amsterdam, Tjibbe worked in London for several years writing about fund selection and portfolio construction trends.View full Profile

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