How PGGM made 11% a year selling credit protection to banks

Dutch investor expects returns to drop over time unless rising inflation widens risk premia


PGGM, the big Dutch pension fund manager, has made double-digit compound returns every year since 2010 from insuring pools of corporate loans originated by some of the world’s largest banks.  

The firm, which manages the €277 billion ($309 billion) PFZW fund, posted a compound annual growth rate of 11.1% in 2021 for the €5.3 billion that it allocated to credit risk sharing transactions.

Sixteen banks including Citigroup, JPMorgan and UBS have bought credit protection from PGGM since the

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