Dutch pension fund asset manager PGGM has entered into a risk-sharing agreement with UniCredit Bulbank related to the bank’s corporate and small and medium enterprise (SME) loans portfolio.

The deal, dubbed Project ARTS Silver-2, references a €2.1bn portfolio of corporate and SME loans in Bulgaria and is the largest significant risk transfer (SRT) transaction executed in the country, and one of the largest in Central and Eastern Europe.

The capital structure includes retained first loss and senior tranches, and a second loss tranche purchased by PGGM on behalf of its client PFZW, the Dutch pension fund for the healthcare sector.

The agreement marks the second partnership between PGGM and UniCredit, following 2024’s Project ARTS Morava.

The transaction forms part of UniCredit’s broader ARTS programme, an initiative aimed at enhancing capital efficiency through the use of SRTs, while supporting lending capacity across its markets. UniCredit Bank GmbH acted as the sole arranger and placement agent.

“Project Silver-2 closely follows the successful execution of the Morava transaction and confirms the strategic alignment between PGGM and UniCredit,” PGGM senior director, credit risk sharing, Luca Paonessa, said.

He continued: “As our Credit Risk Sharing mandate grows, we have been increasingly focused on adding diversifying credit risk exposures to the portfolio, originated by high-quality banks with a leading market position, and UniCredit Bulbank emerged as the perfect candidate.

“Thanks to our pre-existing relationship with UniCredit, Silver 2 was a very efficient process that met an ambitious timeline. The STS label confirms the group’s commitment to the highest standards in credit risk sharing. Like Morava, Silver 2 will also include reporting on sustainability features of the portfolio, another area of convergence between PGGM and the UniCredit Group.”

The announcement follows recent concerns raised by the European Banking Authority (EBA) on the growing number of risks involved in SRTs.

The regulator warned about the potential “circles of risks" being created by banks providing funds to investors that are taking on credit risk from other lenders.

Pension funds account for 13 per cent of the market, according to the EBA, but they could have indirect exposures to SRTs via other investments.

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