About 55 Dutch pension funds and APF compartments intend to convert after 1 January 2027, DNB says

Columbia Threadneedle’s euro LDI survey of March 2025 recorded that the participants who could potentially provide liquidity during the transition include insurers who require more hedging in longer tenors due to changes in their discount curve, alongside hedge funds and other pension clients needing longer-dated hedging.

Analysis: the just over €10 billion of long-term interest rate swap sales that DNB’s spring financial stability report recorded on 26 May covers the swap leg alone, while the roughly €100-150 billion reduction DNB estimated in October 2025 covers bonds and swaps of 25 years and longer together, and DNB does not split that estimate, so how much of the expected swap selling has already happened cannot be read off the two figures.

The share of Netherlands government bonds sold beyond 10 years fell from 42% at the start of 2025 to 31% by the third quarter, on OECD data cited by Global Finance Magazine in its 9 September report on the transition and the European long bond market. The next long-dated sale comes on 29 September 2026, when the Dutch State Treasury Agency launches a new 20-year benchmark maturing on 15 January 2048 by Dutch Direct Auction, target size €5 - €6 billion.

ING estimates that nearly €600 billion of assets have already been affected by the conversion and more than €900 billion is expected to follow early next year, more than has already moved, Global Finance Magazine reported on 9 September. That tranche converts on 1 January 2027 itself rather than in the tail of about 55 funds and compartments that follows it, with the civil service scheme ABP accounting for about €530 billion of it.

Analysis: Dutch pension liabilities have begun moving onto insurers’ books, on Insurance Asset News’s report of 6 September that Athora Netherlands took on Delta Lloyd Pensioenfonds liabilities.

Sources: dnb.nl