ABP’s current funding ratio rose to 132.2% at the end of September, from 126.9% at the end of June, the Dutch pension fund said on 29 October 2026. It got there while losing money. Investments returned -4.3% in the third quarter, a loss of €24.3bn, and assets fell to €543bn. But the rise in interest rates that hurt its bonds cut the present value of its pension liabilities by more, from €447bn to €411bn. The policy funding ratio, an average over the last 12 months, rose to 125.2% from 122.8%.
The timing matters because ABP intends to move into the new Dutch pension system on 1 January 2027, having received approval for the transfer from De Nederlandsche Bank (DNB) in July. How much the fund can distribute when it converts members’ pensions “will depend mainly on the funding ratio as at 31 December 2026,” it said. Harmen van Wijnen, chair of the board, called the September level “a good starting point for the transition to the new pension scheme on 1 January 2027.”
Rising rates did the work, and the hedge has a new shape
ABP has also reorganised its rate protection. From the third quarter it reports a single liability-driven investment (LDI) portfolio, which takes in its government bonds and the interest-rate component of its investment-grade corporate bonds and mortgages. LDI made up 24.3% of the portfolio and lost 16.9%, or €26.1bn, as yields rose. ABP describes these as investments held “to limit the impact of interest rate changes on pension coverage.”
Van Wijnen blamed the jump in rates on “the ever-increasing government debts in the United States and France, among others.” Demography helped too: slower projected gains in Dutch life expectancy added “over 1.5%” to the funding ratio.
What the switch means for long-dated swaps
The new contract changes why funds hedge. ABP notes that after the transition “the funding ratio no longer exists”. Hedging instead follows members’ ages. In October 2025 DNB said most funds plan to hold fewer government bonds and interest-rate swaps for young members, and estimated that their positions with maturities of 25 years and longer will fall by roughly €100bn-150bn, which it called a small but significant part of the market. Market analysts, DNB added, expect the transition to push the 30-year rate higher with only a limited effect on the 10-year rate.
The 2027 wave is the larger one. ING estimated in June that more than €900bn of Dutch pension assets plan to transition in 2027. It expects less need for receiver swaps of 30 years and beyond, while demand for shorter swaps is likely to stay high or rise, and said the 10s30s curve may see some 10-20bp of additional upward pressure over the coming months. DNB expects about two-thirds of all Dutch funds and APF compartments to have switched by 1 January 2027, with about 55 planning to follow later.
Why it matters for long-horizon owners
For asset owners outside the Netherlands, this is a supply-and-demand event at the long end of the euro curve. Less Dutch receiving beyond 30 years would leave long-dated euro rates higher, relative to the 10-year point, than they would otherwise be. Higher long yields lower the present value of long-dated liabilities for insurers and pension funds that discount on the euro curve, and raise the hurdle for long-duration assets such as real estate, which ABP said suffered from the higher rates. On liquidity, DNB has pointed to a planned rule giving funds 12 months after the switch to adjust their investment policy, which would spread the flows out.
The size of the effect is uncertain. DNB says the eventual fall in demand for long-dated rate instruments is surrounded by uncertainty, and ING noted that much of the market impact of the first batch of transitions happened in the second half of 2025.
What to watch
- November: ABP announces its premium; the pension increase moves to January.
- 31 December 2026: the funding ratio that sets how much ABP can distribute.
- 1 January 2027: ABP’s intended transition date.
- End of January 2027: ABP’s final quarterly report, with the year-end funding ratio.
Sources
- Press release: Quarterly Report Q3 2026, ABP, 29 October 2026
- ABP ontvangt invaarbeschikking van De Nederlandsche Bank, ABP, 10 July 2026
- Nieuwe pensioencontract ook van belang voor internationale rentemarkten, De Nederlandsche Bank, 22 October 2025
- Transitienieuws: Eindfase pensioentransitie, De Nederlandsche Bank, 3 September 2026
- Transitienieuws: Kwartaalupdate voortgang transitie, De Nederlandsche Bank, 15 October 2026
- A bigger round of Dutch pension transitions puts curve steepening back in play, ING Think, 25 June 2026