What if a 900 billion euro Dutch pension switch dislocates the bond market?
The ABP/Dutch DC transition is a forced long-dated unwind: pension funds shedding swaps and long bonds steepen the euro long-end, with global duration sympathetically cheapening. Rhymes most precisely with the UK 2022 LDI episode's mechanical long-end selling, though ABP's is a scheduled, telegraphed transition rather than a margin spiral. The transmission is euro receiver-swap and long-bond unwinds; the forward angle is that because the date (Jan 2027) is known, dealers can pre-position — so the dislocation may be more orderly than gilts-2022 unless it coincides with a supply shock.
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The butterfly cascade
How this trigger trickles across markets, left → right — the root shock, its first‑order moves, then the ripple effects. Drag any node; tap a market for its real price history.
Resolution timeline — how this probability is moving
Our model's odds (electric blue) over time vs the market's (Polymarket, amber), from the past toward the 6–18 months horizon. Each dot is a real macro event that nudged the probability — green pushed it up, red pushed it down. Tap a dot for the source. Loading the probability audit trail…
What it would mean
If this plays out, it is a risk-off shock. ABP's January 2027 switch leads a ~€900bn DC wave, forcing acute long-dated bond and swap unwinds and euro long-end dislocation. The trigger decomposes into signed root‑shocks — Credit spreads ▲ · Financial conditions ▲ · Real yields ▲ — which propagate through our causal graph to the markets below.