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Impact Investing

IPE special report May 2018


Lehman unveils LDI indices

GLOBAL - Global investment bank Lehman Brothers has announced the launch of two new swap indices which could help facilitate liability driven investing.

The new zero coupon nominal and zero coupon inflation indices complement the bank's existing fixed income par swap indices.

"Regulatory changes in the UK and the Netherlands have made it necessary for pension funds to mark-to-market their fixed and inflated liabilities," said Lee Phillips, European head of Indices.

"Investors can use combinations of our new swap indices to form benchmarks which mirror the risk and performance characteristics of their liability profiles. These benchmarks, when used in conjunction with risk analysis tools, provide a framework to actively manage against liability streams.

Mark Lane, spokesman for Lehman Brothers told IPE that the indices were not developed on request of pension funds but just part of the general index development strategy.

"In talking to clients this is one solution we came up with." 

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