GLOBAL - Merrill Lynch has launched a new swap index series to help cater for the trend towards liability-driven investing by pension funds.
“The growing trend toward liability-driven investment (LDI) strategies by pension plan sponsors has necessitated the development of appropriate benchmark indices against which to measure their performance,” said Phil Galdi, managing director of Merrill’s global bond index and analytics group.
“With swaps playing a major role in these strategies, they represent an important building block for LDI benchmarks.”
The new “constant maturity” indices provide investors with increased flexibility to construct benchmarks reflect the term structure of their liabilities, Merrill says.
The new indices are designed to track the performance of interest rate swaps in several currencies and cover key maturity points for the dollar, euro and sterling “par coupon and zero coupon swap curves”.
“Additional currencies and maturity points will be added over the coming months,” the firm added.
The indices are compiled daily and are available on a wide variety of distribution platforms.