The indices, launched on Monday, will measure the
performance on interest rate swap contracts denominated in
US dollars, euros and sterling, with more
currencies to be added in the next few months,
according to the news report. The indices are compiled
daily and cover swap maturities ranging from two to 50
“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, in the news report. “With swaps playing a major role in these strategies, they represent an important building block for LDI benchmarks,” he added.
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