Merrill Launches Swap Indices to Measure LDI Strategies

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 years.

“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.