Merrill Lynch developed a new series of U.S. pension indexes to track performance in average pension plans for young, mature and retired workers, according to a news release.
“By aligning the asset index with the plan liabilities, the new indexes solve a long-standing performance measurement problem facing most U.S. pensions,” Phil Galdi, managing director of the firm’s global bond index and analytics group, said in a news release.
The firm will compile two types of indexes — pension liability indexes, which will measure changes in the net present value of liabilities, and tradable pension indexes, which are “designed to emulate actual transactions by measuring the total return performance of a basket of interest rate swaps that is structured to match the interest rate exposure of the pension liabilities.”
