Merrill Lynch launched a new swap index series designed to track the performance of interest rate swaps in several currencies.  The new indices cover key maturity points (2-, 5-, 10-, 15-, 20-, 25-, 30-, 35-, 40- and 50-years) for the U.S. dollar, euro and sterling par coupon and zero coupon swap curves. Additional currencies and maturity points will be added over the coming months.  "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 the firm’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." 
Merrill Lynch Launches New Swap Indices