IIC launches iBoxx US pension liability indexes

The new indexes are designed to help pension sponsors, consultants and investment managers manage long-duration portfolios and construct liability-based investment strategies. UBS Global Asset Management, which created the methodology for the index, is using the index to develop liability-driven products and has launched two long duration fixed-income funds.

“With the recent passage of the US Pension Protection Act and a global move towards pension funding reform, the ability to quickly and accurately track a pension fund’s ability to meet future obligations is critical,” said Aaron Meder, head of asset liability investment solutions in the Americas at UBS Global Asset Management.

The iBoxx US pension liability indexes include: the iBoxx US pension index – aggregate, which mimics the overall performance of a typical traditional defined benefit plan in the US, taking into consideration the passage of time and changes in the term structure of interest rates; the iBoxx US pension index – active, which mimics an active member liability profile; and the iBoxx US pension index – retired, which mimics a retired member liability profile.

David Mark, chief executive of IIC, said: “Liability-driven investment is increasingly important for many pension plans. There is a lack of benchmarks, against which plans can measure the returns of their asset managers. The new indexes will assist plan sponsors and their advisers in determining investment strategies and managing the volatility of funding ratios.”
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