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FTSE Fixed Income Pension Liability Indices

Published in Fixed Income Indices

The growing adoption of Liability Driven Investment (LDI) strategies in the pension funds world is evidence of plan sponsors’ need to focus on liabilities and how these are impacted by changes in market factors such as rates and spreads. The FTSE Pension Liability Index reflects the discount rate that can be used to value liabilities for GAAP reporting purposes. Created in 1994, it is a trusted source for plan sponsors and actuaries to value defined-benefit pension liabilities in compliance with the SEC’s and FASB’s requirements on the establishment of a discount rate. The index also provides an investment performance benchmark for asset-liability management. By monitoring FTSE Pension Liability Indexes returns over time, investors can gauge changes in the value of pension liabilities.

The FTSE Pension Liability Indexes represent the single discount rate that would produce the same present value as calculated by discounting a standardized set of liabilities using the FTSE Pension Discount Curve. Along with the rate, monthly returns and durations for the FTSE Pension Liability Indexes are also made available.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 3 indexes and 1 money market, including:

  • FTSE Pension Liability Indexes (short and intermediate)
  • FTSE Pension Discount Curve

Some of the data items available include:

  • Index Items – Discount Rate, Macaulay Duration, Monthly Total Return, Year to Date Total Return, etc.
  • Money Market Items – Month Yield, Date of Portfolio, Spot Rate, Tenor, Years to Maturity, Database Domain Code, Database Symbol, Description, Last Price Date, etc.


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