Barclays Capital has launched the Stable Income Market Index, which is tailored to the needs of the US stable value industry.
The index is intended to serve as a market performance benchmark for the asset portfolio within a stable value fund.
In keeping with the policy constraints typical for such portfolios, the index has been designed to have a relatively modest risk profile.
The index is defined as a low-risk blend of asset classes from within the Barclays Capital US Aggregate Bond Index, focusing on shorter maturities, and providing diversified exposure to debt from the government, credit and securitised sectors.
“The launch of the Stable Income Market Index should help plan sponsors measure the performance of stable value asset managers against a benchmark that more fairly reflects the constraints imposed by wrap providers,” says Lev Dynkin, head of quantitative portfolio strategy. “The SIMI index was developed by Barclays Capital Research at the request of, and in close consultation with, stable value market participants, including pension funds, asset managers, insurance companies and banks that provide insurance wraps for stable value funds to protect them from significant drops in market value versus book value.”