• New federal legislation and FASB regulation are sparking increased interest in “liability-driven” investing (LDI) - strategies that help pension plans better match assets and liabilities. This paper explains how long duration, zero-coupon swaps can play a key role in LDI strategies.
• Treasury Strips are a common way to extend duration in LDI strategies, but the longer-term issues typically have relatively low yields.
• Zero coupon swaps provide a higher yielding alternative to Treasury Strips, but are more complex investments.
• Swap Long Duration (SLD) collective funds offer zero coupon bond swaps through a pooled vehicle and reduce some of the complexity and risk associated with direct swap investments.

For more information and a hard copy, please contact Jim Kohley at Standish Mellon Asset Management at 412 234-0341.

The preceding information is based upon the analysis of historical performance of various asset classes and assumptions with respect to future economic conditions. Past performance is not an indication of future results. This information is not intended to provide specific advice, recommendations or projected returns of any particular BNY Mellon Asset Management product.