The new indices are tailored to asset allocations that reflect insurers’ multiple enterprise objectives while taking into consideration key business factors such as underwriting results, leverage, solvency threshold and taxes. Unlike traditional market cap indices, enterprise based investment benchmarks (EBIB) index allocations across asset class, maturity, rating, etc.
Using these allocations, Merrill Lynch compiles EBIB Index results daily and disseminates the results to investors via its Global Index System, which is available on the its website and Bloomberg.
The initial offering of EBIB indices have been created specifically for property and casualty investment portfolios. The Base-Line US Property & Casualty Index, the flagship benchmark of the series, is based on an asset allocation geared toward enterprise factors that most closely reflect recent industry-wide averages for property and casualty lines of business.
Fourteen additional indices provide alternatives allocations based on varying assumptions regarding operating results, tax exposure, leverage and equity allocation. Additional indices for life and health portfolios will be introduced at a later date.
The combination of GR-NEAM’s enterprise based asset allocation capabilities with Merrill Lynch’s total return and book income performance reporting capabilities provides insurers with a meaningful basis for performance measurement, explained Phil Galdi, managing director of Merrill Lynch’s global index team.
