US2008243717A1PendingUtilityA1
Method and system for managing a mortgage-backed securities index
Assignee: CREDIT SUISSE SECURITIES USA LPriority: Aug 16, 2001Filed: Mar 28, 2008Published: Oct 2, 2008
Est. expiryAug 16, 2021(expired)· nominal 20-yr term from priority
G06Q 40/03G06Q 40/06G06Q 40/04
52
PatentIndex Score
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Claims
Abstract
A system and method for generating and managing a generic mortgage-backed securities index. Bonds are selected for the index on a monthly basis. In order to determine which bonds will be represented in the index during a particular month, a set of calculations is performed during the second business week of the preceding month. For the purpose of selecting bonds for the index, all outstanding mortgage-backed securities are considered. They are first aggregated into pools based on their coupon and original term, and then their total outstanding principals are considered. If the total principal outstanding of any 30-year coupon represents more than a predetermined percentage such as 1.5% of the total, then this 30-year coupon will be included in the Index. Similarly, if the total principal outstanding on any 15-year coupon represents more than a second predetermined percentage such as 0.4% of the total, then this 15-year coupon will be included in the Index. The performance of the Index is measured by its total return. An algorithm for calculating the total return of the generic Index is also provided. The total return of the index partially depends on the relative weight assigned to each particular security included in the index. The present invention provides a method of assigning relative weights in accordance with relative proportions of different individual securities in the index, and covers the frequency of re-weighting.
Claims
exact text as granted — not AI-modified1 . A method for managing a mortgage-backed securities index, comprising the steps of:
selecting a set of mortgage-backed securities to be included in said mortgage-backed securities index, said set of mortgaged-backed securities being selected from all outstanding mortgage-backed securities; assigning a relative weight to each security within said selected set, said relative weight being a relative proportion of total outstanding principal on said each security to the total outstanding principal on all securities within said selected set; calculating a total return of said mortgage-backed securities index, said total return being based on said assigned relative weight for said each security, and a total return of said each security based on a same-day-settle price; storing the calculated total return of said mortgage-backed securities index in an index database; and outputting the calculated total return of said mortgage-backed securities index to a user,
wherein said step of selecting a set of mortgage-backed securities further comprises aggregating said all outstanding mortgage-backed securities into a plurality of pools, each of said pools comprising mortgage-backed securities having the same coupon and the same original term, and determining inclusion criteria for each pool within said plurality of pools, said inclusion criteria being determined using an objective condition.
2 . A method for managing a mortgage-backed securities index according to claim 1 wherein said inclusion criteria is given by the following equation:
x
c
,
t
=
[
∑
a
=
{
FNMA
GNMA
FHLMC
}
ρ
a
,
c
,
t
]
[
∑
a
=
FNMA
,
GNMA
,
FHLMC
c
∈
Z
t
=
180
,
360
ρ
a
,
ct
]
,
wherein ρ a,c,t is the total outstanding principal on said outstanding mortgage-backed securities,
a is an agency which issued said outstanding mortgage-backed securities,
c is a coupon value of said outstanding mortgage-backed securities, and
t is an original term of said outstanding mortgage-backed securities.
3 . A method for managing a mortgage-backed securities index according to claim 1 , further comprising steps of comparing said inclusion criteria for a particular pool to a threshold value, and including said particular pool in said selected set if said threshold is met.
4 . A method for managing a mortgage-backed securities index according to claim 3 , wherein said threshold value is 1.5% for all 30-year mortgage-backed securities pools.
5 . A method for managing a mortgage-backed securities index according to claim 3 , wherein said threshold value is 0.4% for all 15-year mortgage-backed securities pools.
6 . A method for managing a mortgage-backed securities index according to claim 2 wherein said relative weight of said each security within said selected set is given by the following equation:
w
=
⌊
x
c
,
t
ρ
a
,
c
,
t
⌋
[
∑
a
=
FNMA
,
GNMA
,
FHLMC
c
∈
Z
t
=
180
,
360
ρ
a
,
ct
]
.
7 . A method for managing a mortgage-backed securities index according to claim 6 , wherein said total return of said each security within said selected set on any given day t 2 is given by the following equation:
TR
t
2
j
=
-
p
t
1
+
f
t
1
p
t
2
+
[
(
1
-
f
t
1
)
+
c
12
]
[
1
+
t
t
1
d
360
]
-
k
p
t
1
,
wherein p t 1 is a same-day settle price of said each security on the close of day t 1 , wherein p t 2 is a same-day settle price of said each security on the close of day t 2 , wherein r t 1 is a one-month BBA LIBOR on the close of day t 1 , wherein f t 1 is a monthly pay-down factor of said each security as best determined by day t 1 , said monthly pay-down factor f t 1 being selected from a sequence of monthly pay-down factors f i , t 1 is the last business day of the preceding month, t 2 is any day of the current month, and wherein
d
=
{
25
-
day
of
the
month
of
t
2
,
if
said
security
is
issued
by
FNMA
15
-
day
of
the
month
of
t
2
,
if
said
security
is
issued
by
GNMA
or
FHLMC
and
k
=
{
+
1
,
if
d
>
0
-
1
,
if
d
<
0
8 . A method for managing a mortgage-backed securities index according to claim 7 , wherein said sequence of monthly pay-down factors is given by the following equation:
f
i
=
∑
αα
∈
A
ρ
α
,
i
-
∑
αα
∈
A
ρ
α
,
i
+
1
∑
αα
∈
A
ρ
α
,
i
,
wherein ρ α,i+1 is the principal outstanding of pool α as of the first of month i, and wherein ρ α,i+1 is the principal outstanding of pool α as of the first of month i+1.
9 . A method for managing a mortgage-backed securities index according to claim 8 wherein said same-day settle price is given by the following equation:
p
t
=
p
^
t
+
c
12
d
1
30
1
+
r
d
2
360
f
t
+
(
1
-
f
t
)
+
c
12
1
+
r
d
3
360
,
wherein {tilde over (p)} t is the TBA price of said security 1-month forward standard PSA settle on the close of business on day t; wherein d 1 is the number of days into the month that 1-month forward standard PSA settle occurs; wherein d 2 is the number of days in between the purchase date and the standard PSA settle date 1-month forward inclusive of the former and exclusive of the latter; wherein, for FNMA mortgage-backed securities, d 3 is the number of days between the purchase date and the 25th of the next month; wherein for GNMA or FHLMC mortgage-backed securities, d 3 is the number of days between the purchase date and the 15th of the next month; and wherein r is a one-month BBA LIBOR on the close of day t.
10 . A method for managing a mortgage-backed securities index according to claim 9 wherein said total return of said index from day t 1 in month k to day t 2 in month n is given by the following equation:
TR
t
1
t
2
=
(
1
+
TR
k
-
TR
t
1
)
[
∏
i
=
k
+
1
n
-
1
(
1
+
TR
i
)
]
(
1
+
TR
t
2
)
-
1
,
TR
t
1
is the month-to-date total return of said index on the day t 1 , and TR t 2 is the moth-to-date total return of said index on the day t 2 , wherein TR k is the total return of the index for the month k, and wherein TR i is the total return of the index for any intermediate month between k and n.
11 . A method for managing a mortgage-backed securities index according to claim 10 wherein said total return of the index for any intermediate month is given by the following equation:
TR
i
=
∑
j
=
1
n
w
i
j
p
ii
j
TR
i
j
∑
j
=
1
n
w
i
j
p
i
j
,
wherein said total returns of said index on the day t 1 and t 2 are given by the following equation:
TR
t
=
∑
j
=
1
n
w
i
j
p
i
j
TR
t
j
∑
j
=
1
n
w
i
j
p
i
j
,
wherein {w i j } j=1 n are the relative weights of said mortgage-backed securities within said index, and wherein p i j is the same-day settle price for said each security within said index.
12 . A method for managing a mortgage-backed securities index according to claim 11 , further comprising a step of determining a level of said mortgage-backed securities index, said level being given by the following equation:
P
t
P
00
/
00
/
00
=
1
+
TR
00
/
00
/
00
t
,
wherein P 00/00/00 is the starting level of said index, wherein TR| 00/00/00 t is the total return of said index from start to the day t, and wherein P t is the current level of the index.
13 . A method for managing a mortgage-backed securities index according to claim 12 , wherein said starting level of said index is 100.
14 . A method for managing a mortgage-backed securities index according to claim 1 , further comprising a step of rebalancing said index by repeating said steps of selecting a set of mortgage-backed securities to be included in said mortgage-backed securities index, assigning said relative weight to each security within said selected set, and calculating said total return of said mortgage-backed securities index.
15 . A system for managing a mortgage-backed securities index, comprising:
input device for inputting market data into said system, said market data comprising data for all outstanding mortgage-backed securities; a processor operating under a set of instructions, the set of instructions including
a first set of instructions causing the processor to select a set of mortgage-backed securities to be included in said mortgage-backed securities index, said set of mortgaged-backed securities being selected from said all outstanding mortgage-backed securities, the first set of instructions further causing the processor to aggregate said all outstanding mortgage-backed securities into a plurality of pools, each of said pools comprising mortgage-backed securities having the same coupon and the same original term, and to determine inclusion criteria for each pool within said plurality of pools, said inclusion criteria being determined using an objective condition;
a second set of instructions causing the processor to assign a relative weight to each security within said selected set, said relative weight being a relative proportion of total outstanding principal on said each security to a total outstanding principal on all securities within said selected set; and a third set of instructions causing the processor to calculate a total return of said mortgage-backed securities index, said total return being calculated based on said assigned relative weight of said each security within said selected set, and a total return of said each security within said selected set based on a same-day-settle price
an output device outputting the calculated total return of said mortgage-backed securities index to a user.
16 . A system for managing a mortgage-backed securities index according to claim 15 further comprising a storage device, said storage device storing data circulated within said system.
17 . A system for managing a mortgage-backed securities index according to claim 15 , wherein the set of instructions further comprises a forth set of instructions causing the processor to classify said data for all outstanding mortgage-backed securities in accordance with a coupon value, issuing agency and original term of each of said outstanding mortgage-backed securities.
18 . A system for managing a mortgage-backed securities index according to claim 15 wherein said inclusion criterion is given by the following equation:
x
c
,
t
=
[
∑
a
=
{
FNMA
GNMA
FHLMC
}
ρ
a
,
c
,
t
]
[
∑
a
=
FNMA
,
GNMA
,
c
∈
Z
t
=
180
,
360
FHLMC
ρ
a
,
c
,
t
]
wherein ρ a,c,t is the total outstanding principal on said outstanding mortgage-backed securities,
a is an agency which issued said outstanding mortgage-backed securities,
c is a coupon value of said outstanding mortgage-backed securities, and
t is an original term of said outstanding mortgage-backed securities.
19 . A system for managing a mortgage-backed securities index according to claim 15 , wherein the set of instructions further comprises a fifth set of instructions causing the processor to compare said inclusion criterion for each of said aggregated pools to a threshold value, and to include a particular aggregated pool in said selected set if said threshold is met.
20 . A system for managing a mortgage-backed securities index according to claim 19 , wherein said threshold value is 1.5% for all 30-year mortgage-backed securities pools.
21 . A system for managing a mortgage-backed securities index according to claim 19 , wherein said threshold value is 0.4% for all 15-year mortgage-backed securities pools.
22 . A system for managing a mortgage-backed securities index according to claim 18 wherein said relative weight of said each security within said selected set is given by the following equation:
w
=
⌊
x
c
,
t
ρ
a
,
c
,
t
⌋
[
∑
a
=
FNMA
,
GNMA
,
c
∈
Z
t
=
180
,
360
FHLMC
ρ
a
,
c
,
t
]
,
wherein w is said relative weight of said each security within said selected set.
23 . A system for managing a mortgage-backed securities index according to claim 15 , wherein said third set of instructions further comprises a sixth set of instructions causing the processor to calculate said total return of said each security within said selected set.
24 . A system for managing a mortgage-backed securities index according to claim 23 , wherein said sixth set of instructions causes the processor to calculate said total return of said each security within said selected set on any given day t 2 in accordance with the following equation:
TR
t
2
j
=
-
p
t
1
+
f
t
1
p
t
2
+
[
(
1
-
f
t
1
)
+
c
12
]
[
1
+
r
t
1
d
360
]
-
k
p
t
1
,
wherein p t 1 is a same-day settle price of said each security on the close of day t 1 , wherein p t 2 is a same-day settle price of said each security on the close of day t 2 , wherein r t 1 is a one-month BBA LIBOR on the close of day t 1 , wherein f t 1 is a monthly pay-down factor of said each security as best determined by day t 1 , said monthly pay-down factor f t 1 being selected from a sequence of monthly pay-down factors f i , t 1 is the last business day of the preceding month, t 2 is any day of the current month, and wherein
d
=
{
25
-
day
of
the
month
of
t
2
,
if
said
each
security
is
issued
by
FNMA
15
-
day
of
the
month
of
t
2
,
if
said
each
security
is
issued
by
GNMA
or
FHLMC
and
k
=
{
+
1
,
if
d
>
0
-
1
,
if
d
<
0
25 . A system for managing a mortgage-backed securities index according to claim 24 , wherein said sequence of monthly pay-down factors is given by the following equation:
f
i
=
∑
αα
∈
A
ρ
a
,
i
-
∑
αα
∈
A
ρ
a
,
i
+
1
∑
αα
∈
A
ρ
a
,
i
,
wherein ρ α,i is the principal outstanding of pool α as of the first of month i, and wherein ρ α,i+1 is the principal outstanding of pool α as of the first of month i+1.
26 . A system for managing a mortgage-backed securities index according to claim 24 , wherein said same-day settle price is given by the following equation:
p
t
=
p
~
t
+
c
12
d
1
30
1
+
r
d
2
360
f
t
+
(
1
-
f
t
)
+
c
12
1
+
r
d
3
360
,
wherein {tilde over (p)} t is the TBA price of said security 1-month forward standard PSA settle on the close of business on day t; wherein d 1 is the number of days into the month that 1-month forward standard PSA settle occurs; wherein d 2 is the number of days in between the purchase date and the standard PSA settle date 1-month forward inclusive of the former and exclusive of the latter; wherein, for FNMA mortgage-backed securities, d 3 is the number of days between the purchase date and the 25th of the next month; wherein for GNMA or FHLMC mortgage-backed securities, d 3 is the number of days between the purchase date and the 15th of the next month; and wherein r is a one-month BBA LIBOR on the close of day t.
27 . A system for managing a mortgage-backed securities index according to claim 24 , wherein said total return of said index from day t 1 in month k to day t 2 in month n is given by the following equation:
TR
t
1
t
2
=
(
1
+
TR
k
-
TR
t
1
)
[
∏
i
=
k
+
1
n
-
1
(
1
+
TR
i
)
]
(
1
+
TR
t
2
)
-
1
when k<n−1, wherein TR t 1 is the month-to-date total return of said index on the day t 1 , and TR t 2 is the moth-to-date total return of said index on the day t 2 , wherein TR k is the total return of the index for the month k, and wherein TR i is the total return of the index for any intermediate month between k and n.
28 . A system for managing a mortgage-backed securities index according to claim 27 , wherein said total return of the index for any intermediate month is given by the following equation:
TR
i
=
∑
j
=
1
n
w
i
j
p
ii
j
TR
i
j
∑
j
=
1
n
w
i
j
p
i
j
,
wherein said total returns of said index on the day t 1 and t 2 are given by the following equation:
TR
t
=
∑
j
=
1
n
w
i
j
p
i
j
TR
t
j
∑
j
=
1
n
w
i
j
p
i
j
,
wherein {w i j } j=1 n are the relative weights of said mortgage-backed securities within said index, and wherein p i j is the same-day settle price for said each security within said index.
29 . A system for managing a mortgage-backed securities index according to claim 24 , wherein said total return of said index from day t 1 in month k to day t 2 in month n is given by the following equation:
TR| t 1 t 2 =TR t 2 −TR t 1
when k=n, wherein TR t 1 is the total return of said index on the day t 1 , and TR t 2 is the total return of said index on the day t 2 .
30 . A system for managing a mortgage-backed securities index according to claim 24 wherein said total return of said index from day t 1 in month k to day t 2 in month n is given by the following equation:
TR| t 1 t 2 =(1+ TR k −TR t 1 )(1+ TR t 2 )−1
when k=n−1, wherein TR t 1 is the total return of said index on the day t 1 , wherein TR t 2 is the total return of said index on the day t 2 , and wherein TR k is the total return of the index for the month k.
31 . A system for managing a mortgage-backed securities index according to claim 15 , wherein the set of instructions further comprises a seventh set of instructions configured to determine a level of said mortgage-backed securities index.
32 . A system for managing a mortgage-backed securities index according to claim 31 wherein said level is given by the following equation:
P
t
P
00
/
00
/
00
=
1
+
TR
00
/
00
/
00
t
,
wherein P t is said level of said mortgage-backed securities index on the day t,
wherein P 00/00/00 is a starting level of said index, and
wherein TR| 00/00/00 t is the total return of said index from the starting date to the day t.
33 . A system for managing a mortgage-backed securities index according to claim 32 , wherein said starting level of said index is 100.
34 . A mortgage-backed securities index, comprising:
a set of mortgage-backed securities, said set of mortgaged-backed securities being selected from all outstanding mortgage-backed securities,
wherein a relative weight is assigned to each security within said selected set, said relative weight being a relative proportion of total outstanding principal on said each security to the total outstanding principal on all securities within said selected set,
wherein said mortgage-backed securities index is characterized by a total return of said mortgage-backed securities index, said total return being calculated based on said assigned relative weight for said each security, and a total return of said each security based on a same-day-settle price,
wherein said selected set of mortgage-backed securities is selected by aggregating said all outstanding mortgage-backed securities into a plurality of pools, each of said pools comprising mortgage-backed securities having the same coupon and the same original term, and calculating an inclusion criteria for each pool within said plurality of pools, and
wherein said inclusion criteria is determined using an objective condition.
35 . A mortgage-backed securities index according to claim 34 , wherein said inclusion criteria is given by the following equation:
x
c
,
t
=
[
∑
a
=
{
FNMA
GNMA
FHLMC
}
ρ
a
,
c
,
t
]
[
∑
a
=
FNMA
,
GNMA
,
c
∈
Z
t
=
180
,
360
FHLMC
ρ
a
,
c
,
t
]
wherein
ρ a,c,t is the total outstanding principal on said outstanding mortgage-backed securities,
a is an agency which issued said outstanding mortgage-backed securities,
c is a coupon value of said outstanding mortgage-backed securities, and
t is an original term of said outstanding mortgage-backed securities.
36 . A mortgage-backed securities index according to claim 35 , wherein if said inclusion criteria for a particular pool is greater than a threshold value, said particular pool is included in said selected set.
37 . A mortgage-backed securities index according to claim 36 , wherein said threshold value is 1.5% for all 30-year mortgage-backed securities pools.
38 . A mortgage-backed securities index according to claim 36 , wherein said threshold value is 0.4% for all 15-year mortgage-backed securities pools.
39 . A mortgage-backed securities index according to claim 35 wherein said relative weight of said each security within said selected set is given by the following equation:
w
=
⌊
x
c
,
t
ρ
a
,
c
,
t
⌋
[
∑
a
=
FNMA
,
GNMA
,
c
∈
Z
t
=
180
,
360
FHLMC
ρ
a
,
c
,
t
]
,
40 . A mortgage-backed securities index according to claim 39 , wherein said total return of said each security within said selected set on any given day t 2 is given by the following equation:
TR
t
2
j
=
-
p
t
1
+
f
t
1
p
t
2
+
[
(
1
-
f
t
1
)
+
c
12
]
[
1
+
r
t
1
d
360
]
-
k
p
t
1
,
wherein p t 1 is a same-day settle price of said each security on the close of day t 1 , wherein p t 2 is a same-day settle price of said each security on the close of day t 2 , wherein r t 1 is a one-month BBA LIBOR on the close of day t 1 , wherein f t 1 is a monthly pay-down factor of said each security as best determined by day t 1 , said monthly pay-down factor f t 1 being selected from a sequence of monthly pay-down factors f i , t 1 is the last business day of the preceding month, t 2 is any day of the current month, and wherein
d
=
{
25
-
day
of
the
month
of
t
2
,
if
said
security
is
issued
by
FNMA
15
-
day
of
the
month
of
t
2
,
if
said
security
is
issued
by
GNMA
or
FHLMC
and
k
=
{
+
1
,
if
d
>
0
-
1
,
if
d
<
0
41 . A mortgage-backed securities index according to claim 40 , wherein said sequence of monthly pay-down factors is given by the following equation:
f
i
=
∑
αα
∈
A
ρ
a
,
i
-
∑
αα
∈
A
ρ
a
,
i
+
1
∑
αα
∈
A
ρ
a
,
i
,
wherein ρ α,i is the principal outstanding of pool α as of the first of month i, and wherein ρ α,i+1 is the principal outstanding of pool α as of the first of month i+1.
42 . A mortgage-backed securities index according to claim 41 , wherein said same-day settle price is given by the following equation:
p
t
=
p
~
t
+
c
12
d
1
30
1
+
r
d
2
360
f
t
+
(
1
-
f
t
)
+
c
12
1
+
r
d
3
360
,
wherein {tilde over (p)} t is the TBA price of said security 1-month forward standard PSA settle on the close of business on day t; wherein d 1 is the number of days into the month that 1-month forward standard PSA settle occurs; wherein d 2 is the number of days in between the purchase date and the standard PSA settle date 1-month forward inclusive of the former and exclusive of the latter; wherein, for FNMA mortgage-backed securities, d 3 is the number of days between the purchase date and the 25th of the next month; wherein for GNMA or FHLMC mortgage-backed securities, d 3 is the number of days between the purchase date and the 15th of the next month; and wherein r is a one-month BBA LIBOR on the close of day t.
43 . A mortgage-backed securities index according to claim 42 , wherein said total return of said index from day t 1 in month k to day t 2 in month n is given by the following equation:
TR
|
t
1
t
2
=
(
1
+
TR
k
-
TR
t
1
)
[
∏
i
=
k
+
1
n
-
1
(
1
+
TR
i
)
]
(
1
+
TR
t
2
)
-
1
,
wherein TR t 1 is the month-to-date total return of said index on the day t 1 , and TR t 2 is the moth-to-date total return of said index on the day t 2 , wherein TR k is the total return of the index for the month k, and wherein TR i is the total return of the Index for any intermediate month between k and n.
44 . A mortgage-backed securities index according to claim 43 wherein said total return of the index for any intermediate month is given by the following equation:
TR
i
=
∑
j
=
1
n
w
i
j
p
ii
j
TR
i
j
∑
j
=
1
n
w
i
j
p
i
j
,
wherein said total returns of said index on the day t 1 and t 2 are given by the following equation:
TR
t
=
∑
j
=
1
n
w
i
j
p
i
j
TR
t
j
∑
j
=
1
n
w
i
j
p
i
j
,
wherein {w i j } j=1 n are the relative weights of said mortgage-backed securities within said index, and wherein p i j is the same-day settle price for said each security within said index.
45 . A mortgage-backed securities index according to claim 44 , wherein said index further comprises a level, said level being given by the following equation:
P
t
P
00
/
00
/
00
=
1
+
TR
|
00
/
00
/
00
t
,
wherein P 00/00/00 is the starting level of said index, wherein TR| 00/00/00 t is the total return of said index from start to the day t, and wherein P t is the current level of the index.
46 . A mortgage-backed securities index according to claim 45 , wherein said starting level of said index is 100.
47 . A mortgage-backed securities index according to claim 34 , wherein said index is rebalanced by of selecting a new set of mortgage-backed securities to be included in said mortgage-backed securities index, assigning said relative weight to each security within said new selected set, and calculating a new total return of said mortgage-backed securities index.
48 . A mortgage-backed securities index according to claim 47 wherein said index is rebalanced on a last business day of each month.
49 . A computer program for managing a mortgage-backed securities index executable on general purpose computer, comprising:
an input segment for inputting market data into said system, said market data comprising data for all outstanding mortgage-backed securities; a selection segment for selecting a set of mortgage-backed securities to be included in said mortgage-backed securities index, said set of mortgaged-backed securities being selected from said all outstanding mortgage-backed securities; a weight segment for assigning a relative weight to each security within said selected set, said relative weight being a relative proportion of total outstanding principal on said each security to a total outstanding principal on all securities within said selected set; a total return segment for calculating a total return of said mortgage-backed securities index, said total return being calculated based on said assigned relative weight of said each security within said selected set, and a total return of said each security within said selected set based on a same-day-settle price; a classification segment, said classification segment classifying said data for all outstanding mortgage-backed securities in accordance with a coupon value, issuing agency and original term of each of said outstanding mortgage-backed securities; and an aggregation segment, said aggregation segment aggregating said outstanding mortgage-backed securities into a plurality of aggregated pools, wherein said aggregation segment further comprises a segment for calculating an inclusion criterion for each of said aggregated pools, said inclusion criterion being determined using an objective condition.
50 . A computer program for managing a mortgage-backed securities index according to claim 49 further comprising a storage segment, said storage segment storing data circulated within said system.
51 . A computer program for managing a mortgage-backed securities index according to claim 49 wherein said inclusion criterion is given by the following equation:
x
c
,
t
=
[
∑
a
=
{
FNMA
GNMA
FHLMC
}
ρ
a
,
c
,
t
]
[
∑
a
=
FNMA
,
GNMA
,
FHLMC
c
∈
Z
t
=
180
,
360
ρ
a
,
c
,
t
]
wherein ρ a,c,t is the total outstanding principal on said outstanding mortgage-backed securities,
a is an agency which issued said outstanding mortgage-backed securities,
c is a coupon value of said outstanding mortgage-backed securities, and
t is an original term of said outstanding mortgage-backed securities.
52 . A computer program for managing a mortgage-backed securities index according to claim 51 , further comprising a segment for comparing said inclusion criterion for all of said aggregated pools to a threshold value, and including an aggregated pool in said selected set if said threshold is met.
53 . A computer program for managing a mortgage-backed securities index according to claim 52 , wherein said threshold value is 1.5% for all 30-year mortgage-backed securities pools.
54 . A computer program for managing a mortgage-backed securities index according to claim 52 , wherein said threshold value is 0.4% for all 15-year mortgage-backed securities pools.
55 . A computer program for managing a mortgage-backed securities index according to claim 51 wherein said relative weight of said each security within said selected set is given by the following equation:
w
=
⌊
x
c
,
t
ρ
a
,
c
,
t
⌋
[
∑
a
=
FNMA
,
GNMA
,
FHLMC
c
∈
Z
t
=
180
,
360
ρ
a
,
c
,
t
]
,
wherein w is said relative weight of said each security within said selected set.
56 . A computer program for managing a mortgage-backed securities index according to claim 51 wherein said total return segment further comprises segment for calculating said total return of said each security within said selected set.
57 . A computer program for managing a mortgage-backed securities index according to claim 56 wherein said segment for calculating calculates said total return of said each security within said selected set on any given day t 2 in accordance with the following equation:
TR
t
2
j
=
-
p
t
1
+
f
t
1
p
t
2
+
[
(
1
-
f
t
1
)
+
c
12
]
[
1
+
r
t
1
d
360
]
-
k
p
t
1
,
wherein p t 1 is a same-day settle price of said each security on the close of day t 1 , wherein p t 2 is a same-day settle price of said each security on the close of day t 2 , wherein r t 1 is a one-month BBA LIBOR on the close of day t 1 , wherein f t 1 is a monthly pay-down factor of said each security as best determined by day t 1 , said monthly pay-down factor f t 1 being selected from a sequence of monthly pay-down factors f i , t 1 is the last business day of the preceding month, t 2 is any day of the current month, and wherein
d
=
{
25
-
day
of
the
month
of
t
2
,
if
said
each
security
is
issued
by
FNMA
15
-
day
of
the
month
of
t
2
,
if
said
each
security
is
issued
by
GNMA
or
FHLMC
and
k
=
{
+
1
,
if
d
>
0
-
1
,
if
d
<
0
58 . A computer program for managing a mortgage-backed securities index according to claim 57 , wherein said sequence of monthly pay-down factors is given by the following equation:
f
i
=
∑
α
o
∈
A
ρ
α
,
i
-
∑
α
o
∈
A
ρ
α
,
i
+
1
∑
α
o
∈
A
ρ
α
,
i
,
wherein ρ α,i is the principal outstanding of pool α as of the first of month i, and wherein ρ α,i+1 is the principal outstanding of pool α as of the first of month i+1.
59 . A computer program for managing a mortgage-backed securities index according to claim 58 , wherein said same-day settle price is given by the following equation:
p
t
=
p
~
t
+
c
12
d
1
30
1
+
r
d
2
360
f
t
+
(
1
-
f
t
)
+
c
12
1
+
r
d
3
360
,
wherein {tilde over (p)} t is the TBA price of said security 1-month forward standard PSA settle on the close of business on day t; wherein d 1 is the number of days into the month that 1-month forward standard PSA settle occurs; wherein d 2 is the number of days in between the purchase date and the standard PSA settle date 1-month forward inclusive of the former and exclusive of the latter; wherein, for FNMA mortgage-backed securities, d 3 is the number of days between the purchase date and the 25th of the next month; wherein for GNMA or FHLMC mortgage-backed securities, d 3 is the number of days between the purchase date and the 15th of the next month; and wherein r is a one-month BBA LIBOR on the close of day t.
60 . A computer program for managing a mortgage-backed securities index according to claim 51 wherein said total return of said index from day t 1 in month k to day t 2 in month n is given by the following equation:
TR
|
t
1
t
2
=
(
1
+
TR
k
-
TR
t
1
)
[
∏
i
=
k
+
1
n
-
1
(
1
+
TR
i
)
]
(
1
+
TR
t
2
)
-
1
when k<n−1, wherein TR t 1 is the month-to-date total return of said index on the day t 1 , and TR t 2 is the moth-to-date total return of said index on the day t 2 , wherein TR k is the total return of the Index for the month k, and wherein TR i is the total return of the index for any intermediate month between k and n.
61 . A computer program for managing a mortgage-backed securities index according to claim 60 , wherein said total return of the index for any intermediate month is given by the following equation:
TR
i
=
∑
j
=
1
n
w
i
j
p
ii
j
TR
i
j
∑
j
=
1
n
w
i
j
p
i
j
,
wherein said total returns of said index on the day t 1 and t 2 are given by the following equation:
TR
t
=
∑
j
=
1
n
w
i
j
p
i
j
TR
t
j
∑
j
=
1
n
w
i
j
p
i
j
,
wherein {w i j } j=1 n are the relative weights of said mortgage-backed securities within said index, and wherein p i j is the same-day settle price for said each security within said index.
62 . A computer program for managing a mortgage-backed securities index according to claim 51 wherein said total return of said index from day t 1 in month k to day t 2 in month n is given by the following equation:
TR|TR t 1 t 2 =TR t 2 −TR t 1
when k=n, wherein TR t 1 is the total return of said index on the day t 1 , and TR t 2 is the total return of said index on the day t 2 .
63 . A computer program for managing a mortgage-backed securities index according to claim 51 wherein said total return of said index from day t 1 in month k to day t 2 in month n is given by the following equation:
TR| t 1 t 2 =(1+ TR k −TR t 1 )(1+ TR t 2 )−1
when k=n−1, wherein TR t 1 is the total return of said index on the day t 1 , wherein TR t 2 is the total return of said index on the day t 2 and wherein TR k is the total return of the index for the month k.
64 . A computer program for managing a mortgage-backed securities index according to claim 49 , further comprising level segment, said level segment determining a level of said mortgage-backed securities index.
65 . A computer program for managing a mortgage-backed securities index according to claim 64 wherein said level is given by the following equation:
P
t
P
00
/
00
/
00
=
1
+
TR
|
00
/
00
/
00
t
,
wherein P t is said level of said mortgage-backed securities index on the day t,
wherein P 00/00/00 is a starting level of said index, and
wherein TR| 00/00/00 t is the total return of said index from the starting date to the day t.
66 . A computer program for managing a mortgage-backed securities index according to claim 65 , wherein said starting level of said index is 100.
67 . A computer program for managing a mortgage-backed securities index according to claim 49 further comprising an output segment, said output segment displaying said level of said mortgage-backed securities index and said total return of said mortgage-backed securities index to the user.Cited by (0)
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