METHOD AND SYSTEM FOR CREATING AN ISSUANCE BASED SECURITIES INDEX

摘要

A method and system to create an issuance based securities index for a period i is provided for constructing a transparent and cost-efficient securities index. The method and system to create an issuance based securities index considers historical issuance notional and historical issuance distance for each security to be used for index construction purposes so as to determine the expected allocation weight as well as index allocation for each respective security. The method and system to construct an issuance based securities index further only considers securities for inclusion within the issuance based securities index at their time of issuance. The method and system to create an issuance based securities index is performed via a number of steps by deriving issuance cycle, notional weight, expected allocation cycle, allocation weight and index allocation. These values are applied into a statistical formula to calculate the index value of the issuance based securities index.

主权项

1. A computer implemented method for creating an issuance based securities index for period i, said method comprising the steps of:
a) storing in a computer memory at least one selected security (SSin) to be included in the issuance based securities index from the universe of securities (SSi1, SSi2, SSi3 . . . SSin), said selected security comprising a historical issuance distance (IDin) and historical issuance notional (Nin); b) programmatically determining allocation factor (AFi) and base value (Bi) for the issuance based securities index; c) programmatically deriving issuance cycle (ICi) for the issuance based securities index from historical issuance distance (IDin); d) programmatically determining allocation period (APi) and reference time (RTi) for the issuance based securities index; e) programmatically deriving notional weight (Win) for each selected security (SSin) during a reference time (RTi) from historical issuance notional (Nin); f) programmatically deriving expected allocation cycle (ACin) for each selected security (SSin), said step of expected allocation cycle (ACin) is calculated from the allocation period (APi) and historical issuance distance (IDin); g) programmatically deriving allocation weight (AWin) for each selected security (SSin), said step of deriving allocation weight (AWin) is calculated from the notional weight (Win) and expected allocation cycle (ACin); h) programmatically deriving index allocation (IAin) for each selected security (SSin), said step of deriving index allocation (IAin) is calculated from the allocation weight (AWin) and allocation factor (AFi); i) programmatically calculating index value (IVi) from equation:
IVi=Bi+Bi×Σ{((FPin−FIPin)/FIPin)×IAin}+(UCi×CYi)wherein FPin is the full price of each selected security (SSin) and FIPin is the full issuance price of each selected security (SSin) and UCi is the unallocated cash of the issuance based securities index and CYi is interest rate earned on the unallocated cash (UCi).