A SYSTEM AND METHOD FOR STRUCTURING AND OPERATING A CREDIT INDEX

摘要

The present invention relates to a system and method for structuring and operating a credit index (Figure 1). The method of selection includes specifying criteria and conditions for inclusion in an initial subset of bonds, determining a liquidity score (Figure 1) for each bond in the initial subset, segmenting the bonds into a matrix (Figure 1) and selecting bonds based on liquidity score and their position in the matrix (Figure 1).