CREDIT INDEX, A SYSTEM AND METHOD FOR STRUCTURING A CREDIT INDEX, AND A SYSTEM AND METHOD FOR OPERATING A CREDIT INDEX

• US 20080313097A1
• Filed: 06/25/2008
• Published: 12/18/2008
• Est. Priority Date: 06/05/2001
• Status: Active Grant

• Current Assignee: Goldman Sachs & Co. LLC (Goldman Sachs Group Incorporated)
• Original Assignee: Goldman Sachs & Company (Goldman Sachs Group Incorporated)
• Inventors: Chacko, Varkki, Cunha, Fernando
• Granted Patent: US 7,769,657 B2
• Time in Patent Office: Days
• US Class Current: 705/36R
• CPC Class Codes: G06Q 30/06 Buying, selling or leasing transactions
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

The present invention relates to a credit index, a system and method for structuring a credit index, a system and method for operating a credit index, and a system and method for determining the liquidity of a credit.

Claims

1. A software program for populating an index of a plurality of bonds, each of which bonds is issued by an issuer, comprising:

means for disqualifying any of the bonds in an initial candidate subset of bonds from inclusion in the index of bonds for one or more disqualifying conditions;

means for determining a liquidity score for each of the bonds in the initial candidate subset of bonds which is not disqualified, wherein said liquidity score is determined at least in part by;

(a) determining a raw score which is a function of the age and size of the bond;

(b) determining a model issuer premium associated with the issuer;

(c) determining an applied issuer premium associated with the bond, which applied issuer premium is based at least in part on the model issuer premium; and

(d) combining at least the raw score and the applied issuer premium to determine the liquidity score;

means for segmenting the bonds in the initial candidate subset of bonds into a matrix; and

means for including one or more bonds from the initial candidate subset of bonds in the index of bonds based at least in part upon the liquidity score of the included bond and a position of the included bond in the matrix associated with the initial candidate subset of bonds.