WO2002099601A3 - A system and method for structuring and operating a credit index - Google Patents

A system and method for structuring and operating a credit index Download PDF

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Publication number
WO2002099601A3
WO2002099601A3 PCT/US2002/018084 US0218084W WO02099601A3 WO 2002099601 A3 WO2002099601 A3 WO 2002099601A3 US 0218084 W US0218084 W US 0218084W WO 02099601 A3 WO02099601 A3 WO 02099601A3
Authority
WO
WIPO (PCT)
Prior art keywords
structuring
operating
credit index
bonds
matrix
Prior art date
Application number
PCT/US2002/018084
Other languages
French (fr)
Other versions
WO2002099601A8 (en
WO2002099601A9 (en
WO2002099601A2 (en
Inventor
Varkki Chacko
Fernando Cunha
Original Assignee
Goldman Sachs & Co
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Goldman Sachs & Co filed Critical Goldman Sachs & Co
Priority to EP02753338A priority Critical patent/EP1407409A4/en
Priority to AU2002313635A priority patent/AU2002313635A1/en
Priority to CA002452713A priority patent/CA2452713A1/en
Publication of WO2002099601A2 publication Critical patent/WO2002099601A2/en
Publication of WO2002099601A8 publication Critical patent/WO2002099601A8/en
Publication of WO2002099601A3 publication Critical patent/WO2002099601A3/en
Publication of WO2002099601A9 publication Critical patent/WO2002099601A9/en

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation or account maintenance
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/06—Buying, selling or leasing transactions
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Abstract

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).
PCT/US2002/018084 2001-06-05 2002-06-05 A system and method for structuring and operating a credit index WO2002099601A2 (en)

Priority Applications (3)

Application Number Priority Date Filing Date Title
EP02753338A EP1407409A4 (en) 2001-06-05 2002-06-05 A credit index, a system and method for structuring a credit index, and a system and method for operating a credit index
AU2002313635A AU2002313635A1 (en) 2001-06-05 2002-06-05 A system and method for structuring and operating a credit index
CA002452713A CA2452713A1 (en) 2001-06-05 2002-06-05 A system and method for structuring and operating a credit index

Applications Claiming Priority (4)

Application Number Priority Date Filing Date Title
US29585601P 2001-06-05 2001-06-05
US60/295,856 2001-06-05
US30227501P 2001-06-29 2001-06-29
US60/302,275 2001-06-29

Publications (4)

Publication Number Publication Date
WO2002099601A2 WO2002099601A2 (en) 2002-12-12
WO2002099601A8 WO2002099601A8 (en) 2003-11-27
WO2002099601A3 true WO2002099601A3 (en) 2004-03-04
WO2002099601A9 WO2002099601A9 (en) 2004-04-01

Family

ID=26969369

Family Applications (2)

Application Number Title Priority Date Filing Date
PCT/US2002/017905 WO2002099589A2 (en) 2001-06-05 2002-06-05 A system and method for determining the liquidity of a credit
PCT/US2002/018084 WO2002099601A2 (en) 2001-06-05 2002-06-05 A system and method for structuring and operating a credit index

Family Applications Before (1)

Application Number Title Priority Date Filing Date
PCT/US2002/017905 WO2002099589A2 (en) 2001-06-05 2002-06-05 A system and method for determining the liquidity of a credit

Country Status (5)

Country Link
US (3) US7769657B2 (en)
EP (2) EP1407400A4 (en)
AU (2) AU2002305848A1 (en)
CA (2) CA2452713A1 (en)
WO (2) WO2002099589A2 (en)

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Also Published As

Publication number Publication date
WO2002099589A3 (en) 2003-09-04
WO2002099601A8 (en) 2003-11-27
AU2002305848A1 (en) 2002-12-16
WO2002099589A2 (en) 2002-12-12
EP1407400A4 (en) 2004-08-11
CA2452713A1 (en) 2002-12-12
US20080313097A1 (en) 2008-12-18
US7769657B2 (en) 2010-08-03
US8370238B2 (en) 2013-02-05
US20100268635A1 (en) 2010-10-21
EP1407409A2 (en) 2004-04-14
EP1407409A4 (en) 2004-07-21
US20120150767A1 (en) 2012-06-14
AU2002313635A1 (en) 2002-12-16
WO2002099601A9 (en) 2004-04-01
EP1407400A2 (en) 2004-04-14
CA2452697A1 (en) 2002-12-12
US8005738B2 (en) 2011-08-23
WO2002099601A2 (en) 2002-12-12

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