Computerized transaction-based yield curve analytics

1 . A computer aided method performed within a trading day for establishing secondary market-relevant price for a bond issued by a corporate entity, the method comprising:

accessing, using a computer, data relating to executed secondary market trades for a group of bonds issued by the entity, the group of bonds comprising at least a first set of bonds having a first maturity date and a second set of bonds having a second maturity date, the executed trades having occurred within a specified time period;

analyzing the data using the computer to select a subset of the information, the selection being based upon application of at least one specified criterion; and

using the subset, establishing an entity specific yield curve for the entity so that, using a bond pricing model, an anticipated price for the bond on the secondary market can be calculated using a point on the established entity specific yield curve that corresponds to the bond.

2 . The method of claim 1 wherein the bond pricing model is an OAS-based pricing model.

3 . The method of claim 1 wherein the information comprises a stream of reported market transactions.

4 . The method of claim 3 wherein the stream of reported market transactions comprises data reported to the NASD pursuant to NASD Rule 6200 .

5 . The method of claim 1 wherein the information comprises an NASD Trade Reporting and Compliance Engine™ (TRACE) data feed.

6 . The method of claim 1 wherein the specified time period is less than the time between the start of a day's trading and a then-present time.

7 . The method of claim 1 wherein the specified time period is the smallest amount of time necessary to create yield curve data points for at least three different bonds of the entity.

8 . The method of claim 1 wherein the specified time period is a moving window of time.

9 . The method of claim 1 wherein the specified time period comprises, with respect to a trading day, at least one of:

i) between about trading start time and about mid-morning of the trading day;

ii) between about mid-morning and about mid-day of the trading day;

iii) between about mid-day and about mid-afternoon of the trading day; or

iv) between about-mid afternoon and late-afternoon of the trading day.

10 . The method of claim 1 wherein the establishing the entity specific yield curve for the entity comprises:

for all trades in the subset corresponding to the first maturity date, calculating a median first bond price.

11 . The method of claim 10 further comprising, for all trades in the subset corresponding to the second maturity date, calculating a median second bond price.

12 . The method of claim 1 wherein the establishing the entity specific yield curve for the entity comprises:

for all trades in the subset corresponding to the first maturity date, calculating a mean first bond price.

13 . The method of claim 12 further comprising, for all trades in the subset corresponding to the second maturity date, calculating a mean second bond price.

14 . The method of claim 1 wherein the establishing the entity specific yield curve for the entity comprises:

for all trades in the subset corresponding to the first maturity date, calculating a volume weighted average first bond price.

15 . The method of claim 14 further comprising, for all trades in the subset corresponding to the second maturity date, calculating a volume weighted average second bond price.

16 . The method of claim 1 wherein the establishing the entity specific yield curve for the entity comprises:

fitting a curve to pricing data associated with the subset using a cubic spline interpolation technique.

17 . The method of claim 1 wherein the bond for which the anticipated price can be calculated has not traded on the secondary market since a time prior to an immediately preceding trading day.

18 . A computer implemented method for establishing a price for a bond of a particular entity, the method comprising, using a programmed processor to:

access data reflecting trades of commercial entity-issued bonds, the data comprising trades of bonds issued by the particular entity;

identify trades specific to bonds of the particular entity;

interpolate a yield curve for the entity based upon applying a cubic spline algorithm to points for each of the traded bonds issued by the particular entity;

identify an MCAA-Yield for the bond for which the price will be established using the yield curve; and

calculate the price for the bond by using the MCAA-Yield and information specific to the bond in an OAS-based bond pricing model.

19 . The computer implemented method of claim 18 wherein the bond for which the price is calculated will have not been traded on a secondary market for a specified period of time.

20 . The computer implemented method of claim 18 wherein the programmed processor is configured to interpolate the yield curve by a calculation comprising, for each unique bond maturity, the points using at least one of:

a) a volume weighted average;

b) a volume weighted average preceded by exclusion of odd lot trades;

c) a time stamped volume weighted average that gives greater weight to trades having a more recent time stamp;

d) a time window based volume weighted average;

e) an unweighted statiatically based calculation;

f) a tolerance based mean trade level analysis;

g) a time stamped tolerance based mean trade level analysis; or

h) a time window based, and tolerance based, mean trade level analysis.