Methods and systems for providing hybrid ARM indices

1. A non-transitory computer readable storage medium having computer executable instructions recorded thereon that when executed on a computer, configure the computer to perform a method comprising:

constructing one or more hybrid adjustable rate mortgage aggregates based on one or more of: agency, program, coupon, and origination year;

constructing, for each of one or more of said aggregates, one or more sub-aggregates based on one or more of: rate-index, capitalization structure, and existence of interest-only feature;

mapping pools of adjustable rate mortgages to said aggregates and sub-aggregates; and

constructing an index based on said mapping.

2. The non-transitory computer readable storage medium as in claim 1 , wherein said mapping is recalculated periodically based on weighted average loan age.

3. The non-transitory computer readable storage medium as in claim 1 , wherein said pools are selected based on inclusion rules based on one or more of: liquidity, time to reset date, and agency affiliation.

4. The non-transitory computer readable storage medium as in claim 1 , wherein said index is priced based on pricing sub-aggregates using a Pooling and Service Agreement standard settlement day each month.

5. The non-transitory computer readable storage medium as in claim 1 , wherein the method further comprises storing in an electronic database storing said data regarding one or more of returns and statistics for said index.

6. The non-transitory computer readable storage medium as in claim 1 , wherein said index is priced based on using a same day settlement convention.

7. The non-transitory computer readable storage medium as in claim 6 , wherein said same day settlement convention is a same day index settlement convention.

8. The non-transitory computer readable storage medium as in claim 7 , wherein, if an index settlement day and a Pooling and Service Agreement settlement day for a sub-aggregate occur in the same month, said index is priced based on adjusting a Pooling and Service Agreement settlement quote for cost of carry until settlement.

9. The non-transitory computer readable storage medium as in claim 7 , wherein, if an index settlement day and a Pooling and Service Agreement settlement day for a sub-aggregate occur in different months, said index is priced based on including an additional payment of principal and interest.

10. The non-transitory computer readable storage medium as in claim 9 , wherein a next month's single monthly mortality is assumed to be the same as a present month's single monthly mortality.

11. The non-transitory computer readable storage medium as in claim 1 , wherein said index is priced based on accounting for monthly pool factor reports that occur on different days of a month all on one day of each month.

12. The non-transitory computer readable storage medium as in claim 1 , wherein said index is priced based on:

using market pricing of the most liquid components of said index to price said most liquid components; and

using a prepayment model, in combination with pricing information of said most liquid components, to price the remaining components of said index.

13. A computer system comprising:

memory operable to store at least one program; and

at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to:

construct one or more hybrid adjustable rate mortgage aggregates based on one or more of: agency, program, coupon, and origination year;

construct for each of one or more of said aggregates, one or more sub-aggregates based on one or more of: rate-index, capitalization structure, and existence of interest-only feature;

map pools of adjustable rate mortgages to said aggregates and sub-aggregates;

construct an index based on said mapping; and

price said index.

14. The computer system as in claim 13 , wherein the processor is further caused to said mapping periodically based on weighted average loan age.

15. The computer system as in claim 13 , wherein the processor is further caused to select said pools based on inclusion rules based on one or more of: liquidity, time to reset date, and agency affiliation.

16. The computer system as in claim 13 , wherein said pricing said index comprises pricing sub-aggregates using a Pooling and Service Agreement standard settlement day each month.

17. The computer system as in claim 13 , wherein said pricing said index comprises using a same day settlement convention.

18. The computer system as in claim 17 , wherein said same day settlement convention is a same day index settlement convention.

19. The computer system as in claim 18 , wherein, if an index settlement day and a Pooling and Service Agreement settlement day for a sub-aggregate occur in the same month, pricing said index comprises adjusting a Pooling and Service Agreement settlement quote for cost of carry until settlement.

20. The computer system as in claim 18 wherein, if an index settlement day and a Pooling and Service Agreement settlement day for a sub-aggregate occur in different months, pricing said index comprises including an additional payment of principal and interest.

21. The computer system as in claim 20 , wherein a next month's single monthly mortality is assumed to be the same as a present month's single monthly mortality.

22. The computer system as in claim 13 , wherein said pricing said index comprises accounting for monthly pool factor reports that occur on different days of a month all on one day of each month.

23. The computer system as in claim 13 , wherein said pricing said index comprises:

using market pricing of the most liquid components of said index to price said most liquid components; and

using a prepayment model, in combination with pricing information of said most liquid components, to price the remaining components of said index.

24. The computer system as in claim 13 , further comprising an electronic database storing said data regarding one or more of returns and statistics for said index.