Methods and systems for providing ABS floating rate indices
In at least one aspect, the invention comprises a method comprising creating, based on specified rules, an index of asset-backed floating rate securities categorized into a plurality of asset classes; and pricing the index according to a matrix pricing method. In at least one other aspect, the invention comprises an index of asset-backed floating rate securities categorized into a plurality of asset classes, wherein the index is created based on specified rules and priced according to a matrix pricing method. In at least one other aspect, the invention comprises a method comprising participating in a total return swap on an index of asset-backed floating rate securities categorized into a plurality of asset classes, wherein the index has been created based on specified rules and priced according to a matrix pricing method.
1 . A method comprising the steps of:
creating, based on specified rules, an index of asset-backed floating rate securities categorized into a plurality of asset classes; and
pricing said index according to a matrix pricing method.
2 . A method as in claim 1 , wherein said matrix pricing method comprises asset-class-dependent steps.
3 . A method as in claim 1 , wherein said asset classes comprise two or more of: home equity loans, automobile loans, credit card debt, and student loans.
4 . A method as in claim 1 , wherein said asset classes comprise a home equity loan asset class, and wherein said matrix pricing method comprises determining a credit spread and determining one or more prepayment assumptions for each of one or more securities in said home equity loan asset class.
5 . A method as in claim 4 wherein, for each of one or more of said securities, said step of determining a credit spread is based on a credit rating of said security and a type of said security.
6 . A method as in claim 4 wherein, for each of one or more of said securities, said step of determining one or more prepayment assumptions is based on a pricing speed of said security.
7 . A method as in claim 6 , wherein said prepayment assumption is determined as follows:
(a) for month 1-3, said prepayment assumption is the pricing speed of the security;
(b) for month 4-6, said prepayment assumption is: (1 month constant payment rate plus 3 month constant payment rate plus 35 times constant payment rate) divided by 3; and
(c) for months 7 and greater, said prepayment assumption is: (3 month constant payment rate times 75%) plus (3 year home equity loan prepayment model constant payment rate times 25%).
8 . A method as in claim 1 , wherein said asset classes comprise a student loan asset class, and wherein said matrix pricing method comprises receiving, for each of one or more securities in said student loan asset class, an input regarding a spread based on at least one of: average life, rating, and collateral type.
9 . A method as in claim 1 , wherein said asset classes comprise an automobile loan asset class, and wherein said matrix pricing method comprises determining, for each of one or more securities in said automobile loan asset class, a credit spread and one or more pricing speed assumptions.
10 . A method as in claim 9 , wherein said one or more pricing speed assumptions comprise using original pricing speed of a deal for nine months, then three-month historic average ABS speed thereafter.
11 . A method as in claim 1 , further comprising dividing said index into pre-defined partitions to accommodate various investor styles.
12 . A method as in claim 11 , wherein partitions are based on one or more of: sector, quality, and average life.
13 . A method as in claim 1 , further comprising creating a composite index of one or more floating rate and one or more fixed rate indices, wherein said one or more floating rate indices comprise said index of asset-backed floating rate securities.
14 . A method as in claim 1 , further comprising creating a total return swap on said index of asset-backed floating rate securities.
15 . An index of asset-backed floating rate securities categorized into a plurality of asset classes, wherein said index is
created based on specified rules; and
priced according to a matrix pricing method.
16 . An index as in claim 15 , wherein said matrix pricing method comprises asset-class-dependent steps.
17 . An index as in claim 15 , wherein said asset classes comprise two or more of: home equity loans, automobile loans, credit card debt, and student loans.
18 . A method comprising:
participating in a total return swap on an index of asset-backed floating rate securities categorized into a plurality of asset classes,
wherein said index has been created based on specified rules and priced according to a matrix pricing method.
19 . A method comprising:
accessing, via a computer network, data regarding one or more of returns and statistics for an index of asset-backed floating rate securities categorized into a plurality of asset classes,
wherein said index has been created based on specified rules; and priced according to a matrix pricing method.
20 . A method as in claim 19 , further comprising accessing an electronic database storing said data regarding one or more of returns and statistics for said index.