METHODS AND SYSTEMS FOR PROVIDING A MUNICIPAL INDEX SWAP
In at least one aspect the invention comprises a computer-implemented method comprising: (a) electronically receiving data regarding characteristics of a plurality of tax exempt municipal bonds; (b) electronically receiving data describing a plurality of rules for inclusion of the tax exempt municipal bonds in a municipal bond index; (c) constructing a municipal bond index by applying the rules to characteristics of the plurality of tax exempt municipal bonds; and (d) quoting a municipal swap having a reference index, wherein the reference index is the municipal bond index. Other aspects comprise related computer systems and apparatuses, as well as various embodiments.
1 . A computer-implemented method comprising:
electronically receiving data regarding characteristics of a plurality of tax exempt municipal bonds;
electronically receiving data describing a plurality of rules for inclusion of said tax exempt municipal bonds in a municipal bond index;
constructing a municipal bond index by applying said rules to characteristics of said plurality of tax exempt municipal bonds; and
quoting a municipal swap having a reference index, wherein said reference index is said municipal bond index.
2 . A method as in claim 1 , wherein said swap is on a total return basis.
3 . A method as in claim 1 , wherein said rules comprise tax status.
4 . A method as in claim 3 , wherein said tax status relates to exemption from alternative minimum tax.
5 . A method as in claim 1 , wherein said swap is on a yield basis.
6 . A method as in claim 1 , wherein said municipal bond index comprises two sets of municipal bonds: a returns universe and a statistics universe.
7 . A method as in claim 6 , wherein said returns universe is adjusted only on a monthly basis.
8 . A method as in claim 6 , wherein said returns universe comprises municipal bonds whose value determines a value for said reference index.
9 . A method as in claim 6 , wherein composition of said statistics universe changes on a daily basis.
10 . A method as in claim 6 , wherein composition of said statistics universe accounts for changes due to one or more of new issuance, calls, rating changes, and remaining maturity.
11 . A method as in claim 6 , wherein at the end of each month, the current statistics universe becomes the returns universe for the coming month.
12 . A computer system comprising:
a hardware component that electronically receives data regarding characteristics of a plurality of tax exempt municipal bonds;
a hardware component that electronically receives data describing a plurality of rules for inclusion of said tax exempt municipal bonds in a municipal bond index;
a hardware component that constructs a municipal bond index by applying said rules to characteristics of said plurality of tax exempt municipal bonds; and
a hardware component that quotes a municipal swap having a reference index, wherein said reference index is said municipal bond index, and wherein said hardware components may be, but are not necessarily, distinct from each other.
13 . A system as in claim 12 , wherein said swap is on a total return basis.
14 . A system as in claim 12 , wherein said rules comprise tax status.
15 . A system as in claim 14 , wherein said tax status relates to exemption from alternative minimum tax.
16 . A system as in claim 12 , wherein said swap is on a yield basis.
17 . A system as in claim 12 , wherein said municipal bond index comprises two sets of municipal bonds: a returns universe and a statistics universe.
18 . A system as in claim 17 , wherein said returns universe is adjusted only on a monthly basis.
19 . A system as in claim 17 , wherein said returns universe comprises municipal bonds whose value determines a value for said reference index.
20 . A system as in claim 17 , wherein composition of said statistics universe changes on a daily basis.
21 . A system as in claim 17 , wherein composition of said statistics universe accounts for changes due to one or more of new issuance, calls, rating changes, and remaining maturity.
22 . A system as in claim 17 , wherein at the end of each month, the current statistics universe becomes the returns universe for the coming month.
23 . An apparatus comprising:
a first computer readable medium that stores data regarding characteristics of a plurality of tax exempt municipal bonds;
a second computer readable medium that stores data describing a plurality of rules for inclusion of said tax exempt municipal bonds in a municipal bond index;
a third computer readable medium that stores data describing a municipal bond index constructed by applying said rules to characteristics of said plurality of tax exempt municipal bonds; and
a fourth computer readable medium that stores one or more quotes regarding a municipal swap having a reference index, wherein said reference index is said municipal bond index, and wherein said computer readable mediums may be, but are not necessarily, distinct from each other.
24 . An apparatus as in claim 23 , wherein said swap is on a total return basis.
25 . An apparatus as in claim 23 , wherein said rules comprise tax status.
26 . An apparatus as in claim 25 , wherein said tax status relates to exemption from alternative minimum tax.
27 . An apparatus as in claim 23 , wherein said swap is on a yield basis.
28 . An apparatus as in claim 23 , wherein said municipal bond index comprises two sets of municipal bonds: a returns universe and a statistics universe.
29 . An apparatus as in claim 28 , wherein said returns universe is adjusted only on a monthly basis.
30 . An apparatus as in claim 28 , wherein said returns universe comprises municipal bonds whose value determines a value for said reference index.
31 . An apparatus as in claim 28 , wherein composition of said statistics universe changes on a daily basis.
32 . An apparatus as in claim 28 , wherein composition of said statistics universe accounts for changes due to one or more of new issuance, calls, rating changes, and remaining maturity.
33 . An apparatus as in claim 28 , wherein at the end of each month, the current statistics universe becomes the returns universe for the coming month.