Method and system for managing a mortgage-backed securities index

Abstract From the Canadian patent

A system and method for generating and managing a generic mortgage-backed securities index is disclosed (Fig. 2). Bonds are selected for the index on a monthly basis. For the purpose of selecting bonds for the index all , outstanding mortgage-backed securities are considered. If the total principal outstanding of any coupon exceeds a threshold the security will be included , in the Index (Fig. 5). Performance of the Index is determined by its total return. The invention inclides assigning relative weights in accordance with relative proportions of different individual securities in the index and covers the frequency of re-weighting.