Patent ID: 7353198

Claim:
A method for managing a mortgage-backed securities index, comprising the steps of: a. selecting a set of mortgage-backed securities to be included in said mortgage-backed securities index, said set of mortgaged-backed securities being selected from all outstanding mortgage-backed securities; b. assigning a relative weight to each security within said selected set, said relative weight being a relative proportion of total outstanding principal on said each security to the total outstanding principal on all securities within said selected set; c. calculating a total return of said mortgage-backed securities index, said total return being based on said assigned relative weight for said each security, and a total return of said each security based on a same-day-settle price; d. storing the calculated total return of said mortgage-backed securities index in an index database; e. outputting the calculated total return of said mortgage-backed securities index to a user, wherein said step of selecting a set of mortgage-backed securities further comprises aggregating said all outstanding mortgage-backed securities into a plurality of pools, each of said pools comprising mortgage-backed securities having the same coupon and the same original term; and calculating an inclusion criteria for each pool within said plurality of pools, and wherein said inclusion criteria is given by the following equation: x c , t = [ ∑ a = { FNMA GNMA FHLMC } ⁢ ρ a , c , t ] [ ∑ a = FNMA , GNMA , FHLMC c ∈ Z t = 180 , 360 ⁢ ρ a , c , t ] , wherein ρ a,c,t is the total outstanding principal on said outstanding mortgage-backed securities, a is an agency which issued said outstanding mortgage-backed securities, c is a coupon value of said outstanding mortgage-backed securities, and t is an original term of said outstanding mortgage-backed securities.