METHOD AND SYSTEM FOR CREATING A SECURITIES LENDING RATE VOLATILITY INDICATOR

摘要

A method and system for creating a securities lending rate volatility indicator is provided that includes obtaining securities lending transactional data for a plurality of securities lending transactions for a given period of time and determining a measure of volatility in the rebate rate associated with those transactions. The determination of rebate rate volatility includes using volume weighted lending and borrowing rebate rates for the securities transactions based in part on the type of collateral involved in the transactions, the rebate rate, the benchmark interest rate, and the expiration dates of the transactions.