BlackRock, Inc.
NETWORKED SYSTEM IMPLEMENTATION OF A NEW INDEX THROUGH GENERATING, REBALANCING, AND SETTLING PROCESSES

Abstract:

A system and method of creating and managing a new index or index fund for investors. The new index is created by cross referencing the holdings information of an exchange-traded fund (ETF). The ETF has the constituents or index holdings information of a benchmark index or a liquid subset of the benchmark index, either of which may be thought of as an initial benchmark index. The initial benchmark index is passively tracked by the ETF. In some implementations of systems providing the new index, futures contracts and/or options on futures contracts are settled by reference to the index levels of the new index, and these futures contracts and/or options may be labeled exchange-traded derivatives.