Paired basis swap risk and credit mitigation system and collateral minimization system
US7590588B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Jan 23, 2004 |
| Grant date | Sep 15, 2009 |
| Priority date | — |
| Expiry date | Apr 8, 2026 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/04
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A paired basis swap risk and credit mitigation system and collateral minimization system. In swaps used to hedge forward contracts a system authority interposes itself and forms paired basis swaps with each of the paired swap participants and itself together with a Swaption to allow it to maintain a level book in the event of a default by any counterparty. In the event of a default the system authority has the ability to either terminate a swap and pay the non-defaulting counterparty an agreed upon termination payment, terminate the non-defaulting counterparty's swap and exercise the swaption to substitute a correlated swap with appropriate correlated termination payment; or substitute a new counterparty with an identical swap as the paired swap participant. Paired basis swap control through delivery can be enabled to continue the risk and credit mitigation benefits of the system.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.