Systems and methods for credit default swap auction

US8078521B1 · kind B1 · utility

Assignee

• International Swaps and Derivatives Association, Inc. · US

Inventors

• John Williams · Las Vegas, US
• Doug Warren · Brooklyn, US
• Bryce Markus · New York, US
• David Moss · Warrington, GB
• Robert W. Lee · Slade, US
• Carlo-Edoardo Carlon · London, GB
• Athanassios Diplas · Chatham, US
• Glade Jacobsen · New York, US
• Justin Gmelich · New York, US
• William Roberts · Campbellville, CA
• Bryan Mix · Tuxedo Park, US
• Kimberly Summe · New York, US
• Tom Benison · Greenwich, US
• Alessandro Cocco · New York, US
• Lisa Watkinson · New York, US
• Thomas C. Vogel · Miami, US
• Vincent Basulto · New York, US

Key dates

• Filing date: Jul 30, 2007
• Grant date: Dec 13, 2011
• Expiry date: Nov 8, 2029

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/04
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Systems and methods for settling credit default swap contracts upon occurrence of a credit event are provided. In the first stage an inside market price and imbalance between net sell and buy positions are determined. When there is an imbalance between net sell and buy positions, a second stage is employed to determine a final price for settling the imbalance.