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US 2008/0167984 A1Published application
Zero recovery credit default swap indices
OwnerMatthew Courey, Matthew Piperinventors
Life of this patent
Estimating the term…
Abstract
A zero recovery credit default swap (CDS) having a portfolio of constituents, where a seller of the CDS agrees to pay a buyer a contingent payment upon each occurrence of a credit event involving a constituent of an underlying index. The contingent payment may equal the notional value times the number of credit events occurring during the period divided by the total number of constituents N.
Claims21
A method comprising:
- entering into, by a seller, a contract with a buyer, wherein the buyer agrees to pay periodic premium payments to the seller during the term of the contract, and wherein the seller agrees to pay a contingent payment to the buyer upon each occurrence of a credit event involving a constituent of an underlying index, and wherein the underlying index comprises a number N constituents and the contingent payment is related to a notional value times 1/N for each credit event involving a constituent.
A method comprising:
- making periodic premium payments, by a buyer to a seller, pursuant to a contract with the seller, wherein the buyer makes the periodic premium payments to the seller during a fixed maturity term of an underlying index;
- and
- receiving a contingent payment, by the buyer from the seller, wherein upon each occurrence of a credit event involving a constituent of the underlying index, the buyer receives the contingent payment from the seller, and wherein the underlying index comprises a number N constituents, and wherein the contingent payment is related to a notional value times 1/N for each credit event involving a constituent.
A method comprising:
- receiving periodic premium payments, by a seller from a buyer, pursuant to a contract with the buyer, wherein the seller receives the periodic premium payments from the buyer during a fixed maturity term of an underlying index;
- and
- making a contingent payment, by the seller to the buyer, wherein upon each occurrence of a credit event involving a constituent of the underlying index, the seller makes the contingent payment to the buyer, and wherein the underlying index comprises a number N constituents, and wherein the contingent payment is related to a notional value times 1/N for each credit event involving a constituent.
Dependencies are inferred from the claim text.