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US 2010/0138362 A1Published application
Methods and Systems For Commoditizing Interest Rate Swap Transfers
AssigneeDeltaNet Market Limited
InventorPhilip H. Whitehurst
Life of this patent
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AssigneeDeltaNet Market Limited
InventorPhilip H. Whitehurst
Estimating the term…
A method, system, and financial products for trading a commoditized claim. The claim obligates one party to pay on demand to a second party an amount, for value rolling spot, transparently determined with reference to a market quote for spot-starting benchmark interest rate swap contracts of pre-specified tenor. The claim is denominated in terms of the sensitivity of present value to a one basis point yield change (“PV01”). The claim may be a debt obligation of a third-party and may be open-ended. Embodiments of the claim closely replicate interest rate swap risk profiles and permanently track benchmark quotes, and do so within a simplified operational framework. There is a linear intra-day and index-linked overnight relationship between (i) the market rate for the pre-specified grid-point constant maturity swap and (ii) the payment obligation. Securitized, bilateral, OTC and futures contract embodiments are disclosed.
A computer implemented method of trading fungible interest rate swap risk redenomination products comprising:
The computer implement method of claim 22, wherein the daily adjustment IBAi to the amount is based on a published index rate and the prevailing amount IBi and is computed daily according to:
The computer implement method of claim 24, wherein the index-driven amount MBAi is based on a published index rate and the prevailing instrument amount and is computed daily according to:
The computer implement method of claim 25, wherein the rate quoted for said single generic instrument used as the basis for the executed rate for the first transaction, for subsequent real-time values and for the executed rate for the second transaction is identical to a live market rate for a generic interest rate swap at the degree of rounding quoted, differing only in the time and date on which it is quoted.
Dependencies are inferred from the claim text.