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US 7,467,112 B2Granted
Method for listing a futures contract that physically settles into a swap
AssigneeGoldman, Sachs & Co.
InventorOliver L. Frankel
Life of this patent
Estimating the term…
Abstract
According to some embodiments, a futures contract is listed on a futures trading exchange. The futures contract physically settles upon expiration into a reference swap. The reference swap is cleared by a clearing house so that the physical settlement requires that the holder of a position in the futures contract upon expiration takes a specified side of the reference swap against the clearing house. The reference swap may be a credit default index swap.
Claims3
A method of operating an exchange, the method comprising:
- listing a futures contract;
- receiving an electronic signal that represents an order to buy or an order to sell the futures contract;
- and
- upon settlement of the futures contract, requiring entry into a specified credit default index swap on a specified date against a specified counterparty, wherein
- (a)(i) a long position in said futures contract entitles a holder of the long position to receive a fixed side of the specified credit default index swap on the specified date, and (ii) a short position in said futures contract entitles a holder of the short position to receive a floating side of the specified credit default index swap on the specified date;
- or
- (b)(i) a short position in said futures contract entitles the holder of the short position to receive a fixed side of the specified credit default index swap on the specified date, and (ii) a long position in said futures contract entitles the holder of the long position to receive a floating side of the specified credit default index swap on the specified date;
- said specified counterparty being a clearinghouse.
5 more elements
Dependencies are inferred from the claim text.