US 8,078,521 B1Granted

Systems and methods for credit default swap auction

AssigneeInternational Swaps and Derivatives Association, Inc.

InventorsJohn Williams, Doug Warren, Bryce Markus, David Moss, Robert Lee, Carlo-Edoardo Carlon, Athanassios Diplas, Glade Jacobsen, Justin Gmelich, William Roberts, Bryan Mix, Kimberly Summe, Tom Benison, Alessandro Cocco, Lisa Watkinson, Thomas Vogel, Vincent Basulto

Life of this patent

Estimating the term…

patentgrep

Loading patent…

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.

Claims15

Dependent claims

A method of settling credit default swap contracts, the method comprising acts of:

receiving, by an administrator processor from a plurality of participant computers, market orders/requests for physical settlement of a deliverable obligation for the credit default swap contracts;
determining, by the administrator processor, an imbalance between net sell and net buy positions for the deliverable obligation for the credit default swap contracts based on the received market orders/requests for physical settlement of the deliverable obligation;
receiving, by the administrator processor, limit orders;
and
determining, by the administrator processor, whether there is an imbalance between net sell and net buy positions for the deliverable obligation for the credit default swap contracts based on the received limit orders, wherein when the imbalance between the net sell and the net buy positions for the deliverable obligation for the credit default swap contracts is not satisfied based on the received limit orders, the method comprises acts of:
determining whether the imbalance is an offer to sell the deliverable obligation or a bid to buy the deliverable obligation;
and
determining a final price for the deliverable obligation, the final price determined by setting a price for the deliverable obligation that is face value of the deliverable obligation when the imbalance is a bid to purchase the deliverable obligation;
and
setting a price for the deliverable obligation to zero when the imbalance is an offer to sell the deliverable obligation.

7 more elements

A system of settling credit default swap contracts, the system comprising:

a plurality of participant computers;
and
an administrator computer comprising:
an interface arranged to interface with the plurality of participant computers;
a memory;
and
a processor, coupled to the interface and the memory, wherein the processor comprises:
an imbalance determination logic that determines an imbalance between net sell and net buy positions for a deliverable obligation for the credit default swap contracts based on received market orders/requests for physical settlement of the deliverable obligation;
and
an imbalance settling logic that determines whether there is an imbalance between net sell and net buy positions for deliverable obligation for the credit default swap contracts based on limit orders, wherein when the imbalance between the net sell and the net buy positions for deliverable obligation for the credit default swap contracts is not satisfied based on the received limit orders, the imbalance settling logic determining whether the imbalance is an offer to sell the deliverable obligation or a bid to buy the deliverable obligation and determining a final price for the deliverable obligation, the final price determined by
setting a price for the deliverable obligation that is face value of the deliverable obligation when the imbalance is a bid to purchase the deliverable obligation;
and
setting a price for the deliverable obligation to zero when the imbalance is an offer to sell the deliverable obligation.

10 more elements

Dependencies are inferred from the claim text.