Source: http://www.google.com/patents/US7987127?dq=6,757,682
Timestamp: 2014-10-21 14:46:03
Document Index: 203025911

Matched Legal Cases: ['arty 41', 'arty 42', 'arty 42', 'arty 41', 'arty 42', 'arty 42']

Patent US7987127 - Total fair value swap - Google PatentsSearch Images Maps Play YouTube News Gmail Drive More »Sign inAdvanced Patent SearchPatentsA synthetic instrument known as a �Total Fair Value Swap� is disclosed. According to one embodiment, the Total Fair Value Swap may comprise an agreement between two counterparties, a �Fixed Rate Payer� and a �Floating Rate Payer�. According to the agreement, the Fixed Rate Payer makes a stream...http://www.google.com/patents/US7987127?utm_source=gb-gplus-sharePatent US7987127 - Total fair value swapAdvanced Patent SearchPublication numberUS7987127 B1Publication typeGrantApplication numberUS 12/505,171Publication dateJul 26, 2011Filing dateJul 17, 2009Priority dateSep 12, 2005Also published asUS7567928, US8650112, US20110258103, US20140207647Publication number12505171, 505171, US 7987127 B1, US 7987127B1, US-B1-7987127, US7987127 B1, US7987127B1InventorsDavid A Oaten, Stephen J Wolf, Pankaj JhambOriginal AssigneeJp Morgan Chase Bank, NaExport CitationBiBTeX, EndNote, RefManPatent Citations (5), Non-Patent Citations (1), Classifications (10), Legal Events (1) External Links: USPTO, USPTO Assignment, EspacenetTotal fair value swapUS 7987127 B1Abstract A synthetic instrument known as a �Total Fair Value Swap� is disclosed. According to one embodiment, the Total Fair Value Swap may comprise an agreement between two counterparties, a �Fixed Rate Payer� and a �Floating Rate Payer�. According to the agreement, the Fixed Rate Payer makes a stream of payments to the Floating Rate Payer based on a fixed rate, and the Floating Rate Payer makes a second stream of payments to the Fixed Rate Payer based on a floating rate, wherein a first portion of the floating rate is based on a reference interest rate, and wherein a second portion of the floating rate is based on a credit spread associated with the Floating Rate Payer. The reference interest rate may be, for example, London Inter-Bank Offer Rate (LIBOR), prime interest rate, the US dollar swap rate, the U.S. Treasury Bond rate or any other widely traded interest rate that is reset periodically. The credit spread may be observed from the Credit Default Swap (CDS) market.
CROSS-REFERENCE TO RELATED APPLICATIONS This application is a divisional of U.S. patent application Ser. No. 11/342,559, entitled �Total Fair Value Swap,� filed Jan. 31, 2006, which claimed priority to U.S. Provisional Patent Application Ser. No. 60/715,576, filed on Sep. 12, 2005. Each of these earlier applications is incorporated herein by reference in its entirety.
One counterparty (typically the �Fixed Rate Payer�) to a Total Fair Value Swap transaction may assume the functions of monitoring the other counterparty's credit spread and calculating floating payment amounts. In that case, the counterparty that does the monitoring and calculation may manage the system 400 or have administrative privileges therein. In the case of multiple Total Fair Value Swap transactions being facilitated by the system 400, if the Fixed Rate Payers happen to be the same bank, the hank may manage the system 400. If the multiple transactions involve different Fixed Rate Payers, the system 400 may be managed by a neutral party with respect to all the transactions.
In operation, an agreement for a Total Fair Value Swap transaction may be reached between counterparties 41 and 42. For example, the counterparty 41 may be the �Fixed Rate Payee� who will make fixed payments to the counterparty 42 based on a reference interest rate that may or may not vary with time. The counterparty 42 may be the �Floating Rate Payer� who will make floating payments to the counterparty 41 based at least in part on a credit spread associated with the counterparty 42. The agreement and all relevant records may be stored in the database 404. At the beginning of each payment period, the rate monitoring unit 408 may retrieve the counterparty 42's credit spread data from the CDS market and/or other relevant pricing data from other sources. With the credit spread data and other pricing data, together with relevant data from the database 404, the transaction management unit 402 may calculate the floating payment amount as well as the fixed payment amount. Ahead of payment due date(s), electronic reminders may be sent to the counterparties 41 and 42 respectively. Payment transaction data may be collected from the counterparties, checked for compliance with the agreement, and stored in the database 404 for future reference. The system 400 may be further configured to receive data associated with one or more specified triggering events that may cause the Total Fair Value Swap transaction to be terminated if predetermined conditions are met.
Patent CitationsCited PatentFiling datePublication dateApplicantTitleUS6304858 *Dec 11, 1998Oct 16, 2001Adams, Viner And Mosler, Ltd.Method, system, and computer program product for trading interest rate swapsUS6347307 *Jun 13, 2000Feb 12, 2002Integral Development Corp.System and method for conducting web-based financial transactions in capital marketsUS7567928 *Jan 31, 2006Jul 28, 2009Jpmorgan Chase Bank, N.A.Total fair value swapUS20060143099 *Sep 23, 2004Jun 29, 2006Daniel PartlowSystem, method, and computer program for creating and valuing financial insturments linked to average credit spreadsUS20060190377 *Feb 22, 2006Aug 24, 2006Michael StanleyMethod and apparatus for pricing and administering a credit transaction* Cited by examinerNon-Patent CitationsReference1 *Options Futures and Other Derivatives,John C. Hull, 5th Ed. Prentice Hall, 2003 (hereinafter Hull), pp. 145, 625, 640-642, 645-647.* Cited by examinerClassifications U.S. Classification705/35, 705/36.00R, 705/37International ClassificationG06Q40/00Cooperative ClassificationG06Q40/04, G06Q40/06, G06Q40/00European ClassificationG06Q40/06, G06Q40/00, G06Q40/04Legal EventsDateCodeEventDescriptionAug 12, 2009ASAssignmentFree format text: ASSIGNMENT OF ASSIGNORS INTEREST;ASSIGNORS:OATEN, DAVID A;WOLF, STEPHEN J;JHAMB, PANKAJ;SIGNING DATES FROM 20060123 TO 20060124;REEL/FRAME:023090/0814Owner name: JPMORGAN CHASE BANK, NEW YORKRotateOriginal ImageGoogle Home - Sitemap - USPTO Bulk Downloads - Privacy Policy - Terms of Service - About Google Patents - Send FeedbackData provided by IFI CLAIMS Patent Services©2012 Google