Source: http://www.google.com.tw/patents/US7567928
Timestamp: 2013-06-19 05:49:47
Document Index: 233901760

Matched Legal Cases: ['arty 41', 'arty 42', 'arty 42', 'arty 41', 'arty 42', 'arty 42', 'art 1']

�M�Q US7567928 - Total fair value swap - Google �M�Q�j�M �Ϥ� �a�� Play YouTube �s�D Gmail ���ݵw�� ��h »�i���M�Q�j�M | �������� | �n�J�i���M�Q�j�M�M�QA 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.tw/patents/US7567928?utm_source=gb-gplus-share�M�Q US7567928 - Total fair value swap���}��US7567928 B1�X���������v�ӽЮѽs��11/342,559�o�G���2009�~7��28���ӽФ��2006�~1��31�� �u���v���2005�~9��12����L���}�M�Q��US7987127, US20110258103���}��11342559, 342559, US 7567928 B1, US 7567928B1, US-B1-7567928, US7567928 B1, US7567928B1�o��HDavid A. Oaten, Stephen J. Wolf, Pankaj Jhamb��M�Q�v�HJpmorgan Chase Bank, N.A.�M�Q�ޥ� (107), �D�M�Q�ޥ� (52), �Q�H�U�M�Q�ޥ� (3), ���� (10) �~���s��: ���M�Q�ӼЧ�, ���M�Q�ӼЧ��M�Q����T��, �ڬw�M�Q��Total fair value swapUS 7567928 B1�K�n 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 claims priority to U.S. Provisional Patent Application Ser. No. 60/715,576, entitled ��Total Fair Value Swap,�� filed on Sep. 12, 2005, which is herein incorporated by reference in its entirety.
FIELD OF THE INVENTION The present invention relates generally to financial instruments. More particularly, the present invention relates to a synthetic instrument referred to as a ��Total Fair Value Swap.��
SUMMARY OF THE INVENTION One embodiment of the present invention comprises a synthetic instrument referred to as a ��Total Fair Value Swap.�� 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 may make a first stream of payments to the Floating Rate Payer, wherein the first stream of payments may be based on either a truly fixed interest rate or a reference rate that is periodically reset. The Floating Rate Payer may make 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.
DETAILED DESCRIPTION OF THE INVENTION To provide a more satisfactory funding solution to an entity, embodiments of the present invention introduce a new type of synthetic instrument known as a ��Total Fair Value Swap.�� A Total Fair Value Swap may be a single swap transaction wherein the floating payment is a function of both interest rates and the perceived creditworthiness of a borrower (its ��credit spread��). The purpose of a Total Fair Value Swap is to permit a borrower to obtain long-term funding at a floating rate of interest through the use of a single financial instrument. Previously, it would have been possible to achieve this result only through a combination of interest rate and highly illiquid credit default swaps. A Total Fair Value Swap may be entered into between two counterparties, a ��Fixed Rate Payer�� and a ��Floating Rate Payer��. A Floating Rate Payer in the swap may be an organization that needs funding, such as a public corporation, a private firm, a partnership, a limited liability company (LLC), or a municipality. For illustration purposes, this Floating Rate Payer is generally referred to as ��Company�� in the description below. The Fixed Rate Payer in the swap is typically a financial services provider such as an investment bank or a similar financial institution. This Floating Rate Payer is referred to as ��Bank�� in the description below. Theoretically, any two persons or entities may participate in a Total Fair Value Swap as long as their participation does not violate any applicable rules or regulations.
In the context of a Total Fair Value Swap, the term ��fixed payments�� may refer to payments with a truly fixed amount throughout the term of the swap, or the term ��fixed payments�� may refer to payments whose amounts are based on a reference rate as agreed upon by parties to the swap. According to one embodiment, the reference rate may be a fixed interest rate that is the same as or proportionate to the fixed-rate bond coupon. Alternatively, the reference rate may be a market interest rate or one that is reset periodically in a manner prescribed by the swap contract.
The credit spread portion of the floating rate may be based on Company's credit spread as observed from the CDS market. A credit spread typically reflects the likelihood that a company will default on its debts. A credit default swap is a contract that protects a party to the contract against the risk of a default by a particular company. In the CDS market where these contracts referencing various entities are traded, a company's credit risk may be observed and quantified with a price indicator known as a ��credit spread.�� Companies with higher credit spreads are required to pay a correspondingly higher risk premium (i.e., a higher interest rate) to purchasers of their debt securities and other lenders. To be eligible for a Total Fair Value Swap, Company is typically required to have a verifiable credit spread for a predetermined number of years. According to one embodiment, it is preferable that Company has verifiable 5-year and 10-year credit spreads. Company's credit spread may be obtained from the CDS market and may be adjusted on a periodic basis. For example, if payments are made every six months between Company and Bank, a snapshot of Company's 5-year credit spread may be taken in the CDS market at the beginning of each 6-month period. This credit spread value may be used to determine the credit spread portion of the floating rate in the Total Fair Value Swap. Therefore, the amount of Company's floating-rate payments to Bank is, at least in part, based on Company's own credit risk at or around the time of each payment. Calculation of the credit spread portion of the floating rate may be done with a standard or proprietary pricing model that is capable of pricing Constant Maturity CDS transactions.
From the spreadsheet in FIG. 3, it may be seen that part of the 5.90% fixed coupon rate is based on the 5-year U.S. Treasury Bond interest rate (4.08%) and a 5-year swap spread (0.47%). On the first day of the first 3-month period in this example, the 3-month LIBOR rate is 3.12%, and Company's 5-year credit spread is 1.35%. The credit spread portion of the floating rate is 74%��1.35%=0.999%. Company enjoys 1.78% in interest payment savings during the first 3-month period. Thereafter, actual payments may vary according to fluctuations in the LIBOR rate and Company's credit spread, both of which may be determined on the first day of each 3-month period. However, the floating credit spread is capped at 8.50%. That is, at any time during the 5-year tenor of the Total Fair Value Swap, Company will pay no more than the product of 74% and 8.50% for the credit spread portion of the floating rate.
The Total Fair Value Swap transaction provides Company a number of advantages. For example, since a portion of the floating rate payable under a Total Fair Value Swap is tied to the creditworthiness of Company, Company benefits from the lowering of its own credit spreads. At the same time, Company has increased its floating rate exposure and generated interest expense savings. Compared to a ��plain vanilla�� interest rate swap alone, Company is now able to monetize a steep interest rate curve as well as a steep credit curve. Since the floating credit spread is capped at 8.50%, Company is protected in an extreme downside scenario.
In a further variant of the Total Fair Value Swap, Company may purchase an option to enter into the transaction. Further, the Total Fair Value Swap may contain an early termination option that permits Company or Bank to terminate the transaction before its scheduled maturity date, either with or without compensating termination payments. In a further variant of the Total Fair Value Swap, the transaction as a whole or any part thereof may terminate (or ��knock out��) upon the occurrence of one or more specified events (which may be called ��credit events��) with respect to Company or a third party.
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 bank 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 Payer�� 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.
In step 508, typically at the beginning of a payment period, Bank may observe Company's credit spread in a CDS market and calculate Company's floating payment amount based at least in part on its credit spread. According to some embodiments of the present invention, Company's floating payment amount may be determined based on a floating rate that may comprise an ��interest rate portion�� and a ��credit spread portion.�� The interest rate portion may be either fixed throughout the term of the Total Fair Value Swap or may be reset on a periodic basis. The credit spread portion may be a percentage value that is the same as or proportionate to Company's credit spread. The credit spread portion may be capped at a specified level so that Company is only exposed to limited risk of a potential drop in its credit ratings. In one embodiment, the floating rate is the sum of LIBOR rate and a percentage of Company's credit spread.
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S6; Issn: 0014-2433.49Unknown, Investigating Systems, Oct. 2002.50Unknown, Investigating Systems.51Witten et al., Text Mining: A New Frontier for Lossless Compression, Mar. 1999.52Witten et al., Text Mining: A New Frontier for Lossless Compression.* �Ѽf�d�H��ޥ��Q�H�U�M�Q�ޥ� �ޥΥ��M�Q�ӽФ���o�G��� �ӽЪ��M�Q�W��US7987126 *2007�~10��10��2011�~7��26��Pipeline Capital, Inc.Interest rate swap indexUS7987127 *2009�~7��17��2011�~7��26��Jp Morgan Chase Bank, NaTotal fair value swapUS83749532010�~10��25��2013�~2��12��Chicago Mercantile Exchange, Inc.System and method for implementing and managing bundled option box futures* �Ѽf�d�H��ޥ����� ���M�Q������705/35, 705/36.00R, 705/37��ڱM�Q������G06Q40/00 �X�@����G06Q40/06, G06Q40/00, G06Q40/04 �ڬw������G06Q40/06, G06Q40/00, G06Q40/04������l�Ϥ�Google ���� - Sitemap - USPTO �j�q�U�� - ���p�v�F�� - �A�ȱ�� - ���� Google �M�Q - �N���^�X��ƬO�Ѭ��ӷ~�M�Q��Ʈw (IFI CLAIMS Patent Services) ����©2012 Google