发明名称 METHOD FOR EXECUTING A SINGLE TRANCHE SYNTHETIC ABS DERIVATIVE TRANSACTION
摘要 A Single Tranche Synthetic ABS product is designed to replicate economics returns of structured finance collateralized debt obligations (SF CDO) securities and allow parties to express a leveraged and/or correlation view on a custom ABS portfolio by transferring a credit risk of a particular transacted tranche of a portfolio in swap format. The inventions described herein account for an available funds cap risk of the ABS securities within the underlying portfolio in a manner equivalent to a cash analog based on the same underlying portfolio with sequential pay structure.
申请公布号 US2010325066(A1) 申请公布日期 2010.12.23
申请号 US20100831423 申请日期 2010.07.07
申请人 BARCLAYS CAPITAL INC. 发明人 LAI JONATHAN;LEE JEONG GU
分类号 G06Q40/00 主分类号 G06Q40/00
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