PROCESS AND METHOD FOR ESTABLISHING CREDIT DEFAULT SWAP INDICES ON DEFINED ECONOMIC SECTORS TO SUPPORT THE CREATION, TRADING AND CLEARING OF CREDIT DERIVATIVE INSTRUMENTS
摘要
<p>A method for establishing a credit default swap index on a defined economic sector. A reference economic sector is identified by an index provider. A multi-credit corporate index is established for the reference economic sector. Individual credit default swap (CDS) transactions and the multi-credit corporate index are used to compile an . industry sector CDS index for the reference economic sector. At least one issue or credit reference in the industry sector CDS index is weighted differently, relative to the weight of other issues or credit references in the industry sector CDS index. Structured credit . instruments are issued by a dealer based on the industry sector CDS sector index. Trading positions with respect to the structured credit instruments are monitored by a dealer. The structured credit instruments are settled against the industry sector CDS index.</p>
申请公布号
WO2007076089(A2)
申请公布日期
2007.07.05
申请号
WO2006US49179
申请日期
2006.12.22
申请人
DELTA RANGERS, INC.;SIMONS, HOWARD;MCGILL, BRADLEY, J.;SANABRIA, DANIEL
发明人
SIMONS, HOWARD;MCGILL, BRADLEY, J.;SANABRIA, DANIEL