Credit event referenced asset that minimizes an investor's risk of loss of principal

• US 20020184142A1
• Filed: 05/01/2002
• Published: 12/05/2002
• Est. Priority Date: 05/01/2001
• Status: Active Grant

• Current Assignee: Barclays Capital Incorporated (Barclays PLC)
• Original Assignee: Lehman Brothers Holdings Incorporated
• Inventors: Whang, Suk Michael
• Granted Patent: US 7,966,251 B2
• Time in Patent Office: Days
• US Class Current: 705/38
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

A credit event referenced asset having a par value includes (a) a provision for a right of a creditor to receive interest on the asset for a credit term, wherein the interest is reduced if a credit event occurs with respect to a reference entity, and (b) a provision for a right of the creditor to receive the par value at a maturity date of the asset.

Claims

1. A credit event referenced asset having a par value, comprising:

a provision for a right of a creditor to receive interest on said asset for a credit term, wherein said interest is reduced if a credit event occurs with respect to a reference entity; and

a provision for a right of said creditor to receive said par value at a maturity date of said asset.

2. The credit event referenced asset of claim 1, wherein said maturity date is extended if said credit event occurs during said credit term.

3. The credit event referenced asset of claim 1, wherein an issuer of said asset receives said par value in exchange for issuing said credit event referenced asset.

4. The credit event referenced asset of claim 1, wherein said credit event is selected from the group consisting of bankruptcy, failure to make payment on a debt, obligation acceleration, repudiation/moratorium, and restructuring.

5. A method for managing a credit event referenced asset,

wherein said asset has a par value and a provision for a right of a creditor to receive interest on said asset for a credit term unless a credit event occurs with respect to a reference entity,

said method comprising:

obtaining a right, exercisable if said credit event occurs, to receive said interest,

wherein said asset has a provision for a right of said creditor to receive said par value at a maturity date of said asset.

6. The method of claim 5, further comprising, obtaining a right to deliver to an issuer of said asset, an investment in exchange for a payment of said par value, wherein said investment matures to said par value at said maturity date of said asset.

7. The method of claim 6, wherein said investment is a zero interest bond.

8. The method of claim 5, wherein an issuer issues said asset in exchange for said par value.

9. The method of claim 5, wherein said maturity date is extended if said credit event occurs.

10. The method of claim 5, wherein said credit event is selected from the group consisting of bankruptcy, failure to make payment on a debt, obligation acceleration, repudiation/moratorium, and restructuring.

11. A method for managing a credit event referenced asset,

wherein said asset has a par value and a provision for a right of a creditor to receive interest on said asset for a credit term unless a credit event occurs with respect to a reference entity,

said method comprising:

obtaining a right, exercisable if said credit event occurs, to receive said par value in exchange for an investment that matures to said par value at a maturity date of said asset,

wherein said asset has a provision for a right of said creditor to receive said par value at said maturity date.

12. The method of claim 11, wherein an issuer issues said asset in exchange for said par value.

13. The method of claim 11, wherein said maturity date is extended if said credit event occurs.

14. The method of claim 11, wherein said credit event is selected from the group consisting of bankruptcy, failure to make payment on a debt, obligation acceleration, repudiation/moratorium, and restructuring.

15. The method of claim 11, wherein said investment is a zero interest bond.