Financial data processor system and method for implementing equity-credit linked investment vehicles

• US 8,429,043 B2
• Filed: 06/18/2003
• Issued: 04/23/2013
• Est. Priority Date: 06/18/2003
• Status: Active Grant

• Current Assignee: Barclays Capital Incorporated (Barclays PLC)
• Original Assignee: Barclays Capital Incorporated (Barclays PLC)
• Inventors: Glicksman, Eric, Papadakis, Spyros, Ding, Yidong, Gzouli, Omar
• Primary Examiner(s): TINKLER, MURIEL S
• Application Number:
  US10/465,462
• Publication Number:
  US 20040260643A1
• Time in Patent Office: 3,597 Days
• Field of Search: 705/35, 705/37
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

A novel investment vehicle comprises a synthetic corporate exchangeable note linked to the equity return and credit of select third parties. A computer system creates, tracks and implements the investment vehicle in accord with program-controlled processing. A highly flexible, cost-efficient security is created having enhanced risk/return characteristics.

Claims

1. A computer system comprising:

memory operable to store at least one program; and

at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to;

access and process data regarding a call option swap, entered into first, with one or more counter-parties and a credit default swap, entered into second, with one or more counterparties;

access and process data regarding a note that is issued to a noteholder in exchange for payment of a notional value, the note having a maturity date, being associated with one or more credit events, being backed by an equity share in a first entity via the call option swap with one or more counter-parties and having a credit risk rating based on a risk rating of a bond issued by a second entity via the credit default swap with one or more counter-parties;

wherein, upon occurrence of one of the one or more credit events prior to the maturity date, the bond issued by the second entity is delivered to the noteholder;

calculate a payment based on a principal value of the note plus any appreciation in a value of the equity share from an issue date of the note to the maturity date of the note if none of the one or more credit events occur prior to the maturity date; and

track the maturity date of the note and the one or more credit events.

2. The system of claim 1 wherein the agreement for the call option swap corresponds to a first percentage of the notional value of the note.

3. The system of claim 1 wherein the agreement for the credit default swap corresponds to a third percentage of the notional value of the note.

4. The system of claim 1 wherein the credit event comprises one of the group of:

bankruptcy, missed payment and restructuring of debt.

5. The system of claim 1 wherein the credit risk rating of the note is further based on a risk rating of an issuer of the note and a risk rating of the second entity.

6. The system of claim 1 wherein an issuer of the note comprises a trust.

15. The computer system of claim 1, wherein the processor further accesses and processes data regarding an interest rate swap with one or more counter-parties.

16. The system of claim 15 wherein the agreement for the interest rate swap corresponds to a second percentage of the notional value of the note.

7. A non-transitory computer readable storage medium having stored thereon computer executable instructions that, when executed on a computer, configure the computer to perform a method comprising:

accessing and processing data regarding a call option swap, entered into first, with one or more counter-parties and a credit default swap, entered into second, with one or more counterparties;

accessing and processing data regarding a note that is issued to a noteholder in exchange for payment of a notional value, the note having a maturity date, being associated with one or more credit events, being backed by an equity share in a first entity via the call option swap with one or more counter-parties and having a credit risk rating based on a risk rating of a bond issued by a second entity via the credit default swap with one or more counter-parties; and

wherein, if one of the one or more credit events occurs prior to the maturity date, the note is terminated and the bond issued by the second entity is delivered to the noteholder;

calculating a payment to the noteholder equal to a principal value of the note plus any appreciation in a value of the equity share from an issue date of the note to the maturity date of the note if none of the one or more credit events occur prior to the maturity date; and

tracking the maturity date of the note and the one or more credit events.

8. The non-transitory computer readable storage medium of claim 7 wherein an agreement for a call option swap is entered into for a first percentage of the notional value.

9. The non-transitory computer readable storage medium of claim 7 wherein an agreement for a credit default swap is entered into for a third percentage of the notional value.

10. The non-transitory computer readable storage medium of claim 7 wherein the credit event comprises one of the group of:

bankruptcy, missed payment and restructuring of debt.

11. The non-transitory computer readable storage medium of claim 7 wherein the credit risk rating of the note is further based on a risk rating of an issuer of the note and a risk rating of the second entity.

12. The non-transitory computer readable storage medium of claim 7 wherein an issuer of the note comprises a trust.

13. The non-transitory computer readable storage medium of claim 7, wherein the computer is further configured to access and process data regarding an interest rate swap with one or more counter-parties.

14. The non-transitory computer readable storage medium of claim 13 wherein an agreement for an interest rate swap is entered into for a second percentage of the notional value.

17. A computer system comprising:

memory operable to store at least one program; and

at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to;

access and process data regarding a credit default swap, entered into first, with one or more counter-parties and a call option swap, entered into second, with one or more counterparties;

access and process data regarding a note that is issued to a noteholder in exchange for payment of a notional value, the note having a maturity date, being associated with one or more credit events, being backed by an equity share in a first entity via the call option swap with one or more counter-parties and having a credit risk rating based on a risk rating of a bond issued by a second entity via the credit default swap with one or more counter-parties;

wherein, upon occurrence of one of the one or more credit events prior to the maturity date, the bond issued by the second entity is delivered to the noteholder;

calculate a payment based on a principal value of the note plus any appreciation in a value of the equity share from an issue date of the note to the maturity date of the note if none of the one or more credit events occur prior to the maturity date; and

track the maturity date of the note and the one or more credit events.

18. The system of claim 17 wherein the agreement for the call option swap corresponds to a first percentage of the notional value of the note.

19. The system of claim 17 wherein the agreement for the credit default swap corresponds to a third percentage of the notional value of the note.

20. The system of claim 17, wherein the processor further accesses and processes data regarding an interest rate swap with one or more counter-parties.

21. The system of claim 20 wherein the agreement for the interest rate swap corresponds to a second percentage of the notional value of the note.

22. The system of claim 17 wherein the credit event comprises one of the group of:

bankruptcy, missed payment and restructuring of debt.

23. The system of claim 17 wherein the credit risk rating of the note is further based on a risk rating of an issuer of the note and a risk rating of the second entity.

24. The system of claim 17 wherein an issuer of the note comprises a trust.

25. A non-transitory computer readable storage medium having stored thereon computer executable instructions that, when executed on a computer, configure the computer to perform a method comprising:

accessing and processing data regarding a credit default swap, entered into first, with one or more counter-parties and a call option swap, entered into second, with one or more counterparties;

accessing and processing data regarding a note that is issued to a noteholder in exchange for payment of a notional value, the note having a maturity date, being associated with one or more credit events, being backed by an equity share in a first entity via the call option swap with one or more counter-parties and having a credit risk rating based on a risk rating of a bond issued by a second entity via the credit default swap with one or more counter-parties; and

wherein, if one of the one or more credit events occurs prior to the maturity date, the note is terminated and the bond issued by the second entity is delivered to the noteholder;

calculating a payment to the noteholder equal to a principal value of the note plus any appreciation in a value of the equity share from an issue date of the note to the maturity date of the note if none of the one or more credit events occur prior to the maturity date; and

tracking the maturity date of the note and the one or more credit events.

26. The non-transitory computer readable storage medium of claim 25 wherein an agreement for a call option swap is entered into for a first percentage of the notional value.

27. The non-transitory computer readable storage medium of claim 25 wherein an agreement for a credit default swap is entered into for a third percentage of the notional value.

28. The non-transitory computer readable storage medium of claim 25, wherein the computer is further configured to access and process data regarding an interest rate swap with one or more counter-parties.

29. The non-transitory computer readable storage medium of claim 28 wherein an agreement for an interest rate swap is entered into for a second percentage of the notional value.

30. The non-transitory computer readable storage medium of claim 25 wherein the credit event comprises one of the group of:

bankruptcy, missed payment and restructuring of debt.

31. The non-transitory computer readable storage medium of claim 25 wherein the credit risk rating of the note is further based on a risk rating of an issuer of the note and a risk rating of the second entity.

32. The non-transitory computer readable storage medium of claim 25 wherein an issuer of the note comprises a trust.