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Electronic trading system and method for pricing transactions to account for risk

  • US 8,473,400 B1
  • Filed: 04/12/2006
  • Issued: 06/25/2013
  • Est. Priority Date: 04/12/2006
  • Status: Active Grant
First Claim
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1. A request for quote system for buying and selling swap-based financial instruments, having extended maturity periods, the system comprising:

  • an order management server that;

    receives a request for quote for a swap-based financial instrument from a first entity;

    provides the request for quote to a second entity;

    receives a base price for responding to the request for quote;

    generates a response to the request for quote, the response to the request for quote comprising a response price determined from the base price and a price adjustment value; and

    provides the response to the request for quote to the first entity; and

    a risk processor that determines the price adjustment value by which the base price should be modified to account for risk to the second entity associated with a potential transaction of the swap-based financial instrument, the risk accounting for the potential for default over the extended maturity of the swap-based financial instrument.

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