发明授权
- 专利标题： Method for executing a single tranche synthetic ABS derivative transaction
- 专利标题（中）： 执行单次合成ABS衍生交易的方法
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申请号： US12831423申请日： 2010-07-07
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公开(公告)号： US08793175B2公开(公告)日： 2014-07-29
- 发明人: Jonathan Lai , Jeong Gu Lee
- 申请人： Jonathan Lai , Jeong Gu Lee
- 申请人地址： US NY New York
- 专利权人： Barclays Capital Inc.
- 当前专利权人： Barclays Capital Inc.
- 当前专利权人地址： US NY New York
- 代理机构： Morgan Lewis & Bockius LLP
- 主分类号： G06Q40/00
- IPC分类号： G06Q40/00
摘要：
A Single Tranche Synthetic ABS product designed to replicate economics returns of structured finance collateralized debt obligations (SF CDO) securities, 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, and 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.
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