Credit event fixings

Abstract

Disclosed are methods and systems for transacting credit derivatives. The methods and systems allow for the calculation of the final cash settlement prices for credit derivatives following a credit event, such as a corporate bankruptcy.

1 . A method comprising: accepting at least one inside market submission and at least one market order from each participating bidder in a credit derivative auction following a credit event; and determining a price for credit derivatives utilizing the market submissions and market orders. 
     
     
         2 . The method of  claim 1 , wherein the market submissions comprise at least one bid to buy credit derivatives. 
     
     
         3 . The method of  claim 1 , wherein the market submissions comprise at least one offer to sell credit derivatives. 
     
     
         4 . The method of  claim 1 , further comprising determining if a minimum number of inside market submissions have been received prior to determining the price for the credit derivatives. 
     
     
         5 . The method of  claim 4 , further comprising waiting until a minimum number of inside market submissions have been received prior to determining the price for the credit derivatives. 
     
     
         6 . The method of  claim 1 , wherein determining a price for the credit derivatives comprises determining an inside market midpoint. 
     
     
         7 . The method of  claim 6 , wherein determining the inside market midpoint comprises matching inside market offers and bids. 
     
     
         8 . The method of  claim 7 , wherein the matched inside market offers and bids are grouped into tradeable matched market submissions and non-tradeable market submissions. 
     
     
         9 . The method of  claim 8 , further comprising trading the tradeable matched market submissions. 
     
     
         10 . The method of  claim 8 , wherein the inside market midpoint is calculated from a selection of the non tradeable market submissions. 
     
     
         11 . The method of  claim 8 , wherein the non-tradeable market submissions are converted into limit orders. 
     
     
         12 . The method of  claim 1 , further comprising accepting at least one limit order from a participating bidder in the auction. 
     
     
         13 . The method of  claim 1 , further comprising matching market orders to determine open interest. 
     
     
         14 . The method of  claim 6 , wherein the price is the inside market midpoint. 
     
     
         15 . The method of  claim 13 , further comprising matching the open interest to one or more limit orders. 
     
     
         16 . The method of  claim 15 , wherein the price is the matched limit order comprising a highest offer or a lowest bid. 
     
     
         17 . A credit event authority, comprising: a database configured to store credit derivative information for a certain reference entity; memory configured to store execution instructions; and a processor coupled with the database and the memory, the processor configured to execute the instructions, the instructions configured to cause the processor to receive a at least one inside market submission and at least one market order from each participating bidder in the auction, determining a price for the credit derivatives utilizing the market submissions and market orders. 
     
     
         18 . The credit event authority of  claim 17 , wherein the market submissions comprise at least one bid to buy credit derivatives. 
     
     
         19 . The credit event authority of  claim 17 , wherein the market submissions comprise at least one offer to sell credit derivatives. 
     
     
         20 . The credit event authority of  claim 17 , wherein the instructions further comprise determining if a minimum number of inside market submissions have been received prior to determining the price for the credit derivatives. 
     
     
         21 . The credit event authority of  claim 20 , wherein the instructions further comprise waiting until a minimum number of inside market submissions have been received prior to determining the price for the credit derivatives. 
     
     
         22 . The credit event authority of  claim 17 , wherein determining a price for the credit derivatives comprises determining an inside market midpoint. 
     
     
         23 . The credit event authority of  claim 22 , wherein determining the inside market midpoint comprises matching inside market offers and bids. 
     
     
         24 . The credit event authority of  claim 23 , wherein the matched inside market offers and bids are grouped into tradeable matched market submissions and non-tradeable market submissions. 
     
     
         25 . The credit event authority of  claim 24 , wherein the instructions further comprise trading the tradeable matched market submissions. 
     
     
         26 . The credit event authority of  claim 24 , wherein the inside market midpoint is calculated from a selection of the non tradeable market submissions. 
     
     
         27 . The credit event authority of  claim 24 , wherein the non-tradeable market submissions are converted into limit orders. 
     
     
         28 . The credit event authority of  claim 17 , wherein the instructions further comprise accepting at least one limit order from a participating bidder in the auction. 
     
     
         29 . The credit event authority of  claim 17 , further comprising matching market orders to determine open interest. 
     
     
         30 . The credit event authority of  claim 22 , wherein the price is the inside market midpoint. 
     
     
         31 . The credit event authority of  claim 29 , wherein the instructions further comprise matching the open interest to one or more limit orders. 
     
     
         32 . The credit event authority of  claim 31 , wherein the price is the matched limit order comprising a highest offer or a lowest bid. 
     
     
         33 . A credit derivative trading system, comprising: a credit event authority; a plurality of terminals configured to allow a plurality of participating bidders to interface with the credit event authority; and a standardized interface that allows each of the plurality of participating bidders to interface with the credit event authority and submit inside market submissions and market orders, the standardized interface configured to display the information for trading credit derivatives following a credit event in a compact and uniform format. 
     
     
         34 . A method of auctioning credit derivatives following a credit event comprising: accepting at least one inside market submission and at least one market order from each participating bidder in the auction; and determining a price for the credit derivatives utilizing the market submissions and market orders.