Case Law Review – T 907/09

Case:

T 907/09

Claimed Subject Matter:

Valuation of a futures contract.

The application relates to data processing systems and methods for assessing the failure risk of a bundle of constructs that may individually fail. A resource amount is determined so as to counterbalance the failure risk when it is transferred. The risk assuming entity receives the resource amount.

Comments:

The claimed system is defined functionally in terms of means for storing and processing spread values and for continuously calculating a resource amount which reflects a value of a futures contract (which is based on a basket of credit default swaps). The claim is not limited to a technical field of application; on the contrary, its final paragraph emphasises a commercial goal.

The Board does not see any technical effect in knowing the resource amount or failure risk of a bundle of credit default swaps. The overall effect of the claimed system is that a mental, mathematical, commercial or administrative result is provided: What premium does the owner of the bundle have to offer so that another market participant is willing to take over the failure risk of the bundle?

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