Netting and position matching for portfolio compression

Details Netting and position matching for portfolio compression Netting and position matching for portfolio compression

G - Physics

06

Q

G06Q 40/02 (2012.01)

Patent

CA 2663009

A netting method replaces a set of trades between a pair of counterparties. The method includes a selection of multiple trades having equivalent terms and a determination of the net notional and net coupon. Replacement trades are created, the combined net notional and combined net coupon of which respectively equal the net notional and net coupon of the multiple trades being replaced. A position matching method is implemented for portfolio compression. An implied spread is calculated for each position of a portfolio. Positions with an implied spread outside of desired bounds are corrected. A buyer and a seller are selected, the buyer having the position with the highest implied spread value of all net long and the seller of all net short protection positions. The created trade has a notional equal to the smaller of the net default exposure and a spread of the implied spread with a smaller position.

Affiliated with

Also associated with

Rating

Netting and position matching for portfolio compression does not yet have a rating. At this time, there are no reviews or comments for this patent.

If you have personal experience with Netting and position matching for portfolio compression, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Netting and position matching for portfolio compression will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFCA-PAI-O-1943940