Guaranty Fund Apportionment in Default Auctions

摘要

A method apportions guaranty fund contributions into tranches in connection with an auction directed to transferring open positions in a set of markets, such as positions in interest rate swap contracts. Bids for the open positions from non-default market participants are received. A quality factor is determined for each bid based on an offset between the bid and a winning bid in the auction for each open position. For each market and for each non-default market participant, a portion of the guaranty fund contribution of the non-default market participant is allocated to one of the tranches based on the quality factor for the market.

主权项

1. A computer implemented method for apportionment of a guaranty fund into tranches for prioritized application of the guaranty fund to a loss arising in connection with an auction, the guaranty fund comprising respective contributions from a plurality of market participants in a set of markets, the auction being directed to transferring open positions in the set of markets of a respective one of the plurality of market participants in default to one or more non-default market participants of the plurality of market participants, the method comprising:
receiving bids for the open positions from each non-default market participant; determining, with a processor, a quality factor for each bid based on an offset between the bid and a winning bid in the auction for each open position; and allocating, for each market and for each non-default market participant, a portion of the guaranty fund contribution of the non-default market participant to one of the tranches based on the quality factor for the market.