| 摘要 |
A computer-implemented method for automatic defeasance of a base portfolio of swaps, the base portfolio being held between a first counterpart and a second counterpart, including the steps of: receiving at a portfolio database trade data related to the base portfolio; identifying from the trade data at a matching engine trades that have at least one of matching core attributes and matching trade characteristics so as to compile the base portfolio; grouping at a sub-portfolio generator the identified trades into sub-portfolios; determining at a spread value engine a set of allowable spread values for each sub-portfolio; and for each sub-portfolio, generating at a defeasance portfolio engine a defeasance portfolio of swaps comprising at the most two trades, each of the two trades having a spread value selected from the determined set of allowable spread values so that the defeasance portfolio replicates the base portfolio and minimizes gross notional of the defeasance portfolio.
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