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Coupon blending of a swap portfolio

  • US 10,650,457 B2
  • Filed: 08/05/2019
  • Issued: 05/12/2020
  • Est. Priority Date: 03/17/2014
  • Status: Active Grant
First Claim
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1. A system for generating, for an original portfolio of swap instruments having associated economic characteristics, a replacement portfolio of swap instruments which replicates the associated economic characteristics but requires less electronic data storage to store data indicative thereof, the system comprising:

  • a non-transitory memory storing a first data record corresponding to the original portfolio, the first data record including a plurality of line items, each of the plurality of line items being associated with a different swap instrument of the original portfolio, the first data record being further characterized by a fixed rate based economic characteristic of the original portfolio and a floating rate based economic characteristic of the original portfolio;

    a computing device including a processor coupled with the non-transitory memory and configured to;

    determine when the first data record meets a threshold and, based thereon, generate the replacement portfolio comprising a coupon adjustment swap and a float adjustment swap by;

    accessing data stored in the first data record comprising a fixed rate value, a floating rate value, a notional value, and/or a cash value associated with each of the plurality of line items and which collectively result in the fixed and floating rate based economic characteristics;

    determining a blend rate for use in blending the plurality of line items of the first data record based on the fixed rate values associated with each of the plurality of line items;

    determining the coupon adjustment swap to blend the fixed rate values associated with each of the plurality of line items using the blend rate such that a fixed rate based economic characteristic of the coupon adjustment swap is identical to the fixed rate based economic characteristic of the first data record;

    determining the float adjustment swap to blend the floating rate values associated with each of the plurality of line items based on the coupon adjustment swap such that a floating rate based economic characteristic of the float adjustment swap is identical to the floating rate based economic characteristic of the first data record; and

    wherein the computing device is further configured to;

    generate a second data record comprising two line items corresponding to the coupon adjustment swap and the float adjustment swap of the replacement portfolio such that the second data record is characterized by fixed and floating rate based economic characteristics identical to the fixed and floating rate based economic characteristics of the first data record; and

    replace the first data record with the second data record in the non-transitory memory, wherein the data stored in the non-transitory memory is reduced from a first size corresponding to the plurality of line items in the first data record to a lesser second size corresponding to the two line items of the second data record.

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