Patent ID: 8463684

Claim:
A computer-implemented method for automatic defeasance of a base portfolio of negotiated credit default swaps, the base portfolio being held between a first counterparty and a second counterparty, comprising the steps of: receiving at a portfolio database negotiated trade data related to the base portfolio; identifying from the negotiated trade data at a matching engine using one or more processors negotiated 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 using one or more processors the identified negotiated trades into sub-portfolios; determining at a spread value engine using one or more processors a set of allowable spread values for each sub-portfolio; and for each sub-portfolio, generating at a defeasance portfolio engine using one or more processors a defeasance portfolio of credit default 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.