Patent ID: 8571965

Claim:
A computer-implemented method for reducing delta values of credit risk positions in an online trading system of credit derivatives, the method comprising: receiving, in the online trading system of credit derivatives, a plurality of credit risk positions submitted by a plurality of trader clients, each credit risk position having a delta value and a maturity date, wherein each trader client's submission is unknown to other trader clients: identifying, by the online trading system, at least two of the plurality of trader clients who hold offsetting credit risk positions on at least two maturity dates; determining, by the online trading system, delta offset values to be applied to delta values of the credit risk positions held by the at least two trader clients and having the at least two maturity dates, such that an overall delta of each of the at least two trader clients' credit risk positions remains substantially unchanged after the application of the delta offset values; calculating, by the online trading system, notional amounts of credit derivative trades needed to realize the determined delta offset values; and executing, by online trading system, the credit derivative trades among the at least two trader clients.