Tom Miglis - Woodbury NY, US Josef Saniga - Valparaiso IN, US Puneet Jain - Naperville IL, US
Assignee:
KCG IP HOLDINGS LLC - Chicago IL
International Classification:
G06Q 40/00
US Classification:
705 37
Abstract:
A method of converting a portfolio of non-standard credit default swap (CDS) trades standardized CDS trades. The method includes receiving electronically multiple non-standard CDS trades. Each of the multiple non-standard CDS trades includes at least an initial notional amount and an initial coupon rate. The method further includes converting each of the multiple non-standard CDS trades into two standardized CDS trades. The two standardized CDS trades include a first standardized CDS trade at a first coupon rate of 100 basis points (bps) and a second standardized CDS trade at a second coupon rate of 500 bps. The method further includes determining a first notional amount for the first standardized CDS trade and a second notional amount for the second standardized CDS trade such that a sum of the first notional amount and the second notional amount is equal to the initial notional amount, and a sum of the first notional amount multiplied by the first coupon rate and the second notional amount multiplied by the second coupon rate is equal to the initial notional amount multiplied by the initial coupon rate.