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Paired basis swap risk and credit mitigation system and collateral minimization system

机译:成对基础掉期风险和信用缓解系统以及抵押最小化系统

摘要

A paired basis swap risk and credit mitigation system and collateral minimization system. In swaps used to hedge forward contracts a system authority interposes itself and forms paired basis swaps with each of the paired swap participants and itself together with a Swaption to allow it to maintain a level book in the event of a default by any counterparty. In the event of a default the system authority has the ability to either terminate a swap and pay the non-defaulting counterparty an agreed upon termination payment, terminate the non-defaulting counterparty's swap and exercise the swaption to substitute a correlated swap with appropriate correlated termination payment; or substitute a new counterparty with an identical swap as the paired swap participant. Paired basis swap control through delivery can be enabled to continue the risk and credit mitigation benefits of the system.
机译:成对基础掉期风险和信用缓解系统以及抵押最小化系统。在用于对冲远期合约的掉期中,系统授权者介入自身,并与成对的掉期参与者及其本身以及掉期交易一起形成成对的基础掉期,以在任何交易对手违约的情况下维持其水平交易簿。在发生违约的情况下,系统授权方可以终止掉期交易并向非违约方支付约定的终止付款,终止非违约方的掉期并行使互换权以将相关掉期替换为适当的相关终止付款;或用与配对掉期参与者相同的掉期替换新的交易对手。可以通过交付实现成对的基础互换控制,以继续系统的风险和信用减轻收益。

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