Coupon blending of a swap portfolio

A computer implemented method comprising:

• storing, in a non-transitory memory, a first data record including a plurality of line items, each of which is associated with a different swap instrument and includes data indicative of economic characteristics of the associated swap instrument including a fixed rate value and a floating rate value, the first data record being further characterized by a first fixed rate based economic characteristic and a first floating rate based economic characteristic as a result of the economic characteristic data of each of the plurality of line items;
• determining, by a processor coupled with the non-transitory memory, when the first data record meets a threshold and, based thereon:
• accessing the economic characteristic data of each of the plurality of line items of the first data record;
• determining a fixed adjustment swap which combines the fixed rate values associated with each of the plurality of line items such that a fixed rate based economic characteristic of the determined fixed adjustment swap is identical to the first fixed rate based economic characteristic;
• determining a float adjustment swap which combines the floating rate values associated with each of the plurality of line items based on the determined fixed adjustment swap such that a floating rate based economic characteristic of the float adjustment swap is identical to the first floating rate based economic characteristic;
• generating a second data record comprising first and second line items;
• storing, in the first line item of the second data record, data indicative of economic characteristics of the fixed adjustment swap and storing, in the second line item of the second data record, data indicative of economic characteristics of the float adjustment swap, wherein the second data record is characterized by a second fixed rate based economic characteristic and a second floating rate based economic characteristic as a result of the economic characteristic data of each of the first and second line items, the second fixed rate based economic characteristic being identical to the first fixed rate based economic characteristic and the second floating rate based economic characteristic being identical to the first floating rate based economic characteristic;
• and
• replacing 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 to a lesser second size.

A system comprising a processor and a non-transitory memory coupled therewith, the system further comprising instructions stored in the non-transitory memory and configured to, when executed by the processor, cause the processor to:

• store, in the non-transitory memory, a first data record including a plurality of line items, each of which is associated with a different swap instrument and includes data indicative of economic characteristics of the associated swap instrument including a fixed rate value and a floating rate value, the first data record being further characterized by a first fixed rate based economic characteristic and a first floating rate based economic characteristic as a result of the economic characteristic data of each of the plurality of line items;
• determine when the first data record meets a threshold and, based thereon:
• access the economic characteristic data of each of the plurality of line items of the first data record;
• determine a fixed adjustment swap which combines the fixed rate values associated with each of the plurality of line items such that a fixed rate based economic characteristic of the determined fixed adjustment swap is identical to the first fixed rate based economic characteristic;
• determine a float adjustment swap which combines the floating rate values associated with each of the plurality of line items based on the determined fixed adjustment swap such that a floating rate based economic characteristic of the float adjustment swap is identical to the first floating rate based economic characteristic;
• generate a second data record comprising first and second line items;
• store, in the first line item of the second data record, data indicative of economic characteristics of the fixed adjustment swap and store, in the second line item of the second data record, data indicative of economic characteristics of the float adjustment swap, wherein the second data record is characterized by a second fixed rate based economic characteristic and a second floating rate based economic characteristic as a result of the economic characteristic data of each of the first and second line items, the second fixed rate based economic characteristic being identical to the first fixed rate based economic characteristic and the second floating rate based economic characteristic being identical to the first floating rate based economic characteristic;
• 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 to a lesser second size.