# US 8,156,038 B2 · System and method of implementing massive early terminations of long term financial contracts

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- Number: US 8,156,038 B2
- Document ID: US8156038B2
- Status: Granted
- Kind: B2
- Application number: 13/184,817
- Filed: 2011-07-18
- Published: 2011-11-10
- Granted: 2012-04-10
- Earliest claimed: 1999-11-24
- Assignees: TriOptima AB
- Inventors: Derk Pieter Brouwer
- Web page: https://patentgrep.com/patent/US8156038B2

## CPC

- G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
- G06Q 10/0637: Strategic management or analysis, e.g. setting a goal or target of an organisation; Planning actions based on goals; Analysis or evaluation of effectiveness of goals
- G06Q 40/00: Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q 40/03: Credit; Loans; Processing thereof
- G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR

## Abstract

A method of and system for terminating or assigning outstanding OTC derivative transactions between a plurality of financial institutions (banks). The system comprises: a processing station arranged to receive transaction data describing a plurality of transactions from a plurality of banks via the Internet. The processing station comprises: a linking module for linking different versions of the same transaction received from different parties to that transaction; an analysis module for determining a set of linked transactions between a plurality of different banks, wherein each bank has debts and claims towards other banks in the set; a calculation module arranged to calculate an aggregated value of each set of linked transactions and select the set of linked transactions which has an aggregated value within bank-specified tolerance limits acceptable for executing a termination; and an execution module for executing a termination or assignment of the selected set of linked transactions.

## Claims

### Claim 1

A system for prematurely terminating outstanding OTC (Over The Counter) derivative transactions between a plurality of parties before designated maturity dates of the derivative transactions, the system comprising:
a processing station arranged to receive transaction data describing a plurality of OTC derivative transactions including the designated maturity date of each transaction, from a plurality of transaction parties via a communications network, the processing station including a processor operable for:
linking together different versions of the same OTC derivative transaction, each version being received from a different party to that transaction;
determining a set of linked OTC derivative transactions between a plurality of different transaction parties, wherein each transaction party in the set has both debts and claims towards other parties in the set;
calculating an aggregated value of each set of linked OTC derivative transactions and selecting the set of linked OTC derivative transactions which has an aggregated value within party-specified tolerance limits acceptable for executing a premature termination, at a date at which there is no prescribed value and no prescribed method of determining a value at which the termination should take place, and at which there is no obligation for the parties to make a premature termination of the linked OTC derivative transactions of the selected set; and
executing a premature termination of the selected set of linked OTC derivative transactions, prior to their respective designated maturity dates.

### Claim 2 (depends on 1)

The system of claim 1, wherein the OTC derivative transaction is a privately negotiated contract requiring each party to carry out its own subjective valuation of the transaction and wherein two linked transaction records have different or same subjective valuations of a net present value of the same OTC derivative transaction.

### Claim 3

A method of prematurely terminating outstanding OTC (Over The Counter) derivative transactions between a plurality of parties before designated maturity dates of the derivative transactions, the method comprising:
receiving, at a computer, transaction data describing a plurality of OTC derivative transactions including the designated maturity date of each transaction, from a plurality of transaction parties via a communications network;
linking together, by a processor of the computer, different versions of the same OTC derivative transaction, each version being received from a different party to that transaction;
determining, by the processor, a set of linked OTC derivative transactions between a plurality of different transaction parties, wherein each transaction party in the set has both debts and claims towards other parties in the set;
calculating an aggregated value of each set of linked OTC derivative transactions;
selecting the set of linked OTC derivative transactions which has an aggregated value within party-specified tolerance limits acceptable for executing a premature termination, at a date at which there is no prescribed value and no prescribed method of determining a value at which the termination should take place, and at which there is no obligation for the parties to make a premature termination of the linked OTC derivative transactions in the selected set; and
executing a premature termination of the selected set of linked OTC derivative transactions, prior to their designated maturity dates.

### Claim 4 (depends on 3)

The method of claim 3, wherein each OTC derivative transaction is a privately negotiated contract requiring each party to carry out its own subjective valuation of the transaction and two linked versions have different or same subjective valuations of a net present value of the OTC derivative transaction.

### Claim 5

A system for prematurely terminating outstanding OTC (Over The Counter) derivative transactions between a plurality of parties before designated maturity dates of the derivative transactions, the system comprising:
a processing station arranged to receive transaction data describing a plurality of OTC derivative transactions including the designated maturity date of each transaction, from a plurality of transaction parties via a communications network, the processing station including a processor operable for:
receiving previously linked groups of different versions of the same OTC derivative transaction, each version having previously been received from a different party to that transaction;
determining a set of linked OTC derivative transactions between a plurality of different transaction parties, wherein each transaction party in the set has both debts and claims towards other parties in the set;
calculating an aggregated value of each set of linked OTC derivative transactions and selecting the set of linked OTC derivative transactions which has an aggregated value within party-specified tolerance limits acceptable for executing a premature termination, at a date at which there is no prescribed value and no prescribed method of determining a value at which the termination should take place, and at which there is no obligation for the parties to make a premature termination of the linked OTC derivative transactions of the selected set; and
executing a premature termination of the selected set of linked OTC derivative transactions, prior to their respective designated maturity dates.

### Claim 6 (depends on 5)

The system of claim 5, wherein the OTC derivative transaction is a privately negotiated contract requiring each party to carry out its own subjective valuation of the transaction and wherein two linked transaction records have different or same subjective valuations of a net present value of the same OTC derivative transaction.