US 8,301,551 B2 · System and method of implementing massive early terminations of long term financial contracts

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.

Claims28

Dependent claims

A system for exchanging derivatives related data for prematurely terminating derivative related transactions, the system comprising:

a first processing unit adapted to provide, over a communication network, trade data associated with derivative related transactions over a communication network, wherein the derivative related transactions include outstanding derivative related transactions for compression having designated maturity dates;
and
a second processing unit adapted to perform a compression process based on the trade data from the communication network by generating a compression proposal including at least three involved parties, according to parameters agreed to by the involved parties and for prematurely terminating outstanding linked derivative related transactions of the proposal at a date at which (i) there is no prescribed value and no prescribed method of determining a value at which termination of the outstanding linked derivative related transactions of the proposal should take place, and (ii) there is no obligation for the involved parties to prematurely terminate the outstanding linked derivative transactions of the proposal.

Dependencies are inferred from the claim text.

System and method of implementing massive early terminations of long term financial contracts

Life of this patent

System and method of implementing massive early terminations of long term financial contracts

Life of this patent

Abstract

Claims28