System and method of implementing massive early terminations...

Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance

Reexamination Certificate

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C705S035000, C705S038000

Reexamination Certificate

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08041629

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.

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patent: 7206768 (2007-04-01), deGroeve et al.
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patent: 2001/0049649 (2001-12-01), Baecker et al.
patent: 2002/0010670 (2002-01-01), Mosler et al.
patent: 99/41687 (1999-08-01), None
Don Chance, “An Introduction to Derivatives,” 1998, The Dryden Press, Forth Worth, pp. 139-147.
Thomas Eggenschwiler and Erich Gamma, “ET++SwapsManager: Using Object Technology in the Financial Engineering Domain,” ACM Sigplan Notices, US Association for Computing Machinery, Oct. 1992, vol. 27, No. 10, pp. 166-177.
Loretta DeSourdy, “New Legislation on Netting and Payments Finality,” Jun. 1999, Reserve Bank of New Zealand: Bulletin vol. 62, No. 2, pp. 61-65.

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