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

• US 8,041,629 B2
• Filed: 08/20/2010
• Issued: 10/18/2011
• Est. Priority Date: 11/24/1999
• Status: Expired due to Fees

• Current Assignee: CME Group Incorporated
• Original Assignee: TriOptima AB (CME Group Incorporated)
• Inventors: Brouwer, Derk Pieter
• Primary Examiner(s): Patel; Jagdish
• Assistant Examiner(s): Bartley; Kenneth
• Application Number:
  US12/806,780
• Publication Number:
  US 20100325030A1
• Time in Patent Office: 424 Days
• Field of Search: 705/35, 705/37, 705/38
• US Class Current: 705/37
• CPC Class Codes: 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
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

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

1. A computer-implemented method of exchanging derivatives related data for prematurely terminating derivative related transactions, the method comprising:

receiving, at a processing unit, over a communication network, trade data associated with derivative related transactions, wherein the derivative related transactions include outstanding linked derivative related transactions having designated maturity dates and for which trade details are available for parties to the outstanding derivative related transactions,

the trade data being based on the outstanding linked derivative transactions and describing an unwind proposal including at least three involved parties and generated according to parameters agreed to by the involved parties, wherein the unwind proposal is 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;

analyzing, by the processing unit, the unwind proposal to determine whether to accept premature termination of the outstanding linked derivative related transactions of the proposal; and

communicating, to a communication device, based on a determination by the processing unit to accept premature termination of the outstanding linked derivative related transactions of the proposal, acceptance data indicating acceptance by an involved party among the involved parties of premature termination of the outstanding linked derivative related transactions of the proposal, such that premature termination of the outstanding linked derivative related transactions of the proposal can be executed based on the acceptance data.

2. The method of claim 1, wherein the trade data includes identification information corresponding to the outstanding linked derivative related transactions of the proposal.

3. The method of claim 1, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal.

4. The method of claim 1, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal identified by identification information corresponding to the outstanding linked derivative related transactions of the proposal included in the trade data.

5. The method of claim 1 further comprising:

communicating, to the communication device, identification information corresponding to the outstanding linked derivative related transactions from which the proposal is generated.

6. The method of claim 5, wherein the identification information is transmitted over the communication network to the communication device.

7. The method of claim 1 further comprising:

transmitting the acceptance data over the communication network to the communication device.

8. The method of claim 1 further comprising:

transmitting, over the communication network to the communication device, identification information corresponding to the outstanding linked derivative related transactions from which the proposal is generated.

9. The method of claim 1, wherein the processing unit is operated by the involved party among the involved parties.

10. The method of claim 1, wherein the acceptance data is transmitted over the communication network to the communication device.

11. The method of claim 1, wherein the processing unit is located at a financial institution.

12. The method of claim 1, further comprising:

wherein the analyzing includes evaluating the trade data against predetermined criteria to determine whether to communicate the acceptance data.

13. The method of claim 12, wherein the trade data is automatically evaluated against the predetermined criteria to determine whether to communicate the acceptance data.

14. The method of claim 1, wherein the communication device is associated with a party having an ability to cause execution of the premature termination of the outstanding linked derivative related transactions of the proposal.

15. A computer-implemented method of prematurely terminating outstanding derivative related transactions, the method comprising:

receiving, at a processing unit, over a communication network, interface data to enable receipt at the processing unit, over the communication network, of trade data associated with derivative related transactions, wherein the derivative related transactions include outstanding linked derivative related transactions having designated maturity dates and for which trade details are available for parties to the outstanding derivative related transactions,

the trade data being based on the outstanding linked derivative transactions and describing an unwind proposal including at least three involved parties and generated according to parameters agreed to by the involved parties, the unwind proposal being 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;

analyzing, by the processing unit, the unwind proposal to determine whether to accept premature termination of the outstanding linked derivative related transactions of the proposal; and

communicating, to a communication device, based on a determination by the processing unit to accept premature termination of the outstanding linked derivative related transactions of the proposal, acceptance data indicating acceptance by an involved party among the involved parties of premature termination of the outstanding linked derivative related transactions of the proposal, such that premature termination of the outstanding linked derivative related transactions of the proposal can be executed based on the acceptance data.

16. The method of claim 15, wherein the trade data includes identification information corresponding to the outstanding linked derivative related transactions of the proposal.

17. The method of claim 15, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal.

18. The method of claim 15, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal identified by identifying information corresponding to the outstanding linked derivative related transactions included in the trade data.

19. The method of claim 15 further comprising:

communicating, to the communication device, identification information corresponding to the outstanding linked derivative related transactions from which the proposal is generated.

20. The method of claim 19, wherein the identification information is transmitted over the communication network to the communication device.

21. The method of claim 15 further comprising:

transmitting, using the processing unit, over the communication network, the acceptance data.

22. The method of claim 15 further comprising:

transmitting, using the processing unit, over the communication network, identification information corresponding to the outstanding linked derivative related transactions from which the proposal is generated.

23. The method of claim 15, wherein the processing unit is operated by the involved party among the involved parties.

24. The method of claim 15, wherein the interface data enables the reception of the trade data over the communication network using a web page of a web server.

25. The method of claim 24, wherein the web server is a secure https web server.

26. The method of claim 15, wherein the interface data enables the reception of the trade data over a virtual private network.

27. The method of claim 15, wherein the interface data is provided over the Internet.

28. The method of claim 15, wherein the interface data is provided by an application server.

29. The method of claim 15, wherein the interface data is provided by a website.

30. The method of claim 15, wherein the interface data enables the reception of the trade data over the communication network using an FTP site.

31. The method of claim 15, wherein the processing unit is located at a financial institution.

32. The method of claim 15,

wherein the analyzing includes evaluating the trade data against predetermined criteria to determine whether to accept.

33. The method of claim 32, wherein the trade data is automatically evaluated against the predetermined criteria to determine whether to accept.

34. The method of claim 15, wherein the communication device is associated with a party having an ability to cause execution of the premature termination of the outstanding linked derivative related transactions of the proposal.

35. A computer-implemented method of exchanging derivatives related data for prematurely terminating derivative related transactions, the method comprising:

receiving, at a processing unit over a communication network, trade data associated with derivative related transactions, wherein the derivative related transactions include outstanding linked derivative related transactions having designated maturity dates and for which trade details are available for parties to the outstanding derivative related transactions, the trade data being generated using the outstanding linked derivative transactions;

determining, by the processing unit, an unwind proposal using the trade data, the unwind proposal including at least three involved parties and generated according to parameters agreed to by the involved parties, the unwind proposal being 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; and

providing, by the processing unit, unwind proposal data representative of the unwind proposal over the communication network.

36. The method of claim 35, wherein the trade data includes identification information corresponding to the outstanding linked derivative related transactions of the proposal.

37. The method of claim 35, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal.

38. The method of claim 35, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal identified by identifying information corresponding to the outstanding linked derivative related transactions included in the trade data.

39. The method of claim 35 further comprising:

providing, by the processing unit, interface data to enable transmission, over the communication network to the processing unit, of identification information corresponding to the outstanding linked derivative related transactions from which the proposal is generated.

40. The method of claim 35, wherein the processing unit is operated by an involved party among the involved parties.

41. The method of claim 35 further comprising:

providing, by the processing unit, interface data to enable receipt of the unwind proposal data over the communication network using a web page of a web server.

42. The method of claim 41, wherein the web server is a secure https web server.

43. The method of claim 41, wherein the interface data enables receipt of the unwind proposal data over a virtual private network.

44. The method of claim 41, wherein the interface data is provided over the Internet.

45. The method of claim 41, wherein the interface data is provided by an application server of the processing unit.

46. The method of claim 41, wherein the interface data is provided by a website of the processing unit.

47. The method of claim 41, wherein the interface data enables the reception of the unwind proposal data over the communication network using an FTP site.

48. The method of claim 35 further comprising:

providing, by the processing unit, interface data to enable transmission of acceptance data to the processing unit over the communication network using a username and password, wherein the acceptance data indicates acceptance of premature termination of the outstanding linked derivative related transactions of the proposal, such that premature termination of the outstanding linked derivative related transactions of the proposal can be executed based on the acceptance data.

49. The method of claim 48, wherein the interface data enables the transmission of the acceptance data over the communication network using an FTP site.

50. The method of claim 48, wherein the acceptance data is determined based on an evaluation of the unwind proposal data against predetermined criteria.

51. The method of claim 50, wherein the unwind proposal data is automatically evaluated against the predetermined criteria to determine the acceptance data.

52. The method of claim 35, wherein the processing unit is located at a financial institution.

53. The method of claim 35, wherein the communication device is associated with a party having an ability to cause execution of the premature termination of the outstanding linked derivative related transactions of the proposal.

54. The method of claim 35 further comprising:

providing, by the processing unit, interface data to enable transmission, over a communication network to the processing unit, of the trade data.

55. The method of claim 54, wherein the trade data includes identification information corresponding to the outstanding linked derivative related transactions from which the proposal is generated.

56. The method of claim 54, wherein the trade data includes identification information corresponding to the outstanding linked derivative related transactions of the proposal.

57. The method of claim 54, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal.

58. The method of claim 54, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal identified by identifying information corresponding to the outstanding linked derivative related transactions included in the trade data.

59. The method of claim 54, wherein the processing unit is operated by an involved party among the involved parties.

60. The method of claim 54, wherein the interface data enables the transmission of the trade data over the communication network using a web page of a web server.

61. The method of claim 60, wherein the web server is a secure https web server.

62. The method of claim 54, wherein the interface data enables the transmission of the trade data over a virtual private network.

63. The method of claim 54, wherein the interface data is provided over the Internet.

64. The method of claim 54, wherein the interface data is provided by an application server of the processing unit.

65. The method of claim 54, wherein the interface data is provided by a website of the processing unit.

66. The method of claim 54, wherein the interface data enables transmission of the trade data over the communication network using a username and password.

67. The method of claim 54, wherein the interface data enables transmission of the trade data over the communication network using an FTP site.

68. The method of claim 54, wherein the interface data enables transmission of the trade data over the communication network using an FTP site.

69. The method of claim 54, wherein the processing unit is located at a financial institution.

70. The method of claim 54, wherein the unwind proposal data is provided over the communication network to a communication device associated with a party having an ability to cause execution of the premature termination of the outstanding linked derivative related transactions of the proposal.

71. A computer-implemented method of exchanging derivatives related data for prematurely terminating derivative related transactions, the method comprising:

receiving, at a processing unit over a first communication network, trade data associated with derivative related transactions, wherein the derivative related transactions include outstanding linked derivative related transactions having designated maturity dates and for which trade details are available for parties to the outstanding derivative related transactions;

generating, by the processing unit, an unwind proposal using the trade data, the unwind proposal including at least three involved parties and according to parameters agreed to by the involved parties, the unwind proposal being 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; and

transmitting, over a second communication network to a communication device, confirmation data based on premature termination of the outstanding linked derivative related transactions of the proposal.

72. The method of claim 71, wherein the trade data includes identification information corresponding to the outstanding linked derivative related transactions of the proposal.

73. The method of claim 71, wherein the confirmation data indicates the premature termination of the outstanding linked derivative related transactions of the proposal identified by identifying information corresponding to the outstanding linked derivative related transactions included in the trade data.

74. The method of claim 71 further comprising:

transmitting, over the first communication network, the unwind proposal.

75. The method of claim 74, further comprising:

transmitting, over the first communication network, identification information corresponding to the outstanding linked derivative related transactions of the unwind proposal.

76. The method of claim 71, further comprising:

transmitting, over the first communication network, identification information corresponding to the outstanding linked derivative related transactions from which the proposal is generated.

77. The method of claim 71, wherein the communication device is located at a financial institution.

78. The method of claim 71 further comprising:

receiving, over the first communication network, acceptance data indicating acceptance by an involved party among the involved parties of the premature termination of the outstanding linked derivative related transactions of the proposal.

79. The method of claim 78, wherein the acceptance data is determined based on an evaluation of information describing the unwind proposal by the involved party.

80. The method of claim 79, wherein the information describing the unwind proposal is automatically evaluated against the predetermined criteria to determine the acceptance data.

81. The method of claim 71, wherein the first communication network is different from the second communication network.

82. An apparatus for use in a system for prematurely terminating derivative related transactions comprising:

a processing unit to receive, over a communication network, trade data associated with derivative related transactions, wherein the derivative related transactions include outstanding linked derivative related transactions having designated maturity dates and for which trade details are available for parties to the outstanding derivative related transactions,

the processing unit being adapted to analyze an unwind proposal to determine whether to accept premature termination of outstanding linked derivative related transactions of the unwind proposal,

the unwind proposal including at least three involved parties and being generated from an unwind process using the trade data and according to parameters agreed to by the involved parties, and being for prematurely terminating the 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; and

the processing unit being adapted to provide, over the communication network, based on a determination by the processing unit to accept the premature termination of the outstanding linked derivative related transactions of the unwind proposal, acceptance data indicating acceptance of the premature termination of the outstanding linked derivative related transactions of the unwind proposal.

83. The apparatus of claim 82, wherein the trade data includes identification information corresponding to the outstanding linked derivative related transactions of the proposal.

84. The apparatus of claim 82, wherein the trade data includes confirmation data indicating premature termination of the linked outstanding derivative related transactions of the proposal.

85. The apparatus of claim 82, wherein the trade data includes confirmation data indicating premature termination of the outstanding linked derivative related transactions of the proposal identified by identification information corresponding to the outstanding linked derivative related transactions of the proposal included in the trade data.

86. The apparatus of claim 82, wherein the processing unit is located at a financial institution.

87. The apparatus of claim 82, wherein the analyzing of the unwind proposal to determine whether to accept includes evaluating the trade data against predetermined criteria.

88. The apparatus of claim 87, wherein the trade data is automatically evaluated against the predetermined criteria to determine whether to accept.

89. The apparatus of claim 82, wherein the acceptance data is provided over the communication network to a communication device associated with a party having an ability to cause execution of the premature termination of the outstanding linked derivative related transactions of the proposal.

90. An apparatus for use in a system for prematurely terminating derivative related transactions comprising:

a processing unit adapted to provide, over a communication network, trade data associated with derivative related transactions, wherein the derivative related transactions include outstanding derivative related transactions for unwind having designated maturity dates,

the processing unit being adapted to analyze an unwind proposal to determine whether to accept premature termination of outstanding linked derivative related transactions of the unwind proposal,

the unwind proposal including at least three involved parties and being generated from an unwind process using the trade data and according to parameters agreed to by the involved parties, and being for prematurely terminating the 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, and

the processing unit being adapted to provide, over the communication network, based on a determination by the processing unit to accept the premature termination of the outstanding linked derivative related transactions of the unwind proposal, acceptance data indicating acceptance of the premature termination of the outstanding linked derivative related transactions of the unwind proposal.

91. The apparatus of claim 90, wherein the trade data includes identification information corresponding to the outstanding linked derivative related transactions from which the proposal is generated.

92. The apparatus of claim 90, wherein the trade data indicates the outstanding linked derivative related transactions designated by an involved party among the involved parties as available for unwind by the unwind process.

93. The apparatus of claim 92, wherein the trade data indicating the outstanding linked derivative related transactions designated as available is transmitted over the communication network to a derivative transaction unit from which transaction data describing the designated outstanding linked derivative related transactions is accessible.

94. The apparatus of claim 93, wherein the unwind process uses the transaction data describing the designated outstanding linked derivative related transactions acquired from the derivative transaction unit.

95. The apparatus of claim 90, wherein the processing unit is located at a financial institution.

96. The apparatus of claim 90, wherein the processing unit is adapted to analyze the unwind proposal to determine whether to accept by evaluating the trade data against predetermined criteria.

97. The apparatus of claim 96, wherein the trade data is automatically evaluated against the predetermined criteria to determine whether to accept.

98. The apparatus of claim 90, wherein the acceptance data is provided over the communication network to a communication device associated with a party having an ability to cause execution of premature termination of the outstanding linked derivative related transactions of the proposal.