CROSSREFERENCE

This application is a new U.S. utility application claiming priority to U.S. Provisional Application No. 60/789,574 filed Apr. 6, 2006, the entire content of which is hereby incorporated by reference in this application.
BACKGROUND ART

Globalization has directly impacted various aspects of the Central Securities Depository (CSD) market sector. A drive for consistency and a more standardized approach in operations and systems has resulted. In addition, there is continuous pressure on participants and operators to improve efficiency in all elements of the transaction value chain. CSDs are exposed to more complicated securities and resultant activities, e.g. Corporate Actions, because of the global perspective and market refinement. Processes and systems must now be much more adaptable. In such a dynamic environment “speed to market” of new products and services is critical. The CSD systems must facilitate this “speed”, which can be achieved by flexible, generic functionality for the different steps in the settlement or other processes.

Transactions between market participants require matching and settlement. Trades can be captured directly from a trading (exchange) system or other external system, such as a Central Counterparty (CCP), matching service or back office system or manually entered by participants. Trade matching and confirmation prepare transactions for settlement according to applicable settlement rules. Assets and financing are verified, and securities may be lockedin in the investor CSD prior to settlement.
DESCRIPTION OF THE INVENTION

An overall object and purpose of the securities settlement system (SSS) is to increase the flow of successful trades, by minimizing the demands for liquidity of cash especially.

A securities settlement system that achieves the object and purpose is obtained through a securities settlement system comprising an input for receiving trade information, a selector for selecting a group of trades to be cleared, an aggregation unit for determining an aggregated obligation to be cleared by each user associated with the group of trades and a settlement unit for executing the aggregated obligations for each user to clear the trades in the group of trades.

Grouping trades and aggregating the obligation to be cleared for each user increases usability and speed of the clearing. Each user's account is accessed a minimum of times (essentially once) and a minimum of transfers of securities is also established. Aggregating also provides the benefit of enabling clearing of a series of trades where a traditional one by one clearing would have resulted in trade removals or freezing the clearing. This because in a group of trades a single user may have several trades that together is clearable as they net out.

An advantageous improvement is achieved in that the system further comprises a register indicating each user's obligation limit and a comparator for comparing each user's aggregated obligation with the obligation limit and if an obligation fails for a user, the selector modifies the selected group of trades to arrive at a new selected group of trades where all obligations can be met by all users.

Hereby it is guaranteed that all trades in the selected group of trades can be cleared. The reselection process can be performed in many ways, for instance by iterating through a set of algorithms in order to determine a minimum of trades to be removed from the group in order to obtain a group in which all trades are clearable.

An alternative solution is obtained through the invention by a securities settlement system comprising an input for receiving trade information, a sorting unit for sorting out trades associated with a specific sorting criteria and an aggregation unit for determining an aggregated obligation to be cleared by each user.

The sorting criteria may be one or more specific users (prioritized users due to number of trades or amount of trades), one or more specific instrument types and one or more markets. A combination of these criteria or other trade specific critera are also feasible.

A method that achieves an effective and improved settlement clearing is obtained through the invention by the method steps of receiving information relating to a number of trades; selecting a group of trades from said number of trades; determining an aggregated obligation to be cleared for each user associated with the group of trades; and executing the aggregated obligation for each user, thereby clearing the group of trades.

The essence of the new type of clearing is to combine multiple trades into one group and to net the effects of multiple debits and credits against the same account or cash record.

For example, consider two trades; one which debits the cash record A with $10 and the other that credits A with $10. By combining the two, the net effect is to do nothing against A. Therefore, even if A has no balance, the debiting trade can be completed.

Therefore, this system affects the areas around clearing and settlement. In summary, the following sections of the SSS are affected:

 Clearing of obligations.
 Handling of queue.
 Settlement of instructions.
BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 illustrates how aggregation of trades according to the invention reduces the number of necessary transactions;

FIG. 2 illustrates an example of an overall clearing and settlement process according to the invention;

FIG. 3 shows a flow chart exemplifying one possible algorithm for optimizing a group of trades to be cleared;

FIG. 4 shows a graph exemplifying one possible selection for optimizing a group of trades to be cleared;

FIG. 5 illustrates the generic clearing and settlement process;

FIG. 6 illustrates the process at waypoints in the generic clearing and settlement process in FIG. 5;

FIG. 7 further exemplifies the process at different waypoints;

FIG. 8 examplifies an optimised process at waypoints;

FIG. 9 examplifies an alternative optimized process at waypoints;

FIG. 10 shows an embodiment of a securities settlement system in accordance with the invention; and

FIG. 11 shows an alternative embodiment of a securities settlement system in accordance with the invention.
DETAILED DESCRIPTION OF EMBODIMENTS OF THE INVENTION

The basis for all clearing in the settlement system is the settlement obligation, which contains one or several debit or credit instructions. In the following, we assume each settlement obligation contains exactly one such instruction.

A trade is converted into a set of obligations, called a settlement obligation group. Hence, a group is a list of debit and credit obligations that must be settled automatically and simultaneously. Thereby, a list of entered trades give rise to a list of settlement obligation groups.

Clearing a group thus means to reserve the necessary amounts induced by the contained debit obligations, before these can be settled together with the corresponding credit obligations.

For each such list of groups, the settlement system is required to clear and settle as many as possible whenever it is invoked. The normal mode is to invoke the system repeatedly and settle the groups reactively in realtime. However, it may also be that the system is invoked periodically, thus confronted with large sets of groups that, of course, could be settled one by one, but where there are several opportunities to do “better” than that.

For example, consider the scenario of FIG. 1. Assume the participant T is a great trader. He buys a security S for $X from a marketmaker M, and sells it for $X+10 to investor I. But assumes he has no money. Hence, he cannot buy S, nor complete the sell. But, if the system aggregated the two trades, it could deliver S to I from M, and $10 to T from I, and $X to M from T.

Such deadlock situations occur frequently in a market, and require special attention from the settlement system to improve the completion rate of trades (as this is the true purpose of any market). In the general case, the deadlock may occur via a chain of trades between multiple participants.

The requirement then is to make the settlement system aggregate trades to minimize the demand for liquidity by resolving deadlocks.

In the following we look into the details of the clearing and settlement process, to better illustrate the changes made in the settlement system and process.

Settlement Definitions

We use the following definitions from here on. Rather than referring to netted we prefer the term aggregated, since netting is a term somewhat misused.

 (Settlement) obligation, i.e. a tuple of four values: (A, I, V, P), where A refers to an account or cash record, I to a security or currency, V to a volume or amount (negative or positive), and P to a priority (Active, Deferred).
 (Settlement obligation) group, i.e. a list of obligations, where it is assumed that for any two obligations (A, I, V, P) and (B, J, W, Q) in a group, either A<>B or I<>J (otherwise, they are aggregated into one). A twoparty trade is typically represented by a group of four obligations (one debit/credit per participant and counterpart).
 Obligation aggregation, i.e. two obligations (A, I, V, P) and (A, I, W, Q) are aggregated by replacing them with (A, I, V+W, Pm), where Pm is the minimum priority of P and Q.
 Group graph, i.e. an undirected graph of groups constructed as follows. Two groups G1 and G2 are connected if at least one obligation in G1 can be aggregated with one obligation in G2 (i.e. they refer to the same holding/position).
 Group component, i.e. given a graph of groups, the component is simply a connected component in the graph. Hence, if two groups G1 and G2 are in different components, they have no obligations that can be aggregated.
 Holding, i.e. a holding AI is defined by the volume of the instrument/currency I held in account/cash record A.
Clearing And Settlement Process

The overall clearing and settlement process is shown in FIG. 2 and can be described as follows.

 1. First two lists of settlement rules of purpose LockinIncremental and LockinAggregated are retrieved.

This determines the selection criteria of which groups should be cleared in the current subsession. The criteria consists of a list of sources, instrument classes, currencies and types (message/operation).

 2. From the selection criteria, choose a subset of all unsettled groups (or all, depending on the number of inserted trades).
 3. For those groups to be cleared incrementally, the clearing proceeds by clearing the groups, one by one, and within a group, clearing the obligations one by one. Whenever an obligation is Deferred, or overdraws an account/cash record, the clearing of the group is frozen (to be reconsidered in later invokations of the system). When all debit obligations of a group are cleared, the group is marked as fully cleared.
 4. For those groups to be cleared in aggregation, the clearing proceeds by aggregating the groups (see below) into net obligations. For each net obligation, neither Deferred nor overdrawing, each group aggregated into it is marked as fully cleared.
 5. For each fully cleared group, the system proceeds by adjusting each account and cash record against the obligations in the group. Such groups are then Settled.

Incremental clearing is performed as follows.

 A. Let (G1, . . . , Gn) be a list of groups.
 B. For each group Gi in the list, let (o1, . . . , ok) be its list of obligations.
 1. For each obligation oi=(A, I, V, P) in the list, where the available volume of AI is Av:
 2. if P=Deferred and V<0, return.
 3. if P<>Deferred and V<0, check if Av+V>=0. If not, return. Otherwise, make the reservation of V in AI, and continue in 1.
 4. Continue in 1.

Hence, incremental clearing considers one group at a time, obligation by obligation, and reserves each debit in order. If, not all debits are successfully locked in, because of a Deferred obligation, or an overdraft, the group is left partially cleared. It remains this way, until either the deferral is removed or the affected account/cash record has more available volume.

Aggregated clearing is performed as follows.

 1. Let G=(G1, . . . , Gn) be a list of groups, where no group contains a Deferred obligation (these are filtered out).
 2. For each group Gi in the list, let Oi=(o1, . . . , ok) be its list of obligations.
 3. Let O be the aggregated union of all Oi.
 4. For each obligation oi=(A, I, V, _) in O, where the available volume of AI is Av:
 5. if V<0, check if Av+V>=0. If so, continue in 4. Otherwise, remove m groups H1, . . . , Hm (let m be the smallest such number) from G, where Hi contains an obligation (A, I, Wi, _), Wi<0, such that Av+V−(W1+. . . +Wm)>=0, and continue in 3.
 6. Continue at 4, selecting the next obligation.

Hence, aggregated clearing considers all groups simultaneously, and aggregates all the contained obligations.

The result is a list of netted obligations that all must be cleared together. If this fails, because of one debit making an overdraft against an account (cash record), a number of groups that debit the account are removed to make the clearing successful.

Once some groups have been removed, the aggregation is recomputed, and the clearing repeated. Eventually, all netted obligations can be cleared, and the groups that still remain in the aggregation are cleared and settled together.

For example, consider the following scenario, consisting of 4 groups, and 9 obligations. Assume A
2 has no holding, and that A
3 has a holding (of the selected instrument) of 40.
Group A1 obligations A2 obligations A3 obligations
G1 +30 −30
G2 −10 +10
G3 +20 −20
G4 +20 −20
Total +50 −10 −40

First, note that using incremental clearing, either G1 or G4 can be cleared, but not both. Also, neither G2 nor G3 can be cleared incrementally (since A2 is empty).

Now, using aggregated clearing, three obligations result: +50 against A1, −10 against A2, and 31 40 against A3.

Since A2 is empty, these three obligations cannot clear simultaneously.

Using the principle in step 5 above, either G2 or G3 is removed, since this suffices to make the clearing of A2 succeed.

Let us assume G
2 is removed. The aggregation then results in:
Group A1 obligations A2 obligations A3 obligations
G1 +30 −30
G3 +20 −20
G4 +20 −20
Total +50 ±0 −50

That is, two obligations result: +50 against A1, and −50 against A3.

Since A3 holds an available volume of 40, these two obligations cannot clear simultaneously.

Using the principle in step 5 above, either G1 or G4 is removed, since this suffices to make the clearing of A3 succeed.

Let us assume G
1 is removed. The aggregation then results in:
Group A1 obligations A2 obligations A3 obligations
G3 +20 −20
G4 +20 −20
Total +20 ±0 −20

These net obligations (+20, −20) can be cleared, and the aggregated clearing thus completes.

However, note that if we in the original list of groups were to remove G
3 instead of G
2, the result is:
Group A1 obligations A2 obligations A3 obligations
G1 +30 −30
G2 −10 +10
G4 +20 −20
Total +30 +10 −40

This time, the net obligations (+30, +10, −40) can be cleared without further removal of groups. That is, the choice of which groups to remove affects the convergence of the aggregated clearing.

Thus, aggregated clearing does not remove the minumum number of groups, but rather tries to remove the minimal number in each step.

As the simplest possible heuristic of what to remove in the clearing, consider the following version of the removal, which has the advantage of being easy to explain. if V<0, check if Av+V>=0. If so, continue in 4. Otherwise, remove all groups H1, . . . , Hm from G, where Hi contains an obligation (A, I, _, _), and continue at 3.

That is, all groups referencing the overdrawn account are removed. This leads to quick convergence, at the expense of removing a larger number of groups.

Consider the example again:
Group A1 obligations A2 obligations A3 obligations
G1 +30 −30
G2 −10 +10
G3 +20 −20
G4 +20 −20
Total +50 −10 −40

The new heuristic would thus remove G
2, G
3, and G
4, giving:
Group A1 obligations A2 obligations A3 obligations
G1 +30 −30
Total +30 ±0 −30

The settlement system could also provide another clearing mechanism that can be invoked prebusiness to complete as many pending trades as possible ahead of the market opening (this to cater for previously received trades to be settled during the current business date).

It is important to include as many groups as possible (to complete as many trades as possible) in the clearing, which is why we introduce the notion of batched clearing. This to allow us to use a more advanced clearing algorithm than can normally be invoked during business hours (for performance reasons).

However, we do not intend to produce the optimal result in the batched run, i.e. clearing as many groups as possible, since the clearing problem is an integer programming problem. Such problems lack efficient optimization algorithms for large instances, and instead we seek an approximation algorithm.

First, consider an integer programming problem. The aggregated clearing problem is formalized as follows.

 1. Let G=(G1, . . . , Gn) be a list of groups.
 2. For each group Gi in the list, let Oi=(o1, . . . , ok) be its list of obligations.
 3. Let xi in (0, 1), such that xi=1 if Gi is cleared by the aggregation (netting).
 4. Maximize x1+. . . +xn (i.e. maximize the number of cleared groups), given the following constraints.
 5. For a given account A and instrument I, where the available volume of AI is Av, the clearing constraint is
Av+v1×1+. . . +vnxn>=0,
where vi=V if (A, I, V) in Gi, and 0 otherwise. That is, this constraint states that the aggregation of each debit and credit operation of any group in the solution is less or equal to the available volume of the affected account/cash record. There will be one such constraint per account/cash record.

A solution to the above is such that each volume constraint is satisfied, and the number of groups included in the clearing is the maximum.

Consider the sample used above.
Group A1 obligations A2 obligations A3 obligations
G1 +30 −30
G2 −10 +10
G3 +20 −20
G4 +20 −20

The corresponding equations are (assuming A1 holds 100, A2 holds 0, and A3 holds 40), using the formalization:
Maximize x1+x2+x3+x4,
where
30×1+20×1<=100 (A1)
−10×2−20×3+20×4<=0 (A2)
−30×1+10×2−20×4<=40 (A3)

The optimal solution assigns x1=1, x2=1, x3=0, and x4=1, i.e. G3 is excluded.

In general, there may be more than one answer to the optimization problem.

Given that we may encounter more than 100 000 trades, the number of variables could exceed 100 000, which is very difficult to solve. Therefore, we need to look at largescale algorithms that can handle the worstcase.

 1. Let (AI, . . . ) be a list of all holdings/positions referenced by any group to be settled, sorted in decreasing order by the number of pending debit obligations against the holding.
 2. Enumerate over the list, choosing AI each time.
 3. From AI, retrieve the list of all groups (G1, . . . , Gn) that contains an obligation (A, I, _, _).
 4. For each obligation (B, J. _, _) and retrieved group, retrieve the list of all groups that contain an obligation (B, J, _, _). Eliminate BJ from the holding list accordingly.
 5. Repeat 4 until no more groups are retrieved or until a threshold has been reached (configurable). Hence, the strongly connected component that originates with the list in 3 has been computed.
 6. From the list of retrieved groups, run aggregated clearing, using the aggregated clearing algorithm above, and settle the cleared groups.
 7. Go back to 2, enumerating over the next holding AI.
 8. When the enumeration is finished, all groups remaining as unsettled make up the trades that failed to settle.

As an alternative in step 6, use the following algorithm. Let there be k constraints in the following, and p a prechosen probability (set to around 0.80).

 1. Initially, let all x1, . . . , xn be set to 0.
 2. Let the current assignment be the optimal solution.
 3. Flip 50% of the variables, chosen randomly among those set to 0, hence, setting them to 1.
 4. If all k constraints are true, and fewer than n variables are set to 1, continue in 2.
 5. If some constraints are false, 1 say, then with probability p, flip the value of xi, where the new value of xi reduces 1 more than flipping the value of any other xj does, and with probability 1p, flip the value of some randomly chosen xi.
 6. Continue at 4, unless n*log(n) flips have been made.
 7. If time allows (configurable), repeat at 1, keeping the current optimum. Otherwise, return the best of the current optimum and the previous optimum.

That is, starting from a random assignment of which groups to include in the aggregation, given a connected component, we search locally for improvements to the current assignment. See the flow outline shown in FIG. 3.

The algorithm iterates making partly random choices to include as many groups as possible in the final solution. It starts from a initial solution, where no groups are included, and randomly includes as many groups as possible until at least one constraint is violated (using a Zenolike inclusion).

Once a constraint has been violated, the algorithm tries to improve the current assignment by flipping the variable that improves the assignment the most, but occasionally flipping some variables chosen randomly. Hence, this strives to come closer to a solution.

This repeats until too many iterations have been made, or a solution is found. At this point, the solution is saved, and the process is repeated by greedily trying to add yet other groups.

Eventually, the limit of iterations is reached, and if time allows, the whole process starts over, in hope of finding an even better solution.

Consider the graph sketch in FIG. 4 for an example.

FIG. 4 is meant to illustrate a graph of groups, where G
11 is particularly connected (to G
1, G
3, G
5, G
7), and hence possibly a candidate to eliminate if it contains debit operations that collide with those of its neighbors.

Hence, two steps in the iterative algorithm may thus be:

Where at some point, G11 is first included, i.e. x11 is set to 1, and then later its value is flipped, i.e. G11 is excluded by setting x11 to 0.

This algorithm is known to be very effective in quickly finding good solutions.

Another challenge with this algorithm is to make its flipevaluation efficient, since it will be based on quickly propagating the effects of including/excluding a group from the aggregation. However, this is rather straightforward, since the function is simply based on applying obligations to a set of accounts/cash records (this is what happens when an xi is flipped, i.e the group Gi is evaluated, either by removing its effect when setting xi=0, or adding its effect when setting xi=1).

For example, the flip evaluation can be described as follows.
New value A1 A2
x1 = 0 +10 −10
x1 = 1 −10 +10
. . .

where G
1 is described as follows:
Group Obligations
G1 (A1, I, −10), (A2, I, +10)

That is, whenever x1 is set to 0, 10 is added of I to A1, and 10 is subtracted from A2. On the other hand, when x1 is set to 1, 10 is subtracted from A1, and added to A2.

Thus, the representation of the group component is such that a list of affected accounts and cash records is maintained, and whenever a group is evaluated either for inclusion or exclusion, the corresponding accounts, and any violated volume constraint are quickly identified. This should make the performance of the iterative algorithm sufficient.

The Settlement System

The settlement system can further be described with the following features.

For any generic and flexible piece of functionality there is a need to define the actual behaviour in a certain scenario. This can be achieved in two ways:

 by implementing specific adaptations of the generic functionality, or
 by having a number of parameters defining the actual “flavour” of the generic functionality

For a CSD system product to be efficient, both for the system vendor and the operators of the system, the actual solution could be one of the two ways or a mix of both. This part of the description is aimed at the need for a generic functionality to define, control and run the different settlement processes, which a CSD operator may need to support.

In one known settlement system there is the concept of settlement rules. A settlement rule is an object, which defines how the matching, clearing and settlement process of the system will behave for one specific settlement instruction (SI), settlement obligation (SO) or settlement obligation group (SOG). The different settlement rules can be administered to adjust and adhere to market needs and behaviour.

In order for the system to choose the correct rule to apply at a given step in a process, the system must filter out which rule to use. For the applicable, valid, settlement rule of a specific purpose (e.g. matching or lockin of securities) the combination of the following attributes (the “fingerprint”) of the SI/SO/SOG must be unique in order to perform the filtering:

 Source (e.g. an external system or an internal system module)
 Payment Currency
 Transaction type, i.e. the purpose of the transaction based on:
 i. Message Type (e.g. DvP, FoP or PvN)
 ii. Operation Type (e.g. CSD link, maturity payment or normal trade settlement)
 Settlement Method (e.g. RTGS or BIS Model 2)
 External Instrument Class (e.g. fixed income securities or equities)

The actual rules (i.e. how the system should behave) are given by the system implementation (as specified by the CSD).

To control what dates and times the different settlement rules are valid, they are listed in the subsessions as valid settlement rules for that sub session.

For the disclosed settlement system it is suggested that a number of matching rules and optimization routines are added as well as the concept of grouping settlement instructions that are due to settle together (but not necessarily simultaneously).

The generic clearing and settlement process in the settlement system, which is not explained in details here, could be summarized as in FIG. 5.

At a number of steps in the process there is a need to make a decision on how to proceed. These “waypoints” are marked in FIG. 5 as “Initiation based on rules”. It should be possible to filter out any settlement rule at the waypoints in the process, i.e. if a SI had a fingerprint based on a certain source, transaction type and instrument class it could e.g. filter out a rule for matching based on the source only and then filter out a rule for optimization based on transaction type and instrument class. The process at the waypoints can be described in FIG. 6.

The number of possible combination of fingerprints times the number of waypoints makes the potential mix of rules complex. However the potential flexibility makes the solution very dynamic. In order to reduce the complexity some or all of the steps can be given in the system for certain types of transactions, e.g. for SIs related to corporate actions. That is, on certain conditions the system will select the appropriate rule to use in the different steps without filtering out the rules based on the fingerprint.

Examples of Transaction Flows

In order to visualize the rather complex flow at the different waypoints a number of examples are given in FIG. 7.

Realt Time Gross Settlement (RTGS)

An RTGS would consist of two settlement instructions, created based on e.g. a stock exchange trade or an OTC trade. The two SIs would be grouped in one SIG and when selected for SO/SOG creation they would be mapped to one SO each without any kind of intermediate calculation.

The lockin would be on a gross volume/amount and when time for settlement (typically as soon as possible on S), the accounts and cash records would be debited/credited simultaneously.

Optimized RTGS

The settlement of a group of RTGS transactions is valid as an example of an optimized settlement process: Out of four matched pairs of SIs, three are selected to participate in one SIG aimed for optimization. The selection criteria may be e.g. Source=Stock Exchange. When creating the SOs to lockin the system would try to optimize to settle e.g. as many transactions as possible with as little liquidity use as possible.

Let us assume that the optimization process resulted in four obligations, two to lockin securities and two to lockin cash, calculated as the netted obligations per instrument/currency and account/cash record. These four SOs volumes/amounts would be enough to cover all the six SIs included in the SIG.

When time for settlement the lockedin assets of the four SOs would be transferred (as one SOG) and the six SIs would be considered settled (gross) delivery versus payment(DvP) at the same time, as shown in FIG. 8.

Netting According to BIS Model 2

In a BIS (Bank of International Settlement) Model 2 netting scenario the securities would be settled gross and the cash would be settled net, by means of novated netted cash obligations.

Out of four matched pairs of SIs, all four are selected to participate in one SIG aimed for the netting. The selection criteria may be e.g. External Instrument Class=FIS (fixed income securities). When creating the SOs to lockin the system would net the cash obligations of each involved cash record.

Let us assume that the netting process resulted in two net cash obligation and four to lockin securities. These six SOs volumes/amounts would cover the eight SIs included in the SIG.

When time for settlement the lockedin assets of the six SOs would be transferred (as one SOG) and the eight SIs would be considered settled (net) DvP at the same time, as shown in FIG. 9.

An embodiment of a securities settlement system 1001 capable of performing the clearing and settlement methods and procedures disclosed above is shown in FIG. 10.

The securities settlement system (SSS) 1001 can communicate with a trading system 1002 in which matching of deals or trdes take place. These trades origin from orders made by users 1003, using trading stations or similar tools for sending in orders to buy/sell to the trading system 1002. Within the SSS 1001 there is an input 1004 which, apart from receiving orders from the trading system 1002, may sort, modify and store the received information in an appropriate way to facilitate further processing.

In a selector 1005 at least some of the received trades will be selected and grouped together. Selection may be made on a number of parameters, such as user (trade parties) and security type.

The selected group is forwarded to an aggregation unit 1006 for determination of an aggregated obligation required to be met in order to clear (or settle) all the trades. The possible processes for doing so have already been explained above so no further description of this is necessary at this point.

The actual accounts held by the users of the system may be positioned outside of the SSS 1001, as shown by data account memory 1007.

In FIG. 11 an alternative embodiment of a securities settlement system 1101 according to the invention is shown.

The securities settlement system 1101 comprises an input 1102 for receiving trade information. Received trade information is then sorted in a sorter 1103 in accordance with a set of sorting criteria. It may thus select all trades involving a certain user or group of users, all trades related to a specific instrument type or instrument types, all trades related to a specific market or markets or a combination of two or more of these. Other selectable criteria can also be made.

Once a selection has been made, the selected group of trades proceeds to an aggregation unit 1104 for aggregation of obligations for each user (or account). Following that all aggregated obligations are compared with each user's (account's) obligation limit to find out if all trades can be cleared at simultaneously.

Should any obligation not be met, one or more trades must be removed, which is done in the selector unit 1106 inaccordance with what has been discussed above. Removed trades are sent back to the selector 1103 and the other trades are once again sent to the aggregator unit 1104 for aggregation of obligations. Once a complete group can be cleared, it is sent to a finalizing unit 1107 for settlement.

The above embodiments are only examples of how the invention can be realized. A full rendering of the invention is embodied in the accompanying claims.