Patent ID: 7783560

Claim:
A method for determining a fixed price of deliverable obligations following a credit event comprising: providing one or more terminals in communication with a credit event authority, wherein said credit event authority comprises at least one server and a processor; accepting at least one inside market submission and at least one market order at one or more of said terminals for transmission to the credit event authority, wherein said inside market submissions each comprises at least one inside market bid or inside market offer, and wherein said market orders each comprises at least one market order or market bid; said credit authority: matching one or more inside market bids and inside market offers to form matched markets; identifying which of the matched markets are tradable, wherein a tradable matched market comprises an inside market bid that is greater than or equal to an inside market offer; determining an inside market midpoint based on a subset of the matched markets; automatically trading said tradable matched markets; matching all market orders with one another to determine an open interest; converting all inside market bids and inside market offers that do not form tradable matched markets into unmatched limit orders; matching the open interest against the unmatched limit orders to form a matched limit order; determining after the matching the open interest step whether any portion of the open interest remains unmatched; and setting a fixed price for the matched limit order based on the amount of unmatched open interest remaining, wherein if the remaining open interest is greater than or less than zero, said fixed price is set to the price associated with the matched limit order that is the highest offer or the lowest bid, and wherein if the remaining open interest is equal to zero, and fixed price is set to the inside market midpoint.