Patent ID: 7698191

Claim:
A system that pays a floating-rate interest payment for a holder of a floating-rate bond backed at least in part by mortgage assets comprising: a memory storing computer executable instructions; and a processor, connected to the memory; wherein the computer executable instructions stored in the memory when executed by the processor perform operations comprising: receiving data representing a maximum interest rate of the floating-rate bond and data representing a lower range cap interest rate; receiving, from a database storing information describing the mortgage assets, data representing a mortgage interest cash flow from the mortgage assets and data representing a mortgage interest rate associated with the mortgage interest cash flow; dividing, at the lower range cap interest rate, a spread between the mortgage interest rate and the maximum interest rate of the floating-rate bond into a lower range of the spread and an upper range of the spread; calculating a lower-range cash flow required to fund the lower range of the spread; determining an upper-range cash flow required to purchase an interest-rate derivative that produces a derivative cash flow required to fund the upper range of the spread; dividing, the mortgage interest cash flow into a first interest cash flow and a second interest cash flow, the first interest cash flow being at least equal to the lower-range range cash flow as calculated and the second interest cash flow being at least equal to the upper-range cash flow as determined; transmitting data to effect payment of the first interest cash flow up to the lower range cap interest rate of the lower range of the spread as a first portion of the floating-rate interest payment to the holder of the floating-rate bond; transmitting data to effect payment of the second interest cash flow to a provider of the interest-rate derivative in exchange for the derivative cash flow; receiving data representing the derivative cash flow from the interest-rate derivative; and transmitting data to effect payment of the derivative cash flow to cover the upper range of the spread as a second portion of the floating-rate interest payment to the holder of the floating-rate bond, wherein a sum of the first portion of the floating-rate interest payment and the second portion of the floating-rate interest payment is equal to the maximum interest rate for the floating-rate bond, when required.