Patent ID: 8429043

Claim:
A computer system comprising: memory operable to store at least one program; and at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to: access and process data regarding a call option swap, entered into first, with one or more counter-parties and a credit default swap, entered into second, with one or more counterparties; access and process data regarding a note that is issued to a noteholder in exchange for payment of a notional value, the note having a maturity date, being associated with one or more credit events, being backed by an equity share in a first entity via the call option swap with one or more counter-parties and having a credit risk rating based on a risk rating of a bond issued by a second entity via the credit default swap with one or more counter-parties; wherein, upon occurrence of one of the one or more credit events prior to the maturity date, the bond issued by the second entity is delivered to the noteholder; calculate a payment based on a principal value of the note plus any appreciation in a value of the equity share from an issue date of the note to the maturity date of the note if none of the one or more credit events occur prior to the maturity date; and track the maturity date of the note and the one or more credit events.