Patent ID: 8650112

Claim:
A computer-based financial system comprising at least one processor configured to facilitating a Total Fair Value Swap transaction between a first counterparty and a second counterparty, the system further comprising: means for interfacing the first and second counterparties to the system; database means for storing and maintaining records related to the Total Fair Value Swap transaction, the records reflecting the first counterparty's obligation to make one or more fixed payments to the second counterparty and the second counterparty's obligation to make one or more floating payments to the first counterparty, wherein the one or more fixed payments are based on a reference interest rate and the one or more floating payments are based at least in part on a credit spread associated with the second counterparty; a rate monitoring processor, configured to derive the credit spread from a credit default swap market and to periodically determine the floating payment amount based at least in part on the credit spread, the rate monitoring processor being configured to determine the fixed payment amount by adjusting the reference interest rate on a periodic basis; and transaction management means, operatively coupled to the means for interfacing, the database means and the rate monitoring processor, for tracking the one or more fixed payments and the one or more floating payments.