Patent ID: 8001022

Claim:
A data processing system for managing futures contracts that are based on a basket of credit default swaps as underlyings, the system comprising: a physical data storage medium configured for storing credit spread values for each credit default swap in one of a plurality of baskets for a plurality of individual valuation time instances for said futures contract; and a calculation processor connected to said data storage medium that calculates a value of a futures contract for an individual valuation time instance based on said credit spread values, wherein said calculation processor determines whether a separation event has occurred, wherein the separation event involves a single credit default swap, the separation event based on a failure event of a single obligor of a first basket wherein at least one obligor remains that has not failed, wherein said calculation processor calculates, in case of no separation event, a value of the futures contract that is based on said first basket based on said credit spread values, and wherein said calculation processor generates, in case of said separation event, a second basket of credit default swaps comprising all credit default swaps of said first basket except for said single credit default swap that suffered the separation event, and calculates a value of a futures contract that is based on said second basket based on said credit spread values associated with said at least one obligor that has not failed.