Patent ID: 8321328

Claim:
A method for exchanging credit futures contracts comprising: receiving, by a computer, a first trade order from a first party requesting a long position on a bond recovery rate (REC) futures contract, the REC futures contract having a reference entity, a maturity date and a settlement price at the maturity date based at least in part on solvency of the reference entity and a realized bond recovery rate of the reference entity; receiving, by the computer, a second trade order from a second party requesting a short position on the REC futures contract; matching, by the computer, the first trade order with the second trade order; recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order, the second trade order, and a traded price; determining, by the computer, a daily settlement price for the REC futures contract for each day of trading of the REC futures contract; determining, by the computer, a daily settlement payment between the first party and the second party based on the daily settlement price; determining the settlement price based at least in part on the solvency of the reference entity; determining, by the computer, a final settlement payment between the first party and the second party based on the settlement price, the first party and the second party both being obligated to settle the REC futures contract at the final settlement price via a payment of the final settlement payment, the final settlement payment being paid by the first party to the second party if the reference entity is solvent at the maturity date and the final settlement payment being paid by the second party to the first party if the reference entity is insolvent at the maturity date; and recording on a computer readable storage medium, settlement of the REC futures contract at the final settlement price.