Unitary investment having interrelated assets
1 Assignment
0 Petitions
Accused Products
Abstract
A unitary investment instrument that may be either a swap or a note instrument, both of which provide multiple utilization of capital. The unitary instrument has two performance components. An investor must either deposit collateral with the issuer (in the case of the swap instrument) or invest in the issuer the principal amount of the investment (in the case of the note instrument). The first component is a base portfolio, which is preferably the S&P 500 Stock Index. The second component is keyed to a passive commodity index, having long and short positions, which is preferably the Mount Lucas Management Commodity Index. The instruments'"'"' commodity index exposure is established as the product of a leverage factor and the amount of the base portfolio exposure; thereafter this exposure may be the product of (1) a leverage factor and/or (2) the change in value of the investment or either component thereof The return to the investor comprises the change in value of both the base portfolio exposure and the passive commodity index exposure over a predetermined period of time. When configured as a note, the investment instrument includes a guarantee of the return of the investment principal, but includes a payout factor, less than one, reducing the amount of the change in the base portfolio and commodity index portfolio exposure reflected in the value of the note and reflecting the opportunity costs of the guaranteed payback.
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Citations
67 Claims
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1-44. -44. (canceled)
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45. An investment comprising:
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a predetermined time period for holding the investment;
a base portfolio having a base portfolio exposure;
a passive commodity index portfolio, of long and short positions, in an amount substantially equal to the product of the base portfolio exposure multiplied by a leverage factor of at least 100%, wherein the product defines a passive commodity index portfolio exposure that reduces the risk while increasing the return of the investment; and
a return comprising substantially the change in value of the base portfolio exposure and the passive commodity index portfolio exposure over the predetermined time period. - View Dependent Claims (46, 47, 48, 49, 50, 51, 52, 53, 54, 55, 56, 57, 58, 59, 60, 61, 62, 63, 64, 65, 66, 67)
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Specification