Separate trading of registered interest and principal of securities system, method and computer program product
First Claim
1. A computer system for generating a correlated investment comprising:
- a host processor adapted to discount to present value one or more future liabilities of any duration at a discount rate of a bond that matures at the same time as said one or more future liabilities, wherein said one or more future liabilities has a duration greater than the duration of the longest available bond issued by a sovereign, and to generate a correlated investment using an original investment amount and leverage funds.
1 Assignment
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Accused Products
Abstract
A computer program product embodied on a computer readable medium may enable a computer processor to perform a method for generating a correlated investment. The method may include the steps of: discounting to present value one or more future liabilities at a discount rate of a bond that matures at the same time as the future liabilities; generating a correlated investment using an original investment amount and leverage funds; monitoring market information about a bond market using a computer; and recalibrating the correlated investment using the computer according to the market information, including: recommending at least one of buying or selling portions of the correlated investment as indicated by the market information. The future liabilities may be of a duration greater than the duration of the longest available bond issued by a sovereign.
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Citations
27 Claims
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1. A computer system for generating a correlated investment comprising:
a host processor adapted to discount to present value one or more future liabilities of any duration at a discount rate of a bond that matures at the same time as said one or more future liabilities, wherein said one or more future liabilities has a duration greater than the duration of the longest available bond issued by a sovereign, and to generate a correlated investment using an original investment amount and leverage funds. - View Dependent Claims (2, 3, 4, 21, 22, 25)
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5. A computer-implemented method for generating a correlated investment comprising:
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discounting to present value one or more future liabilities of a duration greater than the longest available bond issued by a sovereign at a discount rate of a bond that matures at the same time as said one or more future liabilities;
generating a correlated investment using an original investment amount and leverage funds;
monitoring market information about a bond market using a computer; and
recalibrating said correlated investment using said computer according to said market information comprising;
recommending at least one of buying or selling portions of said correlated investment as indicated by said market information. - View Dependent Claims (6)
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7. A computer-implemented method for generating a correlated investment comprising:
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aligning a net asset value of a correlated investment with a present value of a future liability comprising matching a duration of said correlated investment to a duration of said future liability, wherein said duration of said future liability is greater than the duration of the longest available bond issued by a sovereign; and
changing the net asset value of said correlated investment in a highly correlated manner with a change in the present value of said future liability. - View Dependent Claims (8, 9, 10, 11, 12)
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13. A computer program product embodied on a computer readable media, the product adapted to enable a computer processor to perform a method for generating a correlated investment, said method comprising:
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discounting to present value one or more future liabilities at a discount rate of a bond that matures at the same time as said one or more future liabilities, said one or more future liabilities of a duration greater than the duration of the longest available bond issued by a sovereign;
generating a correlated investment using an original investment amount and leverage funds;
monitoring market information about a bond market using a computer; and
recalibrating said correlated investment using said computer according to said market information comprising;
recommending at least one of buying or selling portions of said correlated investment as indicated by said market information. - View Dependent Claims (14, 15, 16, 17, 18)
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19. A system for generating a correlated investment comprising:
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means for discounting to present value one or more future liabilities at a discount rate of a bond that matures at the same time as said one or more future liabilities, said one or more future liabilities of a duration greater than the duration of the longest available bond issued by a sovereign;
means for generating a correlated investment using an original investment amount and leverage funds;
means for monitoring market information about a bond market using a computer; and
means for recalibrating said correlated investment using said computer according to said market information comprising;
means for recommending at least one of buying or selling portions of said correlated investment as indicated by said market information.
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20. A system adapted to generate a correlated investment comprising:
a host computer adapted to discount to present value one or more future liabilities at a discount rate of a bond that matures at the same time as said one or more future liabilities, said one or more future liabilities of a duration greater than the duration of the longest available bond issued by a sovereign, to generate a correlated investment using an original investment amount and leverage funds, to monitor market information about a bond market, to recalibrate said correlated investment according to said market information, by being adapted to at least one of buy or sell portions of said correlated investment as indicated by said market information.
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23. A computer implemented method of generating a correlated investment for a future liability of a duration greater than a duration of a longest conventional bond, comprising:
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discounting to present value via a processor a future liability having a duration greater than the duration of the longest available bond issued by a sovereign; and
purchasing an investment comprising at least one of an interest bearing security, and/or a derivative, said investment having a duration less than that of the future liability, but being purchased in a sufficient multiple so that the multiplicative product of said duration of said investment and said multiple, equals said duration of said future liability. - View Dependent Claims (24)
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26. A computer implemented method comprising:
matching a duration of a liability with a bond or a portfolio of bonds having the same duration as said duration of said liability, wherein said duration of said liability is longer than the longest available STRIPS bond.
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27. A computer implemented method comprising:
defeasing a liability using one or more fixed income instruments whose duration matches the duration of the liability, wherein a duration of said one or more fixed income instruments exceeds the duration of the longest duration available STRIPS bond.
Specification