Method of protecting an initial investment value of an investment

• US 7,475,033 B1
• Filed: 09/06/2007
• Issued: 01/06/2009
• Est. Priority Date: 08/29/2007
• Status: Active Grant

• Current Assignee: Barclays Execution Services Ltd. (Barclays PLC)
• Original Assignee: Barclays Bank PLC (Barclays PLC)
• Inventors: Douglas, Stephen, Koo, Samson
• Primary Examiner(s): Kazimi; Hani
• Assistant Examiner(s): Akintola; Olabode
• Application Number:
  US11/851,292
• Time in Patent Office: 488 Days
• Field of Search: None
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A method of protecting at least a portion of an initial investment value of an investment made by an investor including the steps of: providing a business entity; electing the business entity to be treated as a regulated investment company; holding positions using the business entity in a set of put-option based instruments having a first underlying reference and a set of call-option based instruments having a second underlying reference, the first underlying reference being the same as or substantially correlated to the second underlying reference, so that the sets of put-option based instruments and call-option based instruments provide the at least a portion of the initial investment value at maturity of the investment; and making available the at least a portion of the initial investment value to the investor upon the maturity of the investment.

Claims

1. A method of protecting at least a portion of an initial investment value of an investment made by one or more investors, comprising the steps of:

providing a business entity;

electing the business entity to be treated as a regulated investment company;

determining using an option-based instrument calculator;

a first value of a set of put option-based instruments at initial investment in the set of put option-based instruments, the set of put option-based instruments having a first underlying reference; and

a second value of a set of call option-based instruments at initial investment in the set of call option-based instruments, the set of call option-based instruments having a second underlying reference, the first underlying reference being the same as or substantially correlated to the second underling reference, so that the sum of the first value and the second value is less than the initial investment value;

holding positions using the business entity in the set of put option-based instruments and the set of call option-based instruments, so that the sets of put option-based instruments and call option-based instruments provide that at least a portion of the initial investment value at maturity of the investment; and

making available the at least a portion of the initial investment value to the one or more investors upon the maturity of the investment.

2. The method of claim 1, wherein the regulated investment company is of a type selected from the following list of regulated investment company types:

unit investment trust, close-ended fund and open-ended fund.

3. The method of claim 1, wherein the set of put option-based instruments and the set of call option-based instruments comprise at least one option instrument.

4. The method of claim 1, wherein the call option-based instruments are issued by the same entity as the put option-based instruments.

5. The method of claim 1, wherein the call option-based instruments are issued by an entity that is different from an entity that issues the put option-based instruments.

6. The method of claim 1, wherein the calls and puts are each of a type selected from the following list of call and put types:

register warrants, over-the-counter options, exchange traded options, forward contracts, exchange traded market-linked notes, publicly registered market-linked notes, other types of market-linked notes, exempt securities, certificates of deposit, and private placement instruments.

7. The method of claim 1, wherein the business entity holds a diverse set of stocks and securities.

8. The method of claim 7, wherein the diverse set of stocks and securities are held in the form of options or a financial instrument the value of which varies based on an index calculated based on the diverse set of stocks and securities.

9. The method of claim 1, wherein the business entity holds a long position in the set of put option-based instruments and a long position in the set of call option-based instruments.

10. The method of claim 1, wherein the business entity holds a short position in the set of put option-based instruments and a short position in the set of call option-based instruments.

11. The method of claim 1, wherein the business entity holds a long position in the set of put option-based instruments and a short position in the set of call option-based instruments.

12. The method of claim 1, wherein the business entity holds a short position in the set of put option-based instruments and a long position in the set of call option-based instruments.

13. A method of protecting at least a portion of an initial investment value of an investment made by one or more investors, comprising the steps of:

providing a business entity;

electing the business entity to be treated as a regulated investment company;

determining using an option-based instrument calculator;

a first value of a first set of option-based instruments at initial investment in the first set of option-based instruments, the first set of option-based instruments having a first underlying reference; and

a second value of a second set of option-based instruments at initial investment in the second set of option-based instruments, the second set of option-based instruments having a second underlying reference, the first underlying reference being the same as or substantially correlated to the second underlying reference, so that the sum of the first value and the second value is less than the initial investment value;

holding positions using the business entity in the first set of option-based instruments and the second set of option-based instruments, so that the first set of option-based instruments and the second set of option-based instruments provide the at least a portion of the initial investment value at maturity of the investment; and

making available the at least a portion of the initial investment value to the one or more investors upon the maturity of the investment.

14. The method of claim 13, wherein the first and second sets of option-based instruments are made up of call option-based instruments, put option-based instruments, or combinations of call option-based instruments and put option-based instruments.

15. The method of claim 13, wherein the positions are long positions, short positions, or combinations of long and short positions.

16. The method of claim 13, wherein the option-based instruments are each of a type selected from the following list of option-based instrument types:

registered warrants, over-the-counter options, exchange traded options, forward contracts, exchange traded market-linked notes, publicly registered market-linked notes, other types of market-linked notes, exempt securities, certificates of deposit, and private placement instruments.

17. The method of claim 13, wherein the at least a portion of the initial investment value is at least 50% of the initial investment value.

18. The method of claim 17, wherein the set of option-based instruments has a total notional amount of at least 50% of the at least a portion of the initial investment value.

19. The method of claim 13, wherein the regulated investment company is of a type selected from the following list of regulated investment company types:

unit investment trust, close-ended fund and open-ended fund.

20. The method of claim 13, wherein the business entity holds a diverse set of stocks and securities.