Multi-asset participation structured note and swap combination

• US 7,848,985 B2
• Filed: 11/12/2004
• Issued: 12/07/2010
• Est. Priority Date: 03/25/1999
• Status: Expired due to Fees

• Current Assignee: Alpha Financial Technologies LLC
• Original Assignee: Alpha Financial Technologies LLC
• Inventors: Sperandeo, Victor
• Primary Examiner(s): Cheung; Mary
• Assistant Examiner(s): Holly; John H
• Application Number:
  US10/987,583
• Publication Number:
  US 20050114250A1
• Time in Patent Office: 2,216 Days
• Field of Search: 705/36, 705/35, 705/37, 705/40, 705/1, 705/39, 709/224, 463/26
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 20/102 Bill distribution or payments
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• 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

The present invention provides a unitary note investment instrument and method of use that has two performance components. An investor invests in the issuer the principal amount of the investment. The first component is a base portfolio. The second component is keyed to a passive commodity index, having long and short positions. The instrument'"'"'s commodity index exposure is established as the product of a leverage factor of at least 100% and the amount of the base portfolio exposure. The return to the investor comprises the change in value of both the base portfolio exposure and the commodity index exposure over a predetermined period of time multiplied by a payout factor.

Claims

1. A computerized investment product comprising:

a benchmark performance portfolio of assets having a benchmark portfolio exposure;

a computer that manages a leverage portfolio comprising a commodity index portfolio, of long and short positions, having a commodity index portfolio exposure equal to the benchmark portfolio exposure multiplied by a leverage factor of at least 100%;

wherein the benchmark performance portfolio and the leverage portfolio together reduce the risk while increasing the return of the investment product as compared to the benchmark performance portfolio alone.

2. The investment product as recited in claim 1, further comprising an incremental benchmark portfolio of assets having an incremental benchmark portfolio exposure.

3. The investment product as recited in claim 2, wherein the incremental benchmark portfolio exposure is less than or equal to 20% of the benchmark portfolio exposure.

4. The investment product as recited in claim 2, wherein the incremental benchmark portfolio exposure is less than or equal to 50% of the benchmark portfolio exposure.

5. The investment product as recited in claim 1, further comprising a return comprising a change in value of the benchmark performance portfolio and the commodity index portfolio over a predetermined time period.

6. The investment product as recited in claim 1, further comprising an investment principal that is invested in the commodity index portfolio and serves as collateral for the benchmark performance portfolio.

7. The investment product as recited in claim 6, wherein the investment principal invested is returned to an investor by an issuer at the end of a predetermined time period.

8. The investment product as recited in claim 6, wherein the investment principal comprises stocks, bonds, T-bills, cash, currencies, mortgages, any other security, or a combination thereof.

9. The investment product as recited in claim 1, wherein the commodity index portfolio exposure is releveraged to an amount which is a function of the commodity index portfolio exposure and a second leverage factor.

10. The investment product as recited in claim 1, wherein the benchmark portfolio is keyed to an equity index.

11. The investment product as recited in claim 10, wherein the equity index comprises the S&

P 500 Stock Index.

12. The investment product as recited in claim 1, wherein the commodity index portfolio is keyed to the S&

P Diversified Trends Indicator.

13. The investment product as recited in claim 1, wherein the leverage factor is a function of the performance of the commodity index portfolio over a selected period of time.

14. The investment product as recited in claim 13, wherein the leverage factor is a first predetermined number if the commodity index portfolio has had a specified return over the selected period of time and is a second predetermined number if the commodity index portfolio has not had the specified return over the selected period of time.

15. The investment product as recited in claim 14, wherein the first predetermined number is at least 100% and the second predetermined number is greater than the first predetermined number.

16. The investment product as recited in claim 1, wherein the leverage factor is at least 50%.

17. The investment product as recited in claim 1, wherein the leverage factor is less than or equal to 300%.

18. A computer adapted to manage an investment product comprising:

a computer;

data stored on the computer that corresponds to the investment product;

the investment product comprising (a) a benchmark performance portfolio having a benchmark portfolio exposure, and (b) a leverage portfolio comprising a commodity index portfolio, of long and short positions, having a commodity index portfolio exposure equal to the benchmark portfolio exposure multiplied by a leverage factor of at least 100%;

wherein the benchmark performance portfolio and the leverage portfolio together reduce the risk while increasing the return of the investment as compared to the benchmark performance portfolio alone; and

wherein the computer creates, structures, issues, monitors and reports information about the investment product.

19. A computerized investment product comprising:

a benchmark performance portfolio of assets having a benchmark portfolio exposure;

an incremental benchmark portfolio of assets having an incremental benchmark portfolio exposure less than or equal to 50% of the benchmark portfolio exposure;

a computer that manages a leverage portfolio comprising a commodity index portfolio, of long and short positions, having a commodity index portfolio exposure equal to the benchmark portfolio exposure multiplied by a leverage factor of at least 100%;

wherein the benchmark performance portfolio and the leverage portfolio together reduce the risk while increasing the return of the investment as compared to the benchmark performance portfolio alone;

an investment principal that is invested in the commodity index portfolio, serves as collateral for the benchmark performance portfolio and is returned to an investor by an issuer at the end of a predetermined time period;

a return comprising a change in value of the benchmark performance portfolio and the commodity index portfolio over the predetermined time period.

20. The investment product as recited in claim 19, wherein the investment principal comprises stocks, bonds, T-bills, cash, currencies, mortgages, any other security, or a combination thereof.

21. The investment product as recited in claim 19, wherein the commodity index portfolio exposure is releveraged to an amount which is a function of the commodity index portfolio exposure and a second leverage factor.

22. The investment product as recited in claim 19, wherein the benchmark portfolio is keyed to an equity index.

23. The investment product as recited in claim 22, wherein the equity index comprises the S&

P 500 Stock Index.

24. The investment product as recited in claim 19, wherein the commodity index portfolio is keyed to the S&

P Diversified Trends Indicator.

25. The investment product as recited in claim 19, wherein the leverage factor is a function of the performance of the commodity index portfolio over a selected period of time.

26. The investment product as recited in claim 25, wherein the leverage factor is a first predetermined number if the commodity index portfolio has had a specified return over the selected period of time and is a second predetermined number if the commodity index portfolio has not had the specified return over the selected period of time.

27. The investment product as recited in claim 26, wherein the first predetermined number is at least 100% and the second predetermined number is greater than the first predetermined number.

28. The investment product as recited in claim 19, wherein the leverage factor is at least 50%.

29. The investment product as recited in claim 19, wherein the leverage factor is less than or equal to 300%.

30. A computer adapted to manage an investment product comprising:

a computer;

data stored on the computer that corresponds to the investment product;

the investment product comprising (a) a benchmark performance portfolio of assets having a benchmark portfolio exposure, (b) an incremental benchmark portfolio having an incremental benchmark portfolio exposure less than or equal to 50% of the benchmark portfolio exposure, (c) a leverage portfolio comprising a commodity index portfolio, of long and short positions, having a commodity index portfolio exposure equal to the benchmark portfolio exposure multiplied by a leverage factor of at least 100%, (d) an investment principal that is invested in the commodity index portfolio, serves as collateral for the benchmark performance portfolio and is returned to an investor by an issuer at the end of a predetermined time period, and (e) a return comprising a change in value of the benchmark performance portfolio and the commodity index portfolio over the predetermined time period;

wherein the benchmark performance portfolio and the leverage portfolio together reduce the risk while increasing the return of the investment product as compared to the benchmark performance portfolio alone; and

wherein the computer creates, structures, issues, monitors and reports information about the investment product.