Synthetic ultralong inflation-protected separate trading of registered interest and principal of securities system, method and computer program product
First Claim
1. A computer-implemented method for maintaining a long duration defeasement portfolio, the method comprising:
- maintaining, by at least one computer, the long duration defeasement portfolio comprising;
aligning, by the at least one computer, a net asset value of the long duration defeasement portfolio with a present value of a long duration liability comprising;
matching a synthetic duration of said long duration defeasement portfolio to a liability duration of a long duration liability, wherein said liability duration of said long duration liability is greater than a duration of a longest available bond issued by an applicable sovereign; and
changing, by the at least one computer, said long duration defeasement portfolio in a highly correlated manner when the present value of said long duration liability changes; and
tracking, by the at least one computer, effective yields generated from said long duration defeasement portfolio, wherein said effective yields are at least one of greater than zero, or greater than effective yields of a zero-coupon bond that has a maximum available maturity closest to the duration of said long duration liability.
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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/or leverage funds; monitoring market information about a bond market and/or inflation using a computer; and recalibrating the correlated investment using the computer according to the market information and/or inflation, including: recommending at least one of buying or selling portions of the correlated investment securities and/or portfolio as indicated by the market and/or inflation information. The future liabilities may be of a duration greater than the duration of the longest available bond issued by an applicable sovereign.
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Citations
17 Claims
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1. A computer-implemented method for maintaining a long duration defeasement portfolio, the method comprising:
maintaining, by at least one computer, the long duration defeasement portfolio comprising; aligning, by the at least one computer, a net asset value of the long duration defeasement portfolio with a present value of a long duration liability comprising; matching a synthetic duration of said long duration defeasement portfolio to a liability duration of a long duration liability, wherein said liability duration of said long duration liability is greater than a duration of a longest available bond issued by an applicable sovereign; and changing, by the at least one computer, said long duration defeasement portfolio in a highly correlated manner when the present value of said long duration liability changes; and tracking, by the at least one computer, effective yields generated from said long duration defeasement portfolio, wherein said effective yields are at least one of greater than zero, or greater than effective yields of a zero-coupon bond that has a maximum available maturity closest to the duration of said long duration liability. - View Dependent Claims (2, 3, 4, 5, 11, 12, 13, 14)
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6. A computer implemented method of maintaining a long duration defeasement portfolio for a long duration liability of a duration greater than a duration of a longest conventional bond, comprising:
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determining, by at least one processor, a liability duration of at least one long duration liability, wherein the liability duration is greater than a duration of the longest available bond issued by an applicable sovereign; and selecting, by the at least one processor, at least one investment to include in the long duration defeasement portfolio, the investment comprising at least one of an interest bearing security, or a derivative, said investment having a duration less than the liability duration of the long duration liability, but being purchased in a sufficient multiple so that the multiplicative product of said duration of said investment and said multiple, equals said liability duration of said long duration liability; maintaining, by at least one computer, the long duration defeasement portfolio comprising; aligning, by the at least one computer, a net asset value of the long duration defeasement portfolio with a present value of a long duration liability comprising; matching, by the at least one computer, a synthetic duration of said long duration defeasement portfolio to a liability duration of a long duration liability, wherein said liability duration of said long duration liability is greater than a duration of a longest available bond issued by an applicable sovereign; and changing, by the at least one computer, said long duration defeasement portfolio in a highly correlated manner when the present value of said long duration liability changes; and tracking, by the at least one processor, effective yields generated from the long duration defeasement portfolio, wherein said effective yields are at least one of greater than zero, or greater than effective yields of a zero-coupon bond that has a maximum available maturity closest to a maturity of the at least one long duration liability. - View Dependent Claims (7, 8, 15)
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9. A computer implemented method of maintaining a long duration defeasement portfolio comprising:
maintaining, by at least one processor, the long duration defeasement portfolio comprising; matching, by the at least one computer, a synthetic duration of the long duration defeasement portfolio to a liability duration of at least one long duration liability;
comprising;changing, by the at least one computer, the long duration defeasement portfolio, in a highly correlated manner, when a present value of said at least one long duration liability changes, aligning, by the at least one computer, a net asset value of the long duration defeasement portfolio with the present value of the long duration liability, wherein the long duration defeasement portfolio comprises at least one of bonds or derivatives having the same duration as said liability duration, wherein said liability duration is longer than the longest available separate trading of registered interest and principal of securities (STRIPs) bond, available from an applicable sovereign; and tracking, by the at least one computer, effective yields generated from the long duration defeasement portfolio, wherein said effective yields are at least one of greater than zero, or greater than effective yields of a zero-coupon bond that has a maximum available maturity closest to a maturity of the at least one long duration liability. - View Dependent Claims (16)
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10. A computer implemented method of maintaining a long duration defeasement portfolio comprising:
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defeasing, by at least one computer, at least one long duration liability using at least one fixed income instrument in a long duration defeasement portfolio whose duration matches a liability duration of the at least one long duration liability, wherein said duration of said at least one fixed income instrument in said long duration defeasement portfolio exceeds a duration of the longest duration available separate trading of registered interest and principal of securities bond, available from an applicable sovereign, wherein said defeasing comprises; aligning, by the at least one computer, a net asset value of the long duration defeasement portfolio with a present value of the at least one long duration liability;
wherein said aligning comprises;matching, by the at least one computer, a synthetic duration of said long duration defeasement portfolio to a liability duration of a long duration liability, wherein said liability duration of said long duration liability is greater than a duration of a longest available bond issued by an applicable sovereign; and changing, by the at least one computer, said long duration defeasement portfolio in a highly correlated manner when the present value of said long duration liability changes; and tracking, by the at least one computer, effective yields generated from the at least one fixed income instrument of said long duration defeasement portfolio, wherein said effective yields are at least one of greater than zero, or greater than effective yields of a zero-coupon bond that has a maximum available maturity closest to a maturity of the at least one long duration liability. - View Dependent Claims (17)
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Specification