| US 7,472,086 B1 | ||
| Method of protecting an initial investment value of an investment | ||
| Samson Koo, Scarsdale, N.Y. (US); and Stephen Douglas, Houston, Tex. (US) | ||
| Assigned to Barclays Bank PLC, London (United Kingdom) | ||
| Filed on Aug. 29, 2007, as Appl. No. 11/847,167. | ||
| Int. Cl. G06Q 40/00 (2006.01) | ||
| U.S. Cl. 705—36R | 20 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 regulated investment company;
selecting 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 set of put option-based instruments and the set of call option-based instruments
collectively meet a diversification requirement for the regulated investment company;
determining using an option-based instrument calculator:
a first value of the set of put option-based instruments at initial investment of the set of put option-based instruments;
and
a second value of the set of call option-based instruments at initial investment of the set of call option-based instruments,
so that the sum of the first value and the second value is less than the initial investment value;
holding positions using the regulated investment company 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 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.
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