| 摘要 |
<p>A unitary investment instrument (20) combining a swap and a structured note, both of which provide multiple utilization of capital. The unitary instrumen t has three structured note component. An investor invests in the issuer the principal amount (26) of the structured note component. The structured note provides its own portfolio exposures as well as serving as collateral for th e base benchmark portfolio (24) swap (alternatively, the base benchmark portfolio exposure (24) can be acquired through a separate collateral deposi t on the investor's own portfolio). The first component is a benchmark portfolio, which in one preferred embodiment is a financial or stock index such as the S & P 500 Stock Index. The second component is an incrementa l benchmark portfolio keyed to the same benchmark index and the third componen t is keyed to a passive commodity index, having long and short positions (30), which in one preferred embodiment is the Mount Lucas Management Commodity Index (25).</p> |
