« PreviousContinue »
Symbol Name Price Shares Cap ($M) Cap Modified Modified Modified Options? 3 Month
5[31)08 Out Weight Shares Cap (SM) Index Stk, ADV
(M) Out (M) Weight
BEN FRANKLIN $ 89.95 259.97 $ 23,384 21.6 % 74.88 6,735.55 9.4 % Listed 1,152,484
RESOURCES INC. ,
PFG PRINCIPAL $ 54.65 276.88 $ 15,137 14.0 % 151.48 8,278.38 11.6 % Listed 751,741
LM LEGG MASON INC $ 95.93 126.54 $ 12,139 11.2 % 59.85 5,740.93 8.0 % Listed 1,424,430
AMP AMERIPRISE $ 45.77 244.39 $ 11,185 10.3 % 165.51 7,576,21 10.6 % Listed 1,039,910
TROW T ROWE PRICE $ 79.10 132.79 $ 10,503 9.7 % 97.66 7,724.67 10.8 % Listed 621,348
GROUP INC _
AVZ AMVESCAP PLC- $19.55 404.73 $ 7,912 7.3 % 373.67 7,305.25 10.2 % Eligible 382,854
AB ALLIANCEBERSTEIN $ 65.28 84.13 $ 5,492 5.1 % 84.13 5,492.01 7.7 % Listed 209,385
INS IANUS CAPITAL $ 18.01 211.64 $ 3,812 3.5 % 211.64 3,811.56 5.3 % Listed 1,877,043
INC NUVEEN $44.91 79.21 $ 3,557 3.3 % 79.21 3,557.23 5.0 % Listed 567,119
FII FEDERATED $ 32.12 106.84 $ 3,432 3.2 % 106.84 3,431.64 4.8 % Listed 708,583
EV EATON VANCE $ 28.52 128.94 $3,420 3.2 % 128.94 3,419.52 4.8 % Listed 646,722
AMG AFFILIATED $ 90.20 33.74 $3,043 2.8 % 33.74 3,043.08 4.3 % Listed 667,062
BLK BLACKROCK INC- $ 134.00 20.02 $ 2,683 2.5 % 20.02 2,683.22 3.8 % Listed 279,377
WDR WADDELL & REED $ 22.20 84.75 $1,888 1.7 % 84.75 1,888.12 2.6 % Listed 544,308
CLMS CALAMOS ASSET $ 31.79 23.16 $ 736 0.7 % 23.16 736.32 1.0 & Eligible 220,860
TOTAL $108,323 $71,423
910 S mus IIOZ ‘9I finv 11191126 ‘Sn
20Q/ Obtain first trade information 21 U Aggregate first trade information
Iil\’CSTi116llI‘ l.\/T1-111age111011t' Colilpaliy Index l\/loclule \ ‘O2 300 Memory Pl‘(>Ct‘.'SS01‘ ---- 3 I 2 ’ /1 314 322 310 -\ Comlnuliications I11te1Tace Market. I’111'11'cipa11t' at V Disse111i11atIo11 Module I I\/I.o111.o1'y P1'occss<_1r ~~- 318 __ _ , ' (,.o11111.1unlcatlolis l\Iet'wo1'I\' 320 316 -ax Colimiullicatiolis Tllterface 308 'T‘1'acIi11g Module Memor_v P1'o<;ess0'1' 328 330 7 ('.‘.oi111111micatio11s 3"'6 A“ T1110-1'face Figure 4
1 METHOD AND SYSTEM FOR CREATING AND TRADING DERIVATIVE INVESTMENT INSTRUMENTS BASED ON AN INDEX OF INVESTMENT MANAGEMENT COMPANIES
The present application is a continuation of U.S. patent application Ser. No. 11/513,893, filedAug. 31, 2006 noW U.S. Pat. No. 7,664,692, the entirety of Which is hereby incorporated by reference.
The present disclosure relates generally to financial trading systems and more particularly to the creation, identification, processing, trading, quotation, and valuation of investment management company index-linked derivative investment instruments.
An index is a statistical composite that is used to indicate the performance of a market or a market sector over various time periods. Examples of indices that are used to gauge the performance of stocks and other securities in the United States include the DoW .Tones® Industrial Average, the National Association of Securities Dealers Automated Quotations (NASDAQ®) Composite Index, the NeW York Stock Exchange® Composite Index, etc. In general, the DoW .Tones® Industrial Average contains thirty (30) stocks that trade on the NeW York Stock Exchange® and is a general indicator of hoW shares of the largest United States companies are trading. The NASDAQ® Composite Index is a composite index of more than three thousand (3,000) companies listed on the NASDAQ® (also referred to as over-the-counter or OTC stocks). It is designed to indicate the stock performance of small-cap and technology stocks. Finally, the NeW York Stock Exchange® Composite Index is a composite index of shares listed on the NeW York Stock Exchange®.
In equal-dollar Weighted indices, the Weights of each component are reset to equal values at regular intervals, such as for example, every quarter. BetWeen re-adjustments, the Weights of the various index components Will deviate from the equaldollar Weighting values as the values of the components fluctuate. Periodically, indices must be adjusted in order to reflect changes in the stock value of component companies comprising the index, or to maintain the original intent of the index in vieW of changing conditions in the market. For example, if a component stock’s Weight drops beloW an arbitrary threshold, or if a component company significantly alters its line of business or is taken over by another company so that it no longer represents the type of company Which the index is intended to track, the index may no longer be influenced by, or reflect the aspects of the market for Which it Was originally designed. In such cases it may be necessary to replace a component stock With a suitable replacement stock. If a suitable replacement that preserves the basic character of the index cannot be found, the stock may simply be dropped Without adding a replacement. Conversely, activity in the market for Which an index is created may dictate that a neW stock (Which Was not originally included in the index) having a strong impact in the market be added to the index to adequately reflect the market Without eliminating other components. In each case, the divisor may be adjusted so that the index remains at the same level immediately after the neW stock is added or the old stock is eliminated.
Derivatives are financial securities Whose values are derived in part from a value or characteristic of some other underlying asset or variable (the underlying asset). The underlying asset may include securities such as stocks, market indicators and indices, interest rate, and corporate debt, such as bonds, to name but a feW. TWo common forms of derivatives are options contracts and futures contracts, discussed herein beloW.
An option is a contract giving the holder of the option the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a certain date. Generally, a party Who purchases an option is said to have taken a long position With respect to the option. The party Who sells the option is said to have taken a short position. There are generally tWo types of options: calls and puts. An investor Who has taken a long position in a call option has bought the right to purchase the underlying asset at a specific price, knoWn as the “strike price.” If the long investor chooses to exercise the call option, the long investor pays the strike price to the short investor, and the short investor is obligated to deliver the underlying asset.
Alternatively, an investor Who has taken a long position in a put option receives the right, but not the obligation to sell the underlying asset at a specified price, again referred to as the strike price on or before a specified date. If the long investor chooses to exercise the put option, the short investor is obligated to purchase the underlying asset from the long investor at the agreed upon strike price. The long investor must then deliver the underlying asset to the short investor. Thus, the traditional settlement process for option contracts involves the transfer of funds from the purchaser of the underlying asset to the seller, and the transfer of the underlying asset from the seller of the underlying asset to the purchaser. Cash settlement, hoWever, is more common. Cash settlement alloWs options contracts to be settled Without actually transferring the underlying asset.
A call option is “in-the-money” When the price or value of the underlying asset rises above the strike price of the option. A put option is “in-the-money” When the price or value of the underlying asset falls beloW the strike price of the option. An at-the-money option Wherein the price or value of the underlying asset is equal to the strike price of the option. A call option is out-of-the-money When the price or value of the underlying asset is beloW the strike price. A put option is out-of-the-money When the price or value of the underlying asset is above the strike price. If an option expires at-themoney or out-of-the-money, it has no value. The short investor retains the amount paid by the long investor (the option price) and pays nothing to the long investor. Cash settlement of an in-the-money option, be it a call or a put, hoWever, requires the short investor to pay to the long investor the difference betWeen the strike price and the current market value of the underlying asset.
Cash settlement alloWs options to be based on more abstract underlying “assets” such as market indicators, stock indices, interest rates, futures contracts and other derivatives. For example, an investor may take a long position in a market index call option. In this case, the long investor receives the right to “purchase” not the index itself, but rather a cash amount equal to the value of the index (typically multiplied by a multiplier) at a specified strike value. An index call option is in-the-money When the value of the index rises above the strike value. When the holder of an in-the-money index call option exercises the option, the short investor on the opposite side of the contract is obligated to pay the long investor the difference betWeen the current value of the index and the strike price, usually multiplied by the multiplier. If the