Patent ID: 7685040

Claim:
A computer-assisted investment method for use by an institutional investor, said investment method comprising the steps of: selling a call to a first broker/dealer, wherein the call is sold via one or more electronic communication devices that transmit electronic communications via an electronic data network, wherein the call is associated with a first group of securities of said investor, wherein one or more of said electronic communication devices comprise a processor and a memory; entering into, via said one or more electronic communication devices, a short swap arrangement with an equity swap counterparty, said short swap arrangement being associated with said call and said first group of securities, wherein, pursuant to the short swap arrangement, said equity swap counterparty is to receive payments comprising any depreciation in said first group of securities and a finance payment, and is responsible for payments comprising any appreciation in said first group of securities and any dividends paid on said first group of securities; entering into, via said one or more electronic communication devices, a capped swap arrangement with a second broker/dealer, wherein the capped swap arrangement is based on a second group of securities, wherein, pursuant to said capped swap arrangement, said institutional investor agrees to make payments to said second broker/dealer comprising a portion of a notional value of the second group of securities and appreciation of the second group of securities up to a predetermined cap value, and wherein the second broker/dealer agrees to make payments comprising depreciation on the said second group of securities; setting, by a computer system, the predetermined cap value of said capped swap arrangement so that a delta of an embedded long call on said second group of securities equals a delta of said call on said first group of securities, wherein the deltas of said long call on said second group of securities and said first call on second first group of securities are calculated using said computer system based on changes in prices in the first and second securities, and wherein said computer system comprises a processor and memory and is connected to an electronic computer network; and, entering into, via said one or more electronic communication devices, a long swap arrangement with said equity swap counterparty, wherein the long swap arrangement is based on said second group of securities, wherein said long swap arrangement and said short swap arrangement are co-pending between said institutional investor and said equity swap counterparty, and wherein at least one of said investor and said equity swap counterparty rebalance respective notional values of said long swap arrangement on said second group of securities and said short swap arrangement on said first group of securities.