JP2004520645A - Computer system and method for managing financial transactions - Google Patents

Abstract

The present invention relates to a computer system 100 and a method for managing financial transactions between an issuer of a right and an investor who has purchased the right, the rights being exchanged for one or more foreign exchange trading items in the portfolio of the issuer. You. The computer system includes an index database 170 that stores data for a particular time-varying benchmark index, an item database 180 that stores data for exchange traded items to be exchanged, and at least a current benchmark index level and one or more exchange traded items. A computing device 160 that calculates the exchange rate between the one or more exchange traded items and rights passed to the investor based on the current price, and upon an exchange request of either the issuer or the investor, or A transaction device 150 for delivering one or more exchange traded items to the investor upon expiration of the right according to the exchange rate.
[Selection diagram] Fig. 1

Description

[0001]
TECHNICAL FIELD OF THE INVENTION
The present invention automatically automates a financial transaction between an issuer of rights that can be exchanged for one or more exchangeable items, such as stocks, stock options, etc., contained in the issuer's portfolio and the investor who purchased those rights. Computer system and method for centrally managing.
[0002]
[Prior art]
The complexity and variety of many financial transactions has created a need for the computerization of financial transactions and the resulting use of computer systems. As a result, computer systems are widely used in the financial field to perform multiple tasks related to financial transactions quickly, confidentially. For example, several computer systems and computerized methods are known that help a corporation unwind a portfolio of one or more currency trading items, and the like. In the following, a computer system that sells stock contained in a portfolio of corporate currency trading items will be described by way of example as a computer system configured to manage financial transactions. In general, computer systems have become increasingly sophisticated, and the underlying financial transactions have become more complex.
[0003]
The simplest example of unwinding a stock portfolio is to sell the stock directly to the market. For this purpose, a computerized trading system having a relatively simple configuration can be used. As a result, selling stock directly to the market through this computerized trading system is, in most cases, rather straightforward, as long as the technology side is involved. However, this leaves sellers immune to capital gains taxes.
[0004]
As a second example of a computer system that helps a corporation unwind a portfolio, it is necessary to mention a computer system that manages transactions related to exchangeable bonds. An exchangeable bond is the debt of the issuing corporation, granting the purchased investor the right, rather than the debt, to convert the bond into a fixed number of stocks in the corporation's portfolio by the maturity date of the bond. Because exchangeable bonds are so complex, computer systems that manage transactions such as issuing exchangeable bonds are more complex than computerized trading systems that sell stock directly to the market.
[0005]
As pointed out above, computerized management of transactions on exchangeable bonds provides investors with the option to exchange bonds to redeem cash. Investors use this option if they choose to convert the bond into stock if the underlying stock of the exchangeable bond has not risen sufficiently. In other words, convertible bonds do not reliably convert to stock, which means that credit-grade agents count the issuance of convertible bonds towards their issuing corporate valuation debt. However, by counting the issuance to debt, the credit grade of the issuing corporation is further degraded.
[0006]
A third example of unwinding a corporate stock portfolio with a computerized financial transaction system is the issuance of mandatory exchangeable bonds. The issuance of mandatory exchangeable bonds is guaranteed to convert to stock in the company's portfolio within a predetermined period. Thus, a mandatory exchangeable bond, unlike a traditional exchangeable bond, guarantees a conversion to stock. However, mandatory exchangeable bonds have the disadvantage that investors require very high interest rates during the life of the mandatory exchangeable bond. This is because investors are being forced to receive that stock in the future. Also, the highly sophisticated and complex nature of force-replaceable bonds requires the use of fairly complex computer systems for these bonds.
[0007]
[Problems to be solved by the invention]
As is apparent from the above, computers currently used to manage financial transactions between the issuer of a right, such as an exchangeable or mandatory exchangeable bond, and the investor who purchased the right. The system has several disadvantages. First, the nature of the rights is detrimental to the issuing corporation as reflected in the configuration and programming of the computer system. Accordingly, it would be desirable to provide a computer system that is programmed and configured to avoid the above-mentioned disadvantages of rights that can be exchanged for one or more currency trading items. In addition, interfaces, input / output components, and similar for communicating with the environment so that financial transactions between the issuer of the right and the investor who purchased the right can be managed quickly and efficiently. There is a need for a properly configured computer system that takes into account the above.
[0008]
There is also a need for a method of operating such a computer system that is at least substantially computerized and allows for the management of financial transactions between the issuer of the right and the investor who purchased the right without the disadvantages mentioned above. It has been. Finally, there is a need for a computer program that performs such a method.
[0009]
[Means for Solving the Problems]
The present invention provides a computer system that allows for the management of financial transactions between an issuer of a right that is exchanged for one or more currency trading items of the issuer's portfolio and an investor who has purchased that right. It overcomes the shortcomings of the prior art and satisfies existing needs for computer systems. The computer system that manages the financial transaction includes an index database that stores data for a particular time-varying benchmark index, an item database that stores data for one or more exchange traded items to be exchanged, at least a current benchmark index level and Communicating with an index database and an item database configured to automatically calculate an exchange rate between the one or more currency items and the rights based on a current price of the one or more currency items in the portfolio. And preferably communicates with the computing device to exchange one or more exchange traded items upon the exchange request of either the issuer or the investor, or upon the expiration of the right, according to the calculated exchange rate. Automatically delivered to investors (Deliver) and a transaction apparatus.
[0010]
The present invention also provides a method for automatically managing a financial transaction between an issuer of a right to be exchanged for one or more currency trading items of the issuer's portfolio and an investor who has purchased this right. The method comprises defining a particular time-varying benchmark index, storing data for the benchmark index, defining a portfolio of foreign exchange trading items, storing data for one or more foreign exchange trading items to be exchanged, Calculates the exchange rate between one or more foreign currency trading items and rights based on the level of the benchmark index of the portfolio and the current price of one or more foreign currency trading items in the portfolio, and exchanges either the issuer or the investor At the time of request or at the expiration of the right, one or more currency trading Preferably comprises automatically transfer to step's.
[0011]
The issuer's portfolio may be a portfolio according to the ordinary meaning of the term, or may be a portfolio that includes currency trading items that have not yet been disposed of by the issuer of that right. In other words, the issuer's portfolio may include existing exchange transaction items, or exchange transaction items that have not yet been established or exchange transaction items that the issuer may freely dispose of. Regardless of the nature of the currency trading items contained in the issuer's portfolio, the computerized trading equipment will automatically place these currency trading products in the investor's portfolio upon an exchange request or upon expiration of the right. To book.
[0012]
An issuer's portfolio may include a single or several different currency trading items. Further, the portfolio may include exchange transaction items that have not been issued at the time when the right is issued, that is, exchange transaction items that will be issued in the future. Further, the portfolio may include currency trading items issued or issued by the issuer of the right. As an example, the issuer's own stock that has been issued or has already been issued can be included in the portfolio. The issuer's portfolio may include, for example, options relating to the issuer's own stock issued in accordance with the capital increase. In such a case, the currency trading item is included in the issuer's portfolio in the form of an option, and the investor receives a fixed amount of stock at the time of the exchange request or at the expiration of the right. In the case of a conditional capital increase, the total amount of stock delivered to the investor may be limited under certain circumstances. Despite the potential for such restrictions, the investor will still receive a certain amount of stock at the time of the exchange request or upon expiration of the right.
[0013]
According to the present invention, the financial transaction between the issuer of the right and the investor who purchased the right takes place quickly and efficiently. In addition, the requirements on the programming and configuration of the computer system can be kept relatively low, guaranteeing not only technical advantages but also financial benefits for both issuers and investors.
[0014]
The present invention provides for the right to be forcibly exchanged for one or more exchange traded items, such as stocks, stock options, etc. at the time of the exchange request of the issuer (compulsory early exchange) or the investor (voluntary early exchange) or at the expiration of the right. Guarantee. The number of currency trading items delivered and the total value of the one or more currency trading items delivered is not yet known when the right was issued. This is because the number of currency trading items delivered to an investor is linked to both the performance of the time-varying benchmark index and the evolution of the price of one or more currency trading items delivered to the investor. Preferably, the total value of the currency trading item delivered to the investor is not linked to the evolution of the price of one or more currency trading items passed to the investor, but only to the performance of the benchmark index. As an example, the total value of currency trading items delivered to an investor may be directly linked to the evolution of the level of the benchmark index so that the investor benefits from increasing index levels. On the other hand, the number of currency trading items delivered to the investor may be defined such that the issuer benefits when the price of one or more currency trading items rises above the index level. Therefore, if the index level rises and the exchange traded item delivered to the investor rises above that index level, the issue of investors and rights will become apparent as the examples described in more detail below. Both benefit when they exercise their rights.
[0015]
The specific benchmark index on which the exchange rates between one or more foreign currency trading items and rights in the issuer's portfolio are calculated is specified before the rights are issued and is known to both the issuer and the investor. Preferably. The benchmark index may be an index that reflects the development of basket trading of currency trading items, such as a stock index or other market index. The benchmark index may be non-tradable (like the MSCI World Index) or may be tradable. The benchmark index is preferably an index independent of the issuer of the right. After a particular benchmark index has been defined, corresponding data regarding the type of benchmark index underlying the transaction between the issuer and the investor may be stored in the index database.
[0016]
The benchmark index is preferably identified prior to the issuance of the right, but not necessarily for one or more foreign currency trading items delivered to the investor. The one or more currency trading items that are ultimately delivered to the investor are preferably identified by the issuer of the rights only after the rights have been issued. Nevertheless, prior to the issuance of the rights, the issuer may specify a portfolio of one or more currency trading items.
[0017]
If a portfolio of exchange products is specified, it is up to the issuer to determine which exchange products in the portfolio will ultimately be delivered to the investor in exchange for rights. In other words, after the rights have been issued, a selection is made from one or more currency trading items included in the portfolio, and only the selected currency trading item is delivered to the investor. Data regarding the portfolio of one or more currency trading items may be stored in an item database.
[0018]
As pointed out above, the exchange rate between one or more foreign currency trading items and rights delivered to the investor is at least the current level of the benchmark index and one or more foreign currency trading items delivered. Calculated based on current price. Accordingly, the computer system preferably further includes an interface in communication with one or more associated markets to obtain the information needed to calculate exchange rates. As an example, a computer system may include an index interface for receiving a current benchmark index level and a price interface for receiving a current price of one or more currency trading items passed to an investor. These two interfaces of the computer system may be in communication with one and the same information source or different information sources.
[0019]
The exchange rate, i.e., the value of the exchange traded item delivered to the investor when the right is exercised, is such that the investor will benefit from the increase in the index level, and the price of the exchange traded item delivered to the investor Is preferably defined to benefit from a rise in As an example, the exchange rate may take into account the rate between the index level and the price of the exchange traded item at some point after issuance of the right. Further, the exchange rate may take into account a discount factor for the investor. The computing device preferably calculates the exchange rate r as a function of I / (x · S), where I is the current benchmark index level, x is the discount factor, and S is the exchange rate to be delivered. The current price of the item. I, x and s may themselves be functions of another variable.
[0020]
The discount factor x is selected such that x is equal to 1 for any early exchange and x <1 for forced exchange or expiration, for example, 0.90 <x <0.98. May be done. If x <1, the investor receives a higher value of the currency trading item when exercising its right, and the investor's overall profit is higher compared to x = 1. As a result, the investor has the option of a voluntary early exchange (x = 1), but the investor's interests are compared to the profits the investor will receive at the maturity of its rights (x <1). Stimulus is relatively low, as is reduced. If a variable discount factor x is introduced, the computer system needs to be configured to be able to distinguish between mandatory early exchanges and voluntary early exchanges and the expiration of their rights.
[0021]
If the exchange rate is calculated based on a single value of the current benchmark index level and a single value of the current price of the currency trading item, the exchange rate is very susceptible to day-to-day changes and currency fluctuations It will be. This, of course, increases the risks associated with rights to both issuers and investors. In order to compensate for daily exchange rate fluctuations, a preferred embodiment of the present invention provides a predetermined such that one or more exchange traded items can be delivered to the investor according to the averaged exchange rate. Includes an averaging device that averages exchange rates over time. As an example, exchange rates may be averaged over a number of business days. The averaging device may be in communication with a first timing device that controls the averaging device. The averaging may be controlled such that it starts after a predetermined period of time from the investor or issuer's exchange request, or a predetermined period before the expiration date of the right.
[0022]
To enable both investors and issuers to make exchange requests in which rights are exercised before their maturity date, the computer system further requires that at least one of the investor and issuer enter the exchange request. And / or an interface in communication with the input terminal. The input may be made, for example, via the Internet or a dedicated communication line. Since the value of the discount factor may change in response to the input of the exchange request by the investor and the issuer, the computer system further analyzes the exchange request and provides a means for setting the discount factor according to the analysis result. Contains.
[0023]
If one or more currency trading items delivered to the investor are not necessarily identified prior to the issuance of the rights, but are identified, for example, in the form of a portfolio of several different currency trading items, the computer system may Further, it preferably includes a selection device for automatically selecting one or more underlying exchange transaction items for which the exchange rate is calculated, which is included in the portfolio delivered to the investor. This choice may be made in a close and timely relationship with the exercise of the right, for example, several days after receiving the investor's exchange request, or several days before the expiration of the right or the issuer's exchange request. Is In other words, the issuer can reserve the right to select one or more foreign exchange trading items that he intends to deliver to the investor just before the exercise of the right. If the selection device was configured to select the maximum number of currency trading items since the issuance of the rights, the issuer's profit would be maximal.
[0024]
If the issuer is entitled, for example, to exchange a note for one of several different currency trading items in the issuer's portfolio, the computer system effectively activates the currency trading item selected by the selection device, ie, the investment. And an output device for notifying him of the exchange transaction items to be delivered to the party.
[0025]
Delivery of one or more foreign exchange trading items to the investor occurs after the computer system receives the exchange request, or after the computer system notifies the investor, or after a predetermined period of time after the expiration of the right. Is preferred. To this end, the computer system includes a second timing device in communication with the transaction device, wherein the second timing device automatically provides the investor with one or more foreign exchange trading items after a predetermined period. Control the transaction device to be delivered.
[0026]
It is clear from the above that investors can benefit from both increased benchmark index levels and discount factors x <1. To make the rights more attractive, the computer system may further be configured such that the investor receives the coupon on one or more predetermined coupon dates prior to the expiration date of the right. The one or more coupon dates are defined and may be stored in a coupon database of the computer system. As an example, the investor may receive coupons annually in the form of a fixed percentage of the issue price of the right, or in the form of a fixed percentage of the current index level.
[0027]
The computer system further includes a monitoring device that monitors coupon dates and passes the coupon to the investor on the date of each coupon. Delivering the coupon to the investor, in addition to the possible discount factor, ensures that the rights outperform the benchmark index in performance, despite the exchange rate of the rights being linked to the performance of the benchmark index You. The right is therefore particularly attractive to investors benchmarking performance against a particular benchmark index. In addition, even if the issuer issues additional coupons to the investor, the coupon paid for that right by the issuer is still the coupon to be paid for a traditional exchangeable bond or a mandatory exchangeable bond. More significantly less. This is because investors have the potential to further benefit from increasing benchmark index levels due to the link between the exchange rate of rights and the performance of the benchmark index.
[0028]
BEST MODE FOR CARRYING OUT THE INVENTION
Other features and advantages of the present invention will be apparent from the following detailed description of preferred embodiments of the invention and the accompanying drawings.
FIG. 1 shows a block diagram of a computer system 100 according to the present invention for managing financial transactions between a rights issuer in the form of a note and an investor who has purchased the note. Computer system 100 may be a server component of a computer network, including additional client components not shown in FIG. Computer system 100 may include, for example, a graphic input / output means, such as a suitable screen mask, such as an Excel sheet, which receives input to automatically calculate an exchange rate, the calculated input / output means. It is configured to output an exchange rate.
[0029]
The invention will now be described by way of example in the context of notes that can be exchanged for stock. Of course, the invention can also be applied where the note is exchangeable for another currency trading item, such as a bond, which is a financial instrument. Further, in the following, it is assumed that the exchange traded item delivered to the investor is already part of the issuer's portfolio at the time the note is issued, but the present invention provides It also applies if the issuer has not yet disposed of the one or more foreign exchange traded items at the time the note was issued. This is the case, for example, when a currency transaction item is included in the issuer's portfolio in the form of a stock option.
[0030]
The computer system 100 exemplarily shown in FIG. 1 includes an index interface 110 for receiving a current stock index level, a price interface 120 for receiving a current price of one or more stocks to be delivered to an investor, an issuer. An input device 130 that allows the investor to enter an exchange request, an output device 140 that informs him of the type of stock to be passed to the investor, and one or several different stocks to the issuer With the environment by means of a transaction device 150 that transfers from the portfolio to the investor's portfolio. Input device 130 may include an interface for communicating with client components not shown in FIG. The trading device 150 may be, for example, a normal trading agent (eg, a client component) distinguished from e-banking, where the trading agent acquires stocks ordered online and books these stocks in the investor's portfolio. ). Such a transfer agent may be part of the computer system 100 and is appropriately controlled to electronically book the amount of stock corresponding to the calculated exchange rate in the investor's (electronic) portfolio. Is also good.
[0031]
Via the index interface 110 and the price interface 120, the computer system 100 provides information about the current stock index level and the current price of one or more stocks to be passed to the investor for a currency exchange item such as a stock exchange. Received from the market 300. In the embodiment shown in FIG. 1, both the index interface 110 and the price interface 120 communicate with one and the same market 300 via dedicated communication lines.
[0032]
According to another embodiment not shown in FIG. 1, the index interface 110 communicates with a first market for currency trading items that defines a benchmark index, and the price interface 120 communicates with a stock trader delivered to an investor. Communicate with a second market for currency trading items that sets the price of the item. For example, if the index is the Dow Jones Industrial Average Index and the currency trading item delivered to the investor is stock traded on the Frankfurt Stock Exchange, the first market described above is the New York Stock Exchange; The second market mentioned above is the Frankfurt Stock Exchange.
[0033]
The index interface 110 and the price interface 120 are further in communication with a computing device 160 that forms a major component of the computer system 100. Computing device 160 receives information from stock exchange 300 via index interface 110 and price interface 120. The computing device 160 calculates an exchange rate between the note and the stock with which the note is exchanged, based on current information from the stock exchange 300. Hereinafter, the calculation of the exchange rate will be described in more detail.
[0034]
Computing device 160 is further in communication with index database 170 and item database 180. Index database 170 contains data relating to the particular type of stock index to which exchange rates are linked. This means that the data contained in the index database 170 specifies the benchmark index level requested from the stock exchange 300 by the computing device 160. Further, the note issue date and the index level at this issue date may be stored in the index database 170. FIG. 2 shows an exemplary structure of the index database 170.
[0035]
Item database 180 defines the issuer's portfolio of stocks that can be delivered to the investor in exchange for notes issued by the issuer. Accordingly, the item database 180 also identifies one or more stocks for which the computing device 160 has requested the current price from the stock exchange 300 for calculation of the exchange rate. Depending on whether the issuer wishes to reserve the right to select a particular stock to be delivered to the investor only after the issuance of the note, the item database 180 may contain a single stock of several different stocks or Any of the portfolios can be specified.
[0036]
FIG. 3 shows an exemplary structure of the item database 180. As will be apparent from FIG. 3, the item database contains information about several different stocks that can be passed to the investor. For each stock, the price value of each stock in the issuer's portfolio and the price value of that stock at the time the note was issued are stored. In addition, a field for a delivery flag is provided for each stock. This flag indicates which stock will be delivered to the investor. The delivery flag is preferably set only after issuing the note. This delivery flag is used by the trading device 150 to transfer stock rights to the investor's portfolio.
[0037]
If the item database 180 identifies a portfolio of different stocks, at some point after the note is issued, a decision needs to be made regarding the particular stocks to be delivered to the investor from the portfolio. To this end, a selection device 190 is provided which is in communication with both the item database 180 and the computing device 160. The selection device 190 automatically selects one or more of the issuer's portfolio stocks based on the information stored in the item database 180 and provides the selection results to the calculation device 160, which then performs the calculation. Apparatus 160 receives from stock exchange 300 the corresponding price of the selected stock to calculate the exchange rate. The selection device 190 is further in communication with the output device 140 to notify him of one or more selected stocks to be delivered to the investor. This output device 140 can communicate with the investor using any known method, including but not limited to the Internet or a dedicated communication line.
[0038]
If the investor's portfolio includes a plurality of different stocks, the selection device 190 may be closely timed with the expiration of the note or with the input of the exchange request via the input device 130 by the issuer or the investor. Become active in relationships.
[0039]
The input device 130 is in communication with the averaging device 200 of the computer system 100. The averaging device 200 averages the exchange rates calculated by the calculating device 160 over multiple days to eliminate fluctuations in either the index level or the price of the stock delivered to the investor. The averaging device 200 is controlled according to an averaging period predefined by the first timing device 210. The first timing device 210 receives an exchange request from the input device 130, or alternatively, averages after a predetermined time period has elapsed after notifying the investor of one or more stocks to be delivered. Make sure that is started. If the averaging device 200 has not received an exchange request, averaging is automatically started immediately prior to the expiration of the note.
[0040]
Based on the averaged exchange rate calculated by the averaging device 200, the trading device 150 delivers one or more stocks selected by the selection device 190 to the investor according to the averaged exchange rate. Trading device 150 is configured to automatically book stock delivered from the issuer's portfolio to the investor's portfolio in accordance with timing control signals from a second timing device 220 in communication therewith. . The second timing device 220 allows the one or more stocks to be automatically delivered after a predetermined period of time following expiration of the note or notification to the investor after receiving the exchange request. Control transaction equipment.
[0041]
The computer system 100 shown in FIG. 1 is designed to deliver fixed or variable coupons to investors on a predefined coupon date to ensure guaranteed out-performance of notes associated with the stock index. It is configured. The predefined coupon date is stored in coupon database 230 and monitored by monitoring device 240 in communication with coupon database 230. The monitoring device 240 monitors the coupon date stored in the coupon database 230 and is in communication with the transaction device 150. The transaction device 150 delivers the coupon to the investor on the date of each coupon date according to the coupon control signal received from the monitoring device 240.
[0042]
Referring to FIG. 4, there is illustrated a method of managing a financial transaction between a note issuer and an investor who has purchased the note. Here the notes are exchanged into stock in the issuer's portfolio.
[0043]
First, in steps 1 to 5, some values need to be defined and stored in the corresponding database. First, in step 1, the stock index underlying the notes to be issued is determined. As an example, the German stock index DAX is selected and this selection is stored in the index database 170 as index data. Of course, another stock index or market index can also be selected.
[0044]
Next, in step 2, two stock portfolios are defined and the corresponding portfolio data is stored in the item database 180. The first portfolio represents a first set of stocks in which notes can be exchanged in the event of a voluntary exchange, and the second portfolio represents notes exchanged in the case of a mandatory early exchange or at the expiration of that note. 2 shows a second stock set that can be used. These two portfolios can differ with respect to the number of different stocks and the types of stocks contained therein. Of course, the present invention can also be practiced using portfolios that include only a single stock type. The stocks that make up the portfolio are preferably stocks with good liquidity (blue chips) that can be easily cashed if the investor so desires. Therefore, the risk to the investor that the stock delivered by the issuer cannot be sold can be neglected.
[0045]
In step 3, after both the portfolio and stock indexes have been defined, the expiration date of the notes to be issued is selected. As an example, the maturity date can be three years from the date of issue of the note.
[0046]
Thereafter, in step 4, the coupon and the date of the coupon are defined. The coupon is a certain percentage of the original price of the note, such as 1 or 2%. The coupon is paid annually on the note issuance date, and the date of the coupon may be specified accordingly. After the coupon and the date of the coupon are defined, the corresponding coupon data is stored in the coupon database 230 of the computer system 100.
[0047]
In step 5, another parameter of the note to be issued is defined. As an example of another parameter, the issue date and issue price must be specified. The issue price can simply be the level of a specified stock index for that particular currency, such as the euro, at the date of issue. Another parameter defined in step 5 is the discount factor for calculating the exchange rate and the period during which any early exchange at investor request and mandatory early exchange at issuer request are possible. Of course, initialization steps 1 through 5 may also be performed in a different order. After the initialization steps 1 to 5 have been performed, in step 6 the notes are issued to one or more investors.
[0048]
After the note has been issued to the investor, if an optional early or mandatory early exchange is requested, or if the note is about to expire, it is monitored periodically in step 7. Further, the coupon date is periodically monitored by monitoring device 240 based on data stored in coupon database 230. On the day of the coupon date, the monitoring device 240 controls the transaction device 150 so that the coupon is automatically paid to the investor. Otherwise, in step 7, monitoring of the input device 130 for the exchange request and monitoring of the expiration date of the note are continued. If it is determined in step 7 that the issuer or investor has entered an exchange request or that it is nearing expiration, step 10 causes the method to continue.
[0049]
In step 10, it is determined whether the issuer or investor exchange request is valid. An exchange request is only valid if it was made during a valid exchange period. According to the exemplary embodiment shown in FIGS. 4 and 5, the exchange period during which a valid exchange request can be made begins one year after the note issuance date and is 25 business days prior to the note's expiration date. To end. If the issuer or investor's exchange request is invalid, the method proceeds to step 7. On the other hand, if the exchange request is valid or expiring, the method proceeds to step 11.
[0050]
As shown in FIG. 5, at step 11, the investor is notified by the output device 140 of the stock to be delivered to him. This means that the selection device 190 of the computer system 100 has already selected one or several different stocks of the publisher's portfolio to be delivered to the investor. In the case of any early exchange, i.e., at the time of the investor's exchange request, this selection is made between steps 10 and 11. In the case of a mandatory early exchange, i.e., in the event of an issuer's exchange request or maturity exchange at maturity, this election will depend on whether the note is issued to the investor and the investor is notified of the selected stock. It may be done at a time. The selection device 190 preferably makes the selection in a close and timed relationship with the expiration date of the exchange request or note.
[0051]
Preferably, a specific time period is set and monitored by monitoring device 240, during which time the issuer must specify the stock to be delivered to the investor. As an example, in the case of voluntary and mandatory early exchanges, it is specified that the issuer must notify him of the stock to be delivered to the investor within five business days of presenting the exchange request by the investor. Can be In the case of a compulsory exchange, it may be specified that the issuer must notify the investor of the stock to be delivered at least 5 business days prior to the commencement of the averaging period, described in more detail below. it can. In the case of a forced exchange at maturity, the issuer may be specified that the stock to be delivered to the investor must be notified to him prior to the maturity date, eg, 25 business days. Of course, if the issuer's portfolio contains only a single stock, and this stock is already known to the investor at the time of the issuance of the note, the selection of a particular stock and the selection of that selected stock for the investor Notifications can be omitted.
[0052]
From step 11, the method proceeds to the averaging procedure of steps 12-16. The averaging procedure is performed by the averaging device 200 according to the timing control signal from the first timing device 210. According to the present invention, the exchange rate between a note and one or more stocks delivered to the investor is averaged over several business days. The first timing device 210 controls the averaging device 200 such that two days after the issuer has notified the investor of the stock to be delivered (step 11), the averaging of the exchange rates over five business days is taken.
[0053]
In step 12, the counter i is set to 1 corresponding to the first business day. In step 13, the computing device 160 calculates the expression r₁= I₁/ (XS₁) According to the first business day exchange rate r₁, And here I₁Is the official end level of DAX on the automated trading system XETRA, x is the discount factor, S₁Is the closing price of the stock delivered on XTRA on the first business day. The discount factor x is equal to 1 for arbitrary early exchange and equal to 0.95 etc. for forced early exchange. As a result, the stock delivered to the investor is discounted 5% on a mandatory exchange at maturity or on a mandatory early exchange.
[0054]
General formula: r = I / (x · S) is a simplified formula of the actual formula used to determine exchange rate r. Usually, the exchange rate r is a function of I, x and S, ie, r = f (I / (x · S)). I, x and S may themselves be functions of another variable. For example, I not only does not need to consider the absolute exit level of the benchmark index, but in addition, the benchmark index is calculated in the first currency, and the stock traded items delivered to the investor are in the first currency. May also take into account foreign exchange rates when trading in a different second currency. Further, if the bonus stock is delivered to the investor, another multiplication term y> 1 may be included. For example, coefficients y = 1 and 2 mean that the investor has received an extra bonus stock. The formula for the exchange rate r can take into account the credit grade of the issuer. As an example, the discount factor x may be a function of the issuer's credit rating. Typically, the computing device 160 calculates the exchange rate r not only at the time of the exchange request or expiration, but also during the period prior to the exchange request or expiration. Such a periodic assessment of the exchange rate r is preferred and will help the issuer obtain a suitable hedging position.
[0055]
In step 14, the counter i is i_endIs determined. In this case, the average is taken over five business days. Consequently, i_endIs equal to 5. In step 14, the counter i is still i_endIf not found, the counter is advanced by one in step 15 and the exchange rate r on the next business day_{i + 1} Is calculated in step 13. On the other hand, in step 14, i = i_endIf so, in step 16 the final exchange rate r, averaged over five consecutive business days, is calculated by the calculator 160.
[0056]
From step 16, the method proceeds to step 17. In step 17, the trading device 150 automatically transfers the stock selected by the selecting device 190 to the investor according to the averaged exchange rate r calculated by the calculating device 160 in step 16. The delivery of stock by the trading device 150 is controlled by the second timing device 220 such that at the end of the averaging period the stock is delivered to the investor as soon as possible, and in any event within 5 days. You.
[0057]
From the above description, the number of stocks delivered to an investor may vary depending on the performance of DAX and the development of stocks delivered to the investor, but only the total value of the stock delivered to the investor. Depend on the performance of DAX. As a result, investors benefit not only from the annual interest and discount factors of the notes, but also from the increase in DAX since the notes were issued. The investor may receive the stock delivered to him by the trading device 150 for profit and sell it immediately. Since the trading device only delivers liquid blue chip stocks, the delivered stock can be easily cashed. Similarly, issuers benefit from issuing notes in several ways. First, notes can be exchanged in a compulsory manner. As a result, issuance of a note does not adversely affect the issuer's credit rating. In addition, the capital gains tax is deferred until the note exchange. In addition, issuing notes based on a portfolio of several stocks captures potential out-performance within that issuer's portfolio. This is because the selection device 190 preferably selects this stock of the publisher's portfolio that performs best after the note issuance.
[0058]
The embodiments described above with reference to FIGS. 4 and 5 are based on the assumption that when a note is issued, the issuer's portfolio already contains multiple stocks. According to another embodiment, at the time the note is issued, the stock is not yet part of the issuer's portfolio. This is the case, for example, when stocks are issued in accordance with a conditional increase in the subscribed capital provided for in Article 653 of the amendments to the Swiss National Law and the subsequent ones. In such a case, options for the issuer's own stock may be included in the issuer's portfolio. In other words, the stocks are included in the issuer's portfolio in the form of options for these stocks. Pursuant to section 653a of the Swiss Civil Code Amendment, regulations apply that may limit the total amount of stock delivered to investors in the event of a conditional increase in the capital raised.
[0059]
In addition to the computer system described with reference to FIGS. 1 to 3 and the method described with reference to FIGS. 4 and 5, the present invention also relates to a computer program having program code means, the program code means comprising: Perform the steps of the method according to the present invention when executed. The invention also covers a computer program with program code means stored on a computer readable recording medium.
[Brief description of the drawings]
FIG.
FIG. 1 is a schematic diagram of a computer system of the present invention for managing financial transactions between a right issuer and an investor who has purchased the right.
FIG. 2
FIG. 2 is a schematic diagram of an index database of the computer system shown in FIG. 1.
FIG. 3
FIG. 2 is a schematic diagram of an item database of the computer system shown in FIG. 1.
FIG. 4
4 is a flowchart of the method of the present invention for managing a financial transaction between a rights issuer and an investor who has purchased the right.
FIG. 5
4 is a flowchart of the method of the present invention for managing a financial transaction between a rights issuer and an investor who has purchased the right.

Claims (21)

In a computer system (100) for managing a financial transaction between an issuer of a right to be exchanged for one or more currency trading items of the issuer's portfolio and an investor who has purchased this right,
An index database (170) that stores data about a particular time-varying benchmark index;
An item database (180) that stores data regarding one or more exchange transaction items to be exchanged;
A computing device (160) for automatically calculating an exchange rate between the one or more foreign currency trading items and the rights based on at least a current benchmark index level and a current price of the one or more foreign currency trading items in the portfolio; ,
A computerized transaction device (150) for delivering one or more exchange traded items to the investor at the time of the exchange request of either the issuer or the investor or at the expiration of the right according to the calculated exchange rate. Computer system (100) provided. The computer system of claim 1, further comprising an index interface (110) for receiving a level of a current benchmark index. The computer system of claim 1 or 2, further comprising a price interface (120) for receiving a current price of the one or more exchange traded items to be delivered. The computing device (160)
r = f (I / (x · S))
The exchange rate (r) is calculated according to: where I is the current benchmark index level, x is the discount factor, and S is the current price of the exchange traded item. Computer system according to any of the preceding claims. The computer system according to any of the preceding claims, further comprising an averaging device (200) for averaging exchange rates. The claim further comprising a first timing device (210) in communication with the averaging device (200) to control the averaging device (200) such that the exchange rate is averaged over a predetermined time period. Item 6. The computer system according to Item 5. The computer system according to any of the preceding claims, further comprising an input terminal (130) for enabling input of an exchange request. The system further includes a selection device (190) for automatically selecting one or more of the exchange transaction items of the issuer's portfolio to be delivered to the investor, and calculating an exchange rate based on the one or more exchange transaction items. The computer system according to claim 1, wherein: The computer system of claim 8, further comprising an output device (140) for notifying an investor which exchange item is to be delivered. One or more currency trading items are automatically delivered after a predetermined period of time after expiration or notifying the investor after receiving the exchange request, in communication with the trading device (150). Computer system according to any of the preceding claims, further comprising a second timing device (220) for controlling the transaction device (150). A coupon database (230) for storing data relating to one or more coupon dates; and a monitoring device (240) for monitoring the one or more coupon dates and delivering the coupon to the investor on the date of each coupon. The computer system according to claim 1, wherein A method for automatically managing a financial transaction between an issuer of a right to be exchanged for one or more currency trading items of an issuer's portfolio and an investor who has purchased this right, comprising:
Define a specific time-varying benchmark index, store data about that benchmark index,
Defining a portfolio of currency trading items, storing data relating to one or more currency trading items to be exchanged,
Calculating an exchange rate between the one or more currency trading items and the rights based at least on a current benchmark index level and a current price of the one or more currency trading items in the portfolio;
A method comprising the step of delivering one or more exchange traded items to the investor at the time of the exchange request of either the issuer or the investor, or upon the expiration of the right, according to the calculated exchange rate. The exchange rate (r) is
r = f (I / (x · S))
13. The method of claim 12, wherein I is the level of the current benchmark index, x is the discount factor, and S is the current price of the currency trading item. 14. The method of claim 12 or claim 13, further comprising the step of averaging the exchange rates over a predetermined time period and delivering the exchange traded item according to the averaged exchange rates. 15. The method of claim 12, further comprising automatically selecting one or more of the currency trading items in the portfolio of issuers to be delivered, wherein the exchange rate is calculated based on the one or more currency trading items. The method according to claim 1. 16. The method of claim 15, wherein the selection is made in a close and timed relationship with the exchange request or maturity. 17. A method as claimed in claim 15 or claim 16, further comprising the step of automatically notifying the investor of the currency transaction items of the delivered issuer portfolio. 18. The method according to any one of claims 12 to 17, wherein one or more foreign exchange transaction items are automatically delivered after a predetermined period of time after receiving the exchange request, after expiration, or after notifying the investor. the method of. The method further includes defining one or more coupon dates, storing the one or more coupon dates, automatically monitoring the one or more coupon dates, and delivering the coupon to the investor on each coupon date. The method according to any one of claims 12 to 18. A computer program comprising program code means for performing the steps of any of claims 12 to 19 when the program is executed on a computer. 21. A computer program comprising the program code means according to claim 20, which is stored on a computer readable recording medium.

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