US20060282370A1

US20060282370A1 - Method and apparatus for creating and administering a publicly traded interest in a commodity pool

Info

Publication number: US20060282370A1
Application number: US11/467,197
Authority: US
Inventors: Oliver Frankel; Heather Shemilt; Daniel Feit; Thomas Glanfield
Original assignee: Goldman Sachs and Co LLC
Current assignee: Goldman Sachs and Co LLC
Priority date: 2004-04-20
Filing date: 2006-08-25
Publication date: 2006-12-14
Also published as: US20040225593A1; US7319984B2

Abstract

Systems, methods, apparatus, computer program code and means for creating and administering a publicly traded interest in a commodity pool include forming a commodity pool having a first position in a futures contract and a corresponding second position in a margin investment, and issuing equity interests of the commodity pool to third party investors.

Description

This application is a continuation of, and claims benefit and priority of, copending U.S. Ser. No. 10/827,940 entitled “Method and Apparatus for Creating and Administering a Publicly Traded Interest in a Commodity Pool” filed on Apr. 20, 2004.

BACKGROUND

A number of innovative new securities products have been introduced over the years. For example, the introduction of a variety of novel types of mutual funds have allowed investors to participate in diversified portfolios of equities, bonds, and other securities. More recently, Exchange Traded Funds (“ETF”) have been introduced. Generally, an ETF is a fund that tracks an index, but can be traded in the market like a stock. Investors can trade shares of an ETF like stocks and can use the same strategies in trading ETFs that traditionally have been used with respect to stocks, such as selling short, buying and holding for the long term, etc. Because ETFs are traded on stock exchanges, they can be bought and sold at any time during the day (unlike most mutual funds) and their price may fluctuate from moment to moment, just like any other stock's price. Investors will also need licensed brokers in order transact in purchase them, which means that a commission will usually be charged.
Unfortunately, ETFs have not, to date been structured to allow an investor to invest in commodities or futures. Currently, investors may make pooled investments in commodities by purchasing interests in “commodity pools,” which are similar to mutual funds except that they are primarily engaged in investing and trading in futures contracts or options on futures, rather than securities. In some situations, commodity pools have been created in which shares were offered to the public (i.e., shares in the pool were registered under the U.S. Securities Act of 1933). These commodity pools provide desirable benefits to the investors who participate; unfortunately, however, they do not provide a mechanism for shares to be publicly traded. It would be desirable to provide an ability to publicly trade commodities using a listed equity. More particularly, it would be desirable to provide an interest in a commodity pool that is publicly traded and listed on a securities exchange.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 is a block diagram illustrating components of a commodity pool transaction consistent with some embodiments.
FIG. 2 is a flow diagram illustrating an exemplary process for creating a publicly traded interest in a commodity pool consistent with some embodiments.
FIG. 3 is a block diagram illustrating components of a further commodity pool transaction consistent with some embodiments.
FIG. 4 is a flow diagram illustrating an exemplary process for creating a publicly traded interest in a commodity pool consistent with some embodiments.
FIG. 5 is a block diagram of a system pursuant to some embodiments.
FIG. 6 is a block diagram of an administrator device pursuant to some embodiments.

DETAILED DESCRIPTION

According to some embodiments, systems, methods, apparatus, computer program code, and means are provided for creating and administering a publicly traded interest in a commodity pool. Briefly and by way of introduction, features of some embodiments allow the creation of publicly traded interests in commodity pools. That is, in some embodiments, equity interests associated with a commodity pool may be offered to the public and listed, on a national securities exchange to allow trade in the secondary market.
For the purpose of explaining features of some embodiments, a number of terms are used herein. For example, as used herein, the term “commodity” or “futures contracts” generally refers to a product that trades on a commodity exchange; this would also include futures contracts, and options on futures contracts, on foreign currencies and financial instruments, and indexes of physical commodities. As used herein, the term “commodity” also refers to other financial or non-financial assets that, although not currently the subject of futures traded on commodity exchanges, may be traded on commodity exchanges in the future. In general, for the purpose of creating publicly traded interests in a commodity pool pursuant to embodiments of the present invention, it is preferable that the commodity be one on which there is an active market in related futures contracts. As used herein, the term “futures” or “futures contracts” are used to refer to standardized, transferable, exchange-traded contracts that require delivery of a commodity, commodity(s) or commodity index(es) at a specified price, on a specified future date, or the payment of a cash settlement amount (e.g., against a price index of spot delivery).
As used herein, a “commodity pool” is an entity, typically in the form of a limited partnership, trust, corporation or limited liability company, operated for the purpose of trading commodity futures or option contracts. For example, for embodiments implemented in the United States, a “commodity pool” may be a commodity pool as defined and regulated under the Commodity Exchange Act (“CEA”). Those skilled in the art will appreciate that for embodiments implemented in other jurisdictions, commodity pools may be defined and regulated under other regulatory schemes. In general, attributes of commodity pools and the particular types of pools used herein will be described further below.
Prior to a detailed discussion of some embodiments, a brief illustrative example will now be presented to aid in understanding features of some embodiments of the present invention. This example is not limiting; other implementations are contemplated. In the illustrative example, an entity (such as a financial institution) wishes to establish a publicly traded security in a vehicle the assets of which are linked to the prices of a commodity or group of commodities, thereby allowing investors to buy and sell shares on a public (or national securities) exchange that closely track variations in the prices of the commodities. In the example, the entity chooses to establish a publicly traded security based on the Goldman Sachs Commodity Index®.
The entity causes the formation of a commodity pool. The commodity pool invests in long-dated futures contracts on the Goldman Sachs Commodity Index. In the example, the futures contracts have a maturity of five (5) years and specify a payout at expiration based on the value of the Goldman Sachs Commodity Index. The commodity pool also establishes a position in Treasury securities (or the like) as a margin investment. The margin investment is 100% of the futures investment, and the securities are deposited with the pool's futures commission merchant.
Upon receipt of specified funds from an investor to enable the pool to invest in futures contracts and Treasury securities as described above, the pool issues one or more “creation units” to the investor. A pool may be structured such that each creation unit constitutes, for example, 100,000 publicly traded shares. The initial issue price per share of each creation unit will depend on the number of contracts in the pool and the price of the underlying index at the time of issuance. In the example, assume that the underlying index is at 500 and the long-dated futures contract is at 525 (where each point change in price is $100 per point). In this example, the shares issued in a creation unit pursuant to the present invention will trade at around $52.5 each (calculated as $100/point*100,000*future's price).
In some embodiments, the price per share may also reflect an expense ratio (which may be accrued on a daily basis or in some other manner). The shares in a creation unit are issued for public trade, and may be traded on a national securities exchange. As additional creation units are issued (or as creation unit redemptions occur), the commodity pool increases or decreases the size of its position in the futures contracts and Treasury securities as needed.
Investors may thus publicly-trade shares that closely reflect the price of an underlying commodity or commodity index. Market makers are able to arbitrage this new security against the underlying commodity or index (or related futures contract), thereby ensuring the security is trading close to the asset value. In this manner, a measure of reassurance is provided that the security is trading at (or near) its fair value. Further, the security may be priced intraday, allowing substantial price transparency. Further still, in some embodiments, no physical redemption in kind is needed. In some embodiments, futures positions will be delivered upon redemption. Other features and advantages will be apparent to those skilled in the art.
Features of embodiments will be described by first referring to FIG. 1, where a block diagram depicts portions of a commodity pool transaction 100 consistent with some embodiments. As depicted, commodity pool transaction 100 includes interaction between a number of parties, devices or entities. As shown, the transaction involves a commodity pool 110 formed to establish and hold a commodity position 118 and a corresponding margin position 116. Equity interests in the commodity pool 110 are offered to the public and listed on an exchange 120 allowing trade in the secondary market by a plurality of investors 124.
Pursuant to some embodiments, commodity pool 110 is established with a pool operator. For example, in embodiments implemented subject to U.S. regulatory authority, the pool operator may be a so-called commodity pool operator (“CPO”) registered under the CEA. In general, as used herein, a CPO may be an individual or firm that is responsible for the operation of a commodity pool. Pursuant to some embodiments, the CPO refers to a general partner or managing member of a commodity pool established pursuant to the present invention. Further, commodity pool 110 may be advised by an advisor such as a so-called commodity trading advisor (“CTA”) registered and regulated under the CEA. In general, both commodity pools 110 are formed to comply with the relevant regulatory authority applicable to commodity pools.
In some embodiments, commodity pool 110 is organized as a limited liability entity such as, for example, a limited partnership. In some embodiments, commodity pool 110 is formed to qualify for pass-through tax treatment. In some embodiments, in addition to the issuance of equity interests to the public, equity interests are also issued to, and are redeemable by, at least one other entity serving as the CPO, general partner or managing member.
Pursuant to some embodiments, in order to track the performance of a commodity, commodities or commodities index, commodity pool 110 is formed to invest solely in commodities future contracts (as well as corresponding margin investments, e.g., in Treasury securities or the like). That is, commodity position 118 may be a position in a single commodity, a number of commodities, or a commodities index. In some embodiments, commodity position 118 is a position in a long-dated futures contract on a commodity index and traded on a designated contract market. For example, in the U.S., the commodity index is traded on a market such as the Chicago Mercantile Exchange, the New York Mercantile Exchange, or the like.
For example, commodity position 118 may be a futures contract having a maturity of approximately five (5) years which provides for a payout at expiration based on the value of the specified index (for example, the Goldman Sachs Commodity Index®, other proprietary index or the like, or a specially created index). The commodity pool's position in the futures contract may be subject to a 100% initial margin requirement. Commodity pool 110 may satisfy this margin requirement by establishing margin position 116. For example, in some embodiments, commodity pool 110 satisfies this margin requirement by purchasing U.S. Treasury securities and depositing the securities with its futures commission merchant. Pursuant to some embodiments, commodity pool 110 is not subject to any subsequent mark-to-market margin requirements.
During the term of the futures contract, commodity pool 110 may increase or decrease the size of its position in the contract, as necessary, to reflect additional investments and redemptions. Pursuant to some embodiments, commodity pool 110 invests in the margin securities (e.g., such as Treasury securities) on a passive basis, does not actively manage the position, and uses the securities solely to margin the futures position.
Pursuant to some embodiments, the pool's futures commission merchant or agent carries the margin securities in an account established for commodity pool 110 and posts its own assets (or utilizes a letter of credit or the like) to margin the futures position at the applicable clearinghouse. The margin securities will be liquidated only if necessary to fund redemptions and additional margin securities will be purchased if there are new investments in commodity pool 110.
At expiration of the futures contract, commodity pool 110 will receive any increase in the value of the underlying index and will pay out (out of the 100% margin posted initially) any decrease in such value. At expiration, the margin securities will be liquidated. If commodity position 118 has declined in value, an appropriate portion of the proceeds of the sale of the margin securities will be used to fund the commodity pool's obligations under the futures contract and the remainder will be distributed to investors 124.
In some embodiments, equity interests of commodity pool 110 are adapted to be publicly traded, e.g., on a national securities exchange. In some embodiments subject to U.S. regulatory authority, equity interests of commodity pool 110 may be registered under the Securities Act of 1933 on Form S-1. In some embodiments, equity interests of public pool 114 are offered publicly to investors 124 on a continuous basis in large “creation unit” aggregations and are listed on a national securities exchange. The equity interests may be traded in the secondary market on an individual, non-aggregated basis. The price of the individual equity interests or shares may be priced intraday, allowing substantial price transparency to investors and the market. In this manner, the shares issued by the commodity pool 110 are traded with a spread near the net asset value of the pool. In some embodiments, the share price may also reflect (e.g., after expenses) an expense ratio built into the price (e.g., which may be accrued on a daily basis or the like).
Referring now to FIG. 2, a transaction process 200 pursuant to some embodiments will be described. As shown, process 200 begins at 202 with the formation of a commodity pool having a first position in a futures contract and a corresponding second position in a margin investment. Processing continues at 204 where equity interests of the commodity pool are issued to third party investors. Some or all of the portions of transaction process 200 may be performed using, or aided by, computing devices. For example, the issuance of equity interests to the public may include operation of computing device to perform share pricing and other calculations.
A further embodiment of a commodity pool transaction 300 will now be described by referring to FIG. 3. As depicted, commodity pool transaction 300 includes interaction between a number of parties, devices or entities. As shown, the transaction involves a commodity pool 310 having two tiers of pools: an investing pool 312 and a public pool 314. Pursuant to some embodiments, the “investing pool” is a commodity pool established to invest in commodity futures contracts and corresponding margin investments. The “public pool” is a commodity pool established to invest in equity interests of the investing pool. Equity interests of the public pool are offered (as will be described further below) to the public. As mentioned above, pursuant to some embodiments, investing pools and public pools established pursuant to the present invention are formed in compliance with relevant regulatory authorities. For example, pools established in, or subject to, U.S. regulatory authority, may be established in compliance with the U.S. CEA.
As shown, investing pool 312 is formed to establish and hold a commodity position 318 and a corresponding margin position 316. Public pool 314 is formed to invest in the equity interests of investing pool 312. Equity interests of public pool 314 are offered to the public and listed on an exchange 320 allowing trade in the secondary market by a plurality of investors 324.
Pursuant to some embodiments, both investing pool 312 and public pool 314 are established with a pool operator. For example, in embodiments implemented subject to U.S. regulatory authority, the pool operator may be a so-called commodity pool operator (“CPO”) registered under the CEA. In general, as used herein, a CPO may be an individual or firm that is responsible for the operation of a commodity pool. Pursuant to some embodiments, the CPO refers to a general partner or managing member of a commodity pool established pursuant to the present invention. Further, both investing pool 312 and public pool 314 may be advised by an advisor such as a so-called commodity trading advisor (“CTA”) registered and regulated under the CEA. In general, both investing pool 312 and public pool 314 are formed to comply with the relevant regulatory authority applicable to commodity pools.
In some embodiments, investing pool 312 is organized as a limited liability entity such as, for example, a limited partnership. In some embodiments, investing pool 312 is formed to qualify for pass-through tax treatment. Equity interests of investing pool 312 are issued to, and are redeemable by, public pool 314. In some embodiments, equity interests are also issued to, and are redeemable by, at least one other entity serving as the CPO, general partner or managing member. In some embodiments, the CPO may invest in some material percentage of the original issuance of shares as a general partner.
Similar to the embodiment discussed in conjunction with FIGS. 1 and 2 above, in order to track the performance of a commodity, commodities or commodities index, investing pool 312 is formed to invest solely in commodities future contracts (as well as corresponding margin positions). That is, commodity position 318 may be a position in a single commodity, a number of commodities, or a commodities index. In some embodiments, commodity position 318 is a position in a long-dated futures contract on a commodity index and traded on a designated contract market. For example, in the U.S., the commodity index is traded on a market such as the Chicago Mercantile Exchange, the New York Mercantile Exchange, or the like.
For example, commodity position 318 may be a futures contract having a maturity of approximately five (5) years which provides for a payout at expiration based on the value of the specified index (for example, the Goldman Sachs Commodity Index®, other proprietary index or the like, or a specially created index). The investing pool's position in the futures contract may be subject to a 100% initial margin requirement. Investing pool 312 may satisfy this margin requirement by establishing margin position 316. For example, in some embodiments, investing pool 312 satisfies this margin requirement by purchasing U.S. Treasury securities and depositing the securities with its futures commission merchant or similar agent. Pursuant to some embodiments, investing pool 312 is not subject to any subsequent mark-to-market margin requirements.
During the term of the futures contract, investing pool 312 may increase or decrease the size of its position in the contract, as necessary, to reflect additional investments and redemptions (as received through public pool 314 as discussed below). Pursuant to some embodiments, investing pool 312 invests in the margin securities (e.g., such as Treasury securities) on a passive basis, does not actively manage the position, and uses the securities solely to margin the futures position.
Pursuant to some embodiments, the pool's futures commission merchant carries the margin securities in an account established for investing pool 312 and posts its own assets (or utilizes a letter of credit or the like) to margin the futures position at the applicable clearinghouse. The margin securities will be liquidated only if necessary to fund redemptions and additional margin securities will be purchased if there are new investments in investing pool 312.
At expiration of the futures contract, investing pool 312 will receive any increase in the value of the underlying index (unless it is rolled as discussed below), and will pay out (out of the 100% margin posted initially) any decrease in such value. At expiration, the margin securities will be liquidated. If commodity position 318 has declined in value, an appropriate portion of the proceeds of the sale of the margin securities will be used to fund the investing pool's obligations under the futures contract and the remainder will be distributed to public pool 314 and then to investors 324.
In some embodiments, public pool 314 is formed as a trust to invest solely in the equity securities of investing pool 312. Equity interests of public pool 314 are adapted to be publicly traded, e.g., on a national securities exchange. In embodiments subject to U.S. regulatory authority, equity interests of public pool 314 are registered under the Securities Act of 1933 on Form S-1. In some embodiments, equity interests of investing pool 312 may also be registered in a similar manner. Equity interests of public pool 314 are offered publicly to investors 324 on a continuous basis in large “creation unit” aggregations and are listed on a national securities exchange. The equity interests may be traded in the secondary market on an individual, non-aggregated basis.
A further transaction process 400 pursuant to some embodiments will now be described by reference to FIG. 4. As shown, process 400 begins at 402 with the formation of an investing pool having a first position in a futures contract and a corresponding second position in a margin investment. Processing continues at 404 where equity interests of the investing pool are issued to a public pool. Processing continues at 406 where equity interests of the public pool are issued to third party investors.
As discussed above, some or all of process 400 may involve the use of computing devices. For example, the issuance of equity interests may include the use of computing devices configured to perform pricing and other share calculations. Further, the issuance of equity interests and trade thereof may involve the use of computing devices to perform or facilitate trade of the securities. Similarly, any of the participants (such as the investors, the issuer, the exchange, the commodity pool, etc.) may utilize one or more computing devices to evaluate, price, administer, or manage shares issued pursuant to embodiments described herein.
Referring now to FIG. 5, a system 500 is shown for trading shares issued pursuant to the present invention (generally referred to herein as “commodity shares”). That is, system 500 is an embodiment of a system which allows a plurality of investors 524 to buy and sell commodity shares issued by a commodity pool as described herein. As shown, system 500 includes a number of participants, some or all of which are in communication over one or more communications networks 512 (such as, for example, the Internet, wired or wireless telephone networks, or the like).
System 500 also includes one or more commodity exchanges 502 (e.g., such as the Chicago Mercantile Exchange, or the like) and one or more national securities exchanges 503 (e.g., such as the American Stock Exchange, or the like). For example, in some embodiments, commodities exchange 502 may be the Chicago Mercantile Exchange, on which the underlying commodities and futures contracts trade, and the securities exchange 503 may be the American Stock Exchange, on which the publicly traded interest of the present invention trades.
In general, exchange 502 operates to provide a market for commodities and exchange 503 provides a market for the commodity shares issued pursuant to the present invention. For example, commodities exchange 502 allows investors 524 to buy or sell commodity shares from or to other investors 524. Commodities exchange 502 also provides clearing and settlement functions to ensure that trades involving commodity shares are completed. Securities exchange 503 supports the trade of publicly traded interests created pursuant to the present invention. Exchange 503 may list and support trade in a number of different commodity shares. For example, each commodity share may be designated by a separate symbol allowing ready identification of orders and prices associated with the commodity share. Other functions commonly provided by exchanges and known in the art may also be provided to support trading of commodity shares pursuant to the present invention.
Each commodity share traded on securities exchange 503 may be associated with an administrator device 504. Administrator device 504 may be, for example, operated by or on behalf of, a commodity pool operator as described above. In general, administrator device 504 is configured to perform pricing of commodity shares and perform administrative functions associated with the issuance of commodity shares. Each of these functions may be performed using data received from a number of data sources, including margin securities data sources(s) 506, futures market data source(s) 508 and commodities market data source(s) 510.
For example, to perform pricing of a commodity share, administrator device 504 may receive data from commodities market data source(s) 510 indicating commodities price information. This price information may be received intra-day in substantially real time or on a periodic basis (e.g., such as daily). For a commodity share based on an underlying index (e.g., such as the Goldman Sachs Commodity Index® or “GSCI®”), a number of different commodity prices may be received in order to calculate a price of the underlying index. For example, the value of the index may be calculated as the total dollar weight of the index divided by a normalizing constant. Daily contract reference prices may also be used in this calculation in order to establish a transparent index price. Other commodity or commodity index pricing techniques will be apparent to those skilled in the art.
Administrator device 504 also receives input information regarding futures contract prices from one or more futures market data source(s) 508 (e.g., such as from one or more futures exchanges such as exchange 502). This information is used in conjunction with the commodity price information described above to calculate a net asset value of the commodity pool associated with the commodity share. A price of each share is then calculated based on the net asset value of the pool and the number of commodity shares issued from the pool. This information may be communicated to securities exchange 503 and/or investors 524 to provide commodity share price information. In some embodiments, this price information may be calculated by securities exchange 503 or other entities.
Administrator device 504 may also operate to perform pool administration functions. For example, as discussed above, in some embodiments, a commodity share is issued from a commodity pool holding a first position in a long-dated futures contract and a second position in a margin security, such as U.S. Treasury securities. Administrator device 504 may be configured to manage rebuys or rolls of these positions. For example, at or near expiration of a long-dated futures contract, administrator device 504 may facilitate or support the rebuy of a new futures contract prior to expiration. Similarly, administrator device 504 may facilitate or support the purchase of new margin securities as needed. Administrator device 504 may facilitate or support any mark to market requirements that arise. Further, device 504 may calculate and track any fees or expenses associated with the administration of each commodity share and reflect this in the commodity share price.
Some or all of the components of system 500 may be configured as computing devices. For example, referring now to FIG. 6, a computing device is shown for use as administrator device 550. In some embodiments, administrator device 550 is operated by one or more administrators acting to assist in, or direct the issuance of shares pursuant to embodiments disclosed herein. For example, in some embodiments, administrator device 550 is operated by, or on behalf of, an issuer to price and identify terms associated with the issuance of shares, to monitor share redemptions, to perform intraday or other pricing, or the like.
As depicted, administrator device 550 includes a computer processor 554 operatively coupled to a communication device 552, a storage device 558, an input device 556 and an output device 557. Communication device 552 may be used to facilitate communication with, for example, other devices and other participants (such as, for example, devices operated by investors, issuers, agents, market data providers, etc.)
Input device 556 may comprise, for example, one or more devices used to input data and information, such as, for example: a keyboard, a keypad, a mouse or other pointing device, a microphone, knob or a switch, an infra-red (IR) port, etc.
Output device 557 may comprise, for example, one or more devices used to output data and information, such as, for example: an IR port, a docking station, a display, a speaker, and/or a printer, etc.
Storage device 558 may comprise any appropriate information storage device, including combinations of magnetic storage devices (e.g., magnetic tape and hard disk drives), optical storage devices, and/or semiconductor memory devices such as Random Access Memory (RAM) devices and Read Only Memory (ROM) devices.
Storage device 558 stores one or more programs 560 or rule sets for controlling processor 554. Processor 558 performs instructions of program 560, and thereby operates in accordance with aspects of the present invention. In some embodiments, program 560 includes pricing rules used to evaluate or select terms associated with commodity shares issued pursuant to embodiments described herein. In some embodiments, program 550 includes rules used to identify the occurrence of events associated with commodity shares issued pursuant to the present invention (and to perform administration tasks relating to the occurrence of the events). For example, rules may be established to perform intraday pricing of shares. As another example, rules may be established to calculate expense ratios or other fees associated with the issuance of shares pursuant to the present invention. As yet another example, rules may be established to facilitate rebuys or rolls of futures contracts and margin securities. In some embodiments, program 550 may be configured as a neural-network or other type of program using techniques known to those skilled in the art to achieve the functionality described herein.
Storage device 558 also stores one or more databases, including, for example, commodity data 552, margin data 554, share data 556, etc. For example, this information may be retrieved from third party data sources as shown in FIG. 5. This information may be used, for example, to issue and/or administer commodity shares as described above in conjunction with FIG. 5 (or in other manners which will become apparent to those skilled in the art.).
Although the present invention has been described with respect to a preferred embodiment thereof, those skilled in the art will note that various substitutions may be made to those embodiments described herein without departing from the spirit and scope of the present invention. With these and other advantages and features of the invention that will become hereinafter apparent, the nature of the invention may be more clearly understood by reference to the above detailed description of the invention, the appended claims and to the several drawings attached herein.

Claims

1. A method, comprising:

forming a commodity pool having a first subsidiary pool and a second subsidiary pool, said first subsidiary pool having a position in at least a first futures contract and a position in at least a first margin investment;

issuing first equity interests of said first subsidiary pool to said second subsidiary pool;

issuing second equity interests from said second subsidiary pool to investors, said second equity interests adapted for trade on an exchange; and

calculating, on a regular basis, pricing information of said second equity interests using a computer system, said computer system receiving price information associated with said at least first futures contract and said at least first margin investment.

2. The method of claim 1, wherein said at least first margin investment is an investment in securities approximately equal in size to the position in the at least first futures contract.

3. The method of claim 1, wherein the at least first margin investment is an investment in Treasury securities.

4. The method of claim 1, wherein the at least a first futures contract is a futures contract traded on a designated contract market.

5. The method of claim 4, wherein the futures contract is a long-dated contract on a commodity index and traded on a designated contract market.

6. The method of claim 1, wherein the at least first margin investment is a position in U.S. Treasury securities, the method further comprising:

depositing said position in U.S. Treasury securities with a futures commission merchant.

7. The method of claim 1, wherein said issuing said second equity to investors further comprises transmitting said pricing information to at least a first exchange.

8. The method of claim 1, wherein said issuing said second equity interests further comprises aggregating said second equity interests into creation units and issuing said creation units as shares for trade on an exchange.

9. The method of claim 1, further comprising:

updating said position in said at least first futures contract based on a number of said second equity interests issued to investors.

10. The method of claim 9, further comprising:

updating said position in said at least first margin investment based on said updated position in said at least first futures contract.

11. The method of claim 1, wherein said computer system receives price information from at least a first data source over a network.

12. The method of claim 1, further comprising:

receiving, from a trading device interacting with said exchange, an order to purchase an amount of said second equity interests.

13. The method of claim 12, wherein said receiving an order causes an administrator device associated with said first subsidiary pool to update sad position in said at least first futures contract.

14. An apparatus, comprising:

a processor;

a communication device coupled to receive market information from at least a first market data source, said market information including price information associated with an at least first futures contract and at least a first margin investment; and

a storage device in communication with said processor and storing instructions adapted to be executed by said processor to:

support the formation of a commodity pool having a first subsidiary pool and a second subsidiary pool, said first subsidiary pool having a position in at least the first futures contract and a position in at least the first margin investment;

support the issuance of first equity interests of said first subsidiary pool to said second subsidiary pool;

support the issuance of second equity interests from said second subsidiary pool to investors, said second equity interests adapted for trade on an exchange; and

calculate, on a regular basis, pricing information of said second equity interests.