WO1991013409A2 - A system and process for converting constant dollar financial instrumemts - Google Patents
A system and process for converting constant dollar financial instrumemts Download PDFInfo
- Publication number
- WO1991013409A2 WO1991013409A2 PCT/US1991/001101 US9101101W WO9113409A2 WO 1991013409 A2 WO1991013409 A2 WO 1991013409A2 US 9101101 W US9101101 W US 9101101W WO 9113409 A2 WO9113409 A2 WO 9113409A2
- Authority
- WO
- WIPO (PCT)
- Prior art keywords
- dollar
- nominal
- constant
- period
- payment
- Prior art date
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Classifications
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/02—Banking, e.g. interest calculation or account maintenance
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06F—ELECTRIC DIGITAL DATA PROCESSING
- G06F40/00—Handling natural language data
- G06F40/10—Text processing
- G06F40/166—Editing, e.g. inserting or deleting
- G06F40/177—Editing, e.g. inserting or deleting of tables; using ruled lines
- G06F40/18—Editing, e.g. inserting or deleting of tables; using ruled lines of spreadsheets
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
Definitions
- Constant dollar financial instruments are financial instruments whose primary components are defined in terms of constant-dollars. Constant dol ⁇ lars are nominal-dollars, (the dollars of ordinary commerce), adjusted by the use of a price index, thereby eliminating the impact of inflation on the pur ⁇ chasing power of the dollar (i.e., constant-dollars are dollars with constant purchasing power as opposed to constant face value). Nominal dollars are dollars having a constant face value. For example, a one dollar bill is a nominal-dollar. However, two years from now that one dollar, given the effects of inflation, will have a purchasing power of less than one dollar.
- the inventors of the present invention have established that the appli ⁇ cation of the "matching principle" requires the general utilization of constant-dollar financial instruments by providers and users of funds through ⁇ out the financial system.
- the “matching principle” is a fundamental principle in the area of applied finance that has been the subject of very little academic research. It applies to both users and providers of funds. .
- the application of the "matching principle” requires that the characteristics of the financial instruments issued by the user of funds should be matched as closely as possible to the characteristics of the investments being financed by the user of funds.
- the application of the "matching principle” requires that the characteristics of the financial instrument in which a provider of funds invests should be matched as closely as possible to the characteristics of the liabilities being funded by the provider of funds.
- the liabilities that the final providers of funds or their agents are fund ⁇ ing include retirement, future educational expenses, and possible future medi ⁇ cal expenses. All of these liabilities are "Real" liabilities - i.e., they are much more accurately defined in terms of constant dollars than in terms of nominal dollars because constant dollars are not affected by unknown future inflation. Therefore, application of the "matching principle" to the final providers of funds requires that they fund their "Real" liabilities with constant-dollar financial instruments.
- Financial intermediaries stand between the final users of funds and the final providers of funds. Financial intermediaries provide most of the funds utilized by final users of funds and use most of the funds provided by final providers of funds. The final users of funds, the final providers of funds, and financial intermediaries, taken together, make up the general financial sys ⁇ tem of the economy.
- the "matching principle” also applies to financial intermediaries. They must match the characteristics of their assets (the securities issued by final users of funds) to the characteristics of their liabilities (the securities that financial intermediaries issue to final providers of funds).
- the application of the "matching principle" to the financial system of the economy requires that all of the participants - the final users of funds, the final providers of funds, and the financial intermediaries - all utilize constant-dollar financial instruments.
- the present invention involves the application of the "matching princi ⁇ ple" to a process for converting a specific constant-dollar financial instrument (whose primary components have been specified in a manner con ⁇ sistent with an optimal match), into an equivalent financial instrument defined in terms of the nominal-dollars of ordinary commerce, and therefore consistent with existing legal and tax statutes.
- the "matching principle” involves matching the characteristics of financing instruments to the financ ⁇ ing needs of the users of funds and/or matching the characteristics of the financial instruments to the investment needs of the providers of funds. Because of the impact of uncertain and unknowable future inflation, nominal- dollar financial instruments do not allow an effective utilization of the matching principle for either final users or final providers of funds.
- the measure of inflation (e.g., price index) to be utilized for the conversion of constant-dol ⁇ lars into nominal-dollars.
- Payment schedules and amortization schedules will be converted into arrays, where the elements in the arrays are either constant-dollar amounts or functions of const ant -dollar amounts.
- the number of elements in the array will equal the number of pay ⁇ ment periods or the number of adjustment periods, whichever is greater (if the number of adjustment periods exceeds the number of payment periods, then some elements in the payment array will be zero to reflect adjustment periods when there is no scheduled payment).
- the number of elements in amortization arrays will equal the number of payment periods or the number of adjustment periods, whichever is greater, plus one.
- the first element in the amortization array will be the initial loan balance.
- the terms and covenants will be converted into a standard array of terms and covenants. This array will be defined in such a way as to include all normal terms and covenants for a broad variety of instruments.
- the system further defines a measure of the inflation rate con ⁇ sistent with the standard form for specifying the rate of return, (for example, the effective annual rate), utilizing this specified inflation measure.
- the system generates the specification of each of the pri ⁇ mary components of the equivalent nominal-dollar financial instrument in terms of nominal-dollars and the specified measure of inflation.
- the system outputs the specifications of each of the primary components of the equivalent nominal-dollar financial instrument in a format consis ⁇ tent with the preparation of legal documents.
- Figure 1 is a flow chart illustrating the principles of the present invention concerning conversion of instruments.
- Figure 2 is a flow chart illustrating the principles of the present invention concerning servicing financial instruments.
- Figures 3-5 are spreadsheets which show the advantages of the present invention under different inflation scenarios. DETAILED DESCRIPTION OF THE INVENTION
- the data processing system for carrying out the present inven ⁇ tion generally comprises three components - an input device, a pro ⁇ cessing device and an output device.
- the input device comprises a mechanism for entering the primary components (specified below) of the desired constant-dollar financial instrument, the specified measure of inflation, the base period, and the frequency of adjustment for infla ⁇ tion to be utilized in the conversion process.
- the input device may also include a mechanism for entering the actual payment records, inflation data and other data required to service the equivalent nominal-dollar financial instruments generated by the system.
- the processing device transforms the primary components of the constant-dollar financial instrument into standard form; defines a measure of the inflation rate; uses the specified inflation measure, con ⁇ sistent with the standard measure for the rate of return (e.g., the effective annual rate of interest) and generates the equivalent nominal-dollar specification of each of the primary components of the desired constant-dollar financial instrument in terms of nominal-dollars and inflation rates given the frequency of adjustment for inflation and the base period.
- the processing unit also calculates the current nominal-dollar return, the current interest (and penalties, if any) due, the amount of the payment being utilized for payment of current inter ⁇ est (and penalties, if any), the change in accrued interest from the prior payment period, if applicable, and the new level of accrued inter ⁇ est, if any, the change in the outstanding loan balance from the prior payment period, and the new loan balance, the nominal-dollar return for the subsequent payment period, the required payment for the subse ⁇ quent payment period.
- the processing unit also checks all loan terms and covenants against the latest inputted data for compliance of the loan with all terms and covenants.
- Possible types of constant-dollar financial instruments include, but are not limited to bonds of all types, including mortgage bonds, debentures, subordinated debentures, and capital notes; mortgages and deeds of trust of all types, loans of all types, leases of all types, promis ⁇ sory notes of all types, life insurance policies and annuities, investment company shares and deposits and certificates of deposit.
- the primary components of constant-dollar financial instru ⁇ ments may comprise: the rate of return or rate of interest, the pay ⁇ ment schedule, the amortization schedule, the loan terms and cove ⁇ nants.
- the rate of return is a "Real," or purchasing power rate of return because it is defined in terms of constant-dollars.
- the constant- dollar rate of return may be either fixed or variable. If the constant- dollar rate of return is variable, it will be a function of some set of constant-dollar variables - e.g., some fixed constant-dollar rate of return plus some share of constant-dollar revenues.
- the payment schedule is defined in terms of constant-dollars.
- the constant-dollar rate of return is fixed, then there will be a fixed relationship between a fixed constant-dollar payment schedule and a fixed constant-dollar amortization schedule based on the fixed constant-dollar rate of return. If the constant-dollar rate of return is variable and the constant-dollar amortization schedule is fixed, then the constant-dollar payment schedule will be variable because it is a function of the fixed constant- dollar amortization schedule and the variable constant-dollar rate of return.
- the amortization schedule is defined in terms of constant-dol ⁇ lars. If the constant-dollar rate of return is variable and the constant- dollar payment amounts are fixed, then the constant-dollar amortiza ⁇ tion schedule (and the maturity of the instrument) will be variable because it is a function of the fixed constant-dollar payments and the variable constant-dollar rate of return. All loan terms and covenants involving dollar amounts (e.g., minimum amount of net working capital to be maintained by the borrower) are defined in terms of constant- dollars.
- the desired const ant -dollar financial instruments must be con ⁇ verted into equivalent nominal-dollar financial instruments to achieve consistency with existing legal and tax statutes.
- the first step in the conversion process is to enter into the data processing system the definition of the desired constant- dollar financial instrument (i.e., the specifications of the primary com ⁇ ponents of the desired const ant -dollar financial instrument), the speci ⁇ fied measure of inflation, the base period, and frequency of adjustment for inflation to be utilized (step 101).
- the desired constant- dollar financial instrument i.e., the specifications of the primary com ⁇ ponents of the desired const ant -dollar financial instrument
- the speci ⁇ fied measure of inflation i.e., the specifications of the primary com ⁇ ponents of the desired const ant -dollar financial instrument
- the base period i.e., the base period, and frequency of adjustment for inflation to be utilized (step 101).
- const ant -dollar rate of return is variable
- the constant-dollar amortization schedule will be fixed and the constant-dollar payment schedule will be a function of the fixed amor ⁇ tization schedule and the variable constant-dollar rate of return
- the constant-dollar payments will be fixed and the constant-dollar amorti ⁇ zation schedule will be a function of the fixed constant-dollar pay ⁇ ments and the variable constant-dollar rate of return.
- the payment and amortization schedules are transformed into standard arrays - which is transformed first depends on whether the constant-dollar rate of return is fixed, and if not, whether or not the amortization schedule is fixed. To do this, the processing unit deter ⁇ mines whether there is a fixed constant-dollar rate of return (step 103). If it is fixed, the payment schedule is transformed into standard form (step 105). If the constant-dollar rate of return is not fixed, it is deter ⁇ mined whether there are variable constant-dollar payments (step 104). If not, the payment schedule is transformed into standard form (step 105). If there are variable constant-dollar payments, the amortization schedule is transformed into standard form (step 106). If the payment schedule was transformed into standard form in step 105, then the amortization schedule is transformed into standard form in step 107. If the amortization schedule was transformed in step 106, the payment schedule is transformed into standard form in step 108.
- step 109 all terms and covenants are put into standard form (step 109).
- the processing unit After the processing unit has put the primary components of the desired constant-dollar financial instrument into standardized form and defined the inflation measure, it converts all of the primary compo ⁇ nents into equivalent nominal-dollar components, thus creating an equivalent nominal-dollar financial instrument (steps 111-119).
- the equivalent nominal-dollar interest rate, r for every adjust ⁇ ment period t is defined as a function of the measure of inflation, I , for that adjustment period t; and the constant-dollar rate of return, R. , for adjustment period t (step 111).
- the first step is to deter ⁇ mine whether or not the constant-dollar rate of return is fixed (step 112). If the constant-dollar rate of return is fixed, the next step is to determine whether or not the constant-dollar payments are fixed and the number of payment periods exceeds the number adjustment periods (e.g., a constant-dollar mortgage with monthly payments and annual adjustments for inflation (step 113).
- the equivalent nominal-dollar payment schedule is determined according to step 115.
- step 112 the next step is to determine whether or not the amortization schedule is fixed (step 113a). If the amortization schedule is fixed, then the constant-dollar payment schedule will vary with the variable const ant -dollar rate of the return, and the next step (step 116) is to generate the equivalent nominal-dollar amortization schedule.
- step 113a If the amortization schedule varies with the variable constant-dollar rate of return and the constant-dollar payments are fixed (step 113a), then the next step is to determine the equivalent nominal-dollar payments according to step 115.
- the system searches the terms and covenants for any num ⁇ bers defined in constant-dollars and redefines them as equivalent nominal-dollars for every adjustment period t (step 119).
- the system then defines the equivalent nominal-dollar financial instrument by printing out primary components in equivalent nominal- dollar form in a format consistent with the preparation of notes and other legal documents (step 120).
- Equation 2 p. is the equivalent nominal-dollar payment in adjustment period t; P. is the constant-dollar payment in adjustment period t; I. is the inflation rate in adjustment period i; and n is the maturity of the instrument in years.
- step 117 After the system has defined the equivalent nominal-dollar pay ⁇ ment schedule according to the above (steps 114 or 115), it defines the equivalent nominal-dollar amortization schedule as follows (step 117):
- the instrument will have a variable constant-dollar pay ⁇ ment schedule.
- the equivalent nominal-dollar amortization schedule (step 116) is defined as
- Equation 5 b. is the scheduled nominal-dollar loan balance for period t; B. is the scheduled constant-dollar loan balance for period t; and I. is the inflation rate for period i.
- the first step in the process of servicing the equivalent nominal-dollar instruments is to input the data on payments received and dates of receipt, inflation measures and other required data (step 201).
- the system calculates the current nominal-dollar interest rate according to the specification of the equivalent nominal-dollar rate of return and calculates the current interest (and penalties, if any) given the inputted data and stored data from previous periods (step 202).
- the system calculates the current interest (and penalties, if any), and the portion of the current payment that will go to pay cur ⁇ rent interest (and penalties, if any), the change in accrued interest from the prior payment period, if applicable, and the new level of accrued interest, if any (step 205).
- the system next calculates the change in the outstanding loan balance from the prior period, and the new loan balance (step 206).
- the system then calculates the nominal-dollar return for the subsequent payment period according to the specification of the equiv ⁇ alent nominal-dollar return (step 208).
- the system calculates the nominal-dollar return for the subse ⁇ quent payment period utilizing the inflation data for the period and equation 1).
- the processor determines if the instru ⁇ ment has a variable constant-dollar rate of return and a fixed amorti ⁇ zation schedule (steps 211). If so, the system first calculates the nominal-dollar amortization schedule for the subsequent payment period as per the equivalent nominal-dollar amortization schedule (step 212). Then the system calculates, in step 214, the required nominal- dollar payment for the subsequent payment period, given the current loan balance, the equivalent nominal-dollar rate of return for the sub ⁇ sequent period and the specified nominal-dollar loan amortization cal ⁇ culated in step 212. Next, late payment penalties, if any,, are calculated and added to the amount determined in step 214 to obtain the total amount of the nominal-dollar payment for the subsequent period (step 215).
- step 216 the system prints out, in a desired format, the fol ⁇ lowing items:
- the gains from employing the invention are based on the application of the "matching principle.”
- the inventors have established that significant gains — as compared to the utilization of conventional nominal-dollar instruments — result when the invention is used to implement constant-dollar instruments specified according to the "matching principle.”
- FIGs 3, 4 and 5 Three spreadsheets are included in the drawings as Figures 3, 4 and 5.
- Each of the sample spreadsheets assumes a $10,000,000 purchase price, a $7,500,000 loan, $900,000 of net operating income (NOI) at time of purchase, a capitalization (CAP) rate at purchase of 9.00% and a market CAP rate of 9.00%.
- NOI net operating income
- CAP capitalization
- Figure 3 a steady inflation rate of 4.00% is assumed.
- an initial inflation rate of 4.00% is used but a drop to 2.00% is used beginning year 2.
- an inflation rate of 4.00% initially is changed to 6, 8 and finally 10.00%.
- the Figures demonstrate the reduction in default risk as measured by minimum interest coverage ratios and the high "Real" (net of inflation) returns that the present invention makes possible for final providers of funds. Even after expenses of servicing the loans and managing the portfolio of investments, final providers can expect "Real” returns in excess of 4% from a portfolio of high quality 5% RealValueTM instruments.
- RealValueTM financing increases its expected return advantage in the case of falling inflation (Spreadsheet 2) and maintains a reduced expected return advantage in the case of sharply rising inflation (Spreadsheet 3).
- This invention is applicable to instruments denominated in any currency.
- the invention makes possible the general utilization of constant- currency financial instruments in any country with any currency.
Abstract
Description
Claims
Priority Applications (2)
Application Number | Priority Date | Filing Date | Title |
---|---|---|---|
BR919106098A BR9106098A (en) | 1990-02-27 | 1991-02-26 | APPARATUS AND PROCESS FOR CONVERTING A CONSTANT DOLLAR FINANCIAL INSTRUMENT INTO A NOMINAL EQUIVALENT DOLLAR INSTRUMENT |
AU74976/91A AU661457B2 (en) | 1990-02-27 | 1991-02-26 | A system and process for converting constant dollar financial instrumemts |
Applications Claiming Priority (2)
Application Number | Priority Date | Filing Date | Title |
---|---|---|---|
US485,543 | 1990-02-27 | ||
US07/485,543 US5237500A (en) | 1990-02-27 | 1990-02-27 | System and process for converting constant dollar financial instruments |
Publications (2)
Publication Number | Publication Date |
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WO1991013409A2 true WO1991013409A2 (en) | 1991-09-05 |
WO1991013409A3 WO1991013409A3 (en) | 1991-10-17 |
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Family Applications (1)
Application Number | Title | Priority Date | Filing Date |
---|---|---|---|
PCT/US1991/001101 WO1991013409A2 (en) | 1990-02-27 | 1991-02-26 | A system and process for converting constant dollar financial instrumemts |
Country Status (6)
Country | Link |
---|---|
US (1) | US5237500A (en) |
EP (1) | EP0517806A1 (en) |
AU (1) | AU661457B2 (en) |
CA (1) | CA2076965A1 (en) |
SG (1) | SG49129A1 (en) |
WO (1) | WO1991013409A2 (en) |
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WO2008131010A1 (en) | 2007-04-16 | 2008-10-30 | Cfph, Llc | Box office game |
US20100145877A1 (en) * | 2008-10-13 | 2010-06-10 | Timothy Haug | Method and System of Enabling Investment in Real Estate Assets in Exchange for Periodic Payments |
US20100223175A1 (en) * | 2008-10-29 | 2010-09-02 | Kcg Ip Holdings Llc | Method and system for standardizing bilaterally-negotiated derivative positions |
US20110153494A1 (en) * | 2009-12-21 | 2011-06-23 | Gm Global Technology Operations, Inc. | Systems and Methods Associated with Distributing Financing and Risk Among Members of a Value Chain |
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US3863060A (en) * | 1972-10-30 | 1975-01-28 | Hewlett Packard Co | General purpose calculator with capability for performing interdisciplinary business calculations |
GB2113434A (en) * | 1981-12-21 | 1983-08-03 | Texas Instruments Inc | Data processing apparatus having alterable interest rate mode capability |
US4742457A (en) * | 1985-08-27 | 1988-05-03 | Trans Texas Holdings Corporation | System and method of investment management including means to adjust deposit and loan accounts for inflation |
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US4722055A (en) * | 1984-03-08 | 1988-01-26 | College Savings Bank | Methods and apparatus for funding future liability of uncertain cost |
US4642768A (en) * | 1984-03-08 | 1987-02-10 | Roberts Peter A | Methods and apparatus for funding future liability of uncertain cost |
US4752877A (en) * | 1984-03-08 | 1988-06-21 | College Savings Bank | Method and apparatus for funding a future liability of uncertain cost |
US4648038A (en) * | 1984-11-21 | 1987-03-03 | Lazard Freres & Co. | Methods and apparatus for restructuring debt obligations |
US4739478A (en) * | 1984-11-21 | 1988-04-19 | Lazard Freres & Co. | Methods and apparatus for restructuring debt obligations |
-
1990
- 1990-02-27 US US07/485,543 patent/US5237500A/en not_active Expired - Lifetime
-
1991
- 1991-02-26 SG SG1996006325A patent/SG49129A1/en unknown
- 1991-02-26 WO PCT/US1991/001101 patent/WO1991013409A2/en not_active Application Discontinuation
- 1991-02-26 CA CA002076965A patent/CA2076965A1/en not_active Abandoned
- 1991-02-26 EP EP91905705A patent/EP0517806A1/en not_active Withdrawn
- 1991-02-26 AU AU74976/91A patent/AU661457B2/en not_active Ceased
Patent Citations (3)
Publication number | Priority date | Publication date | Assignee | Title |
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US3863060A (en) * | 1972-10-30 | 1975-01-28 | Hewlett Packard Co | General purpose calculator with capability for performing interdisciplinary business calculations |
GB2113434A (en) * | 1981-12-21 | 1983-08-03 | Texas Instruments Inc | Data processing apparatus having alterable interest rate mode capability |
US4742457A (en) * | 1985-08-27 | 1988-05-03 | Trans Texas Holdings Corporation | System and method of investment management including means to adjust deposit and loan accounts for inflation |
Also Published As
Publication number | Publication date |
---|---|
CA2076965A1 (en) | 1991-08-28 |
AU661457B2 (en) | 1995-07-27 |
SG49129A1 (en) | 1998-05-18 |
AU7497691A (en) | 1991-09-18 |
WO1991013409A3 (en) | 1991-10-17 |
EP0517806A1 (en) | 1992-12-16 |
US5237500A (en) | 1993-08-17 |
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