System and method for providing a trust associated with long positions in index futures

1. A system, comprising:

a memory operable to store market data; and

a processor communicatively coupled to the memory and operable to:

buy a plurality of index futures, wherein:

the plurality of index futures are held as long positions in a trust; and

a particular index future is publicly traded on a commodity exchange;

issue a plurality of trust receipts associated with the trust, wherein the plurality of trust receipts are publicly traded on at least one security exchange; and

post a margin with a first futures commission merchant (FCM) associated with the trust, wherein:

the margin is based at least in part on the plurality of index futures; and

the first FCM makes a first interest payment to the commodity exchange, the first interest payment associated with the plurality of index futures; and

based at least in part on the first interest payment, the commodity exchange transmits a second interest payment to a second FCM associated with an investor that holds one or more short positions in index futures.

2. The system of claim 1 , wherein:

the commodity exchange deducts platform fees from the first interest payment; and

the deducted platform fees are usable to pay at least one expense of the trust.

3. The system of claim 2 , wherein the trust comprises a variable interest trust.

4. The system of claim 2 , wherein the platform fees comprise at least one of the following:

licensing fees payable to at least one index provider;

custodial fees associated with at least one separately managed account (SMA);

listing fees payable to the commodity exchange; and

development fees payable to at least one developer of the index futures.

5. The system of claim 1 , wherein:

a particular index future represents a futures contract on a particular index; and

the particular index is based at least in part on a market index and an index of separately managed accounts.

6. The system of claim 5 , wherein the market index is the Dow Jones-AIG Commodity Index.

7. The system of claim 5 , wherein the particular index represents full notional exposure to the market index and the index of separately managed accounts.

8. The system of claim 1 , wherein:

a particular index future represents a PIMCO CommodityRealReturn DJ-AIGCI TRACKR.

9. The system of claim 1 , wherein:

a particular index future represents a futures contract on a particular index; and

the particular index is the PIMCO CommodityRealReturn DJ-AIGCI TRAKRS Index.

10. The system of claim 1 , wherein:

the trust represents a commodity pool; and

all net assets of the trust are invested in long positions in index futures.

11. The system of claim 1 , wherein:

the plurality of index futures are bought for a market value; and

posting a margin comprises depositing in a margin account an amount of cash that is equal to the market value.

12. The system of claim 1 , wherein a particular trust receipt represents a fractional undivided beneficial interest in net assets of the trust.

13. The system of claim 1 , wherein:

the trust is a non-institutional customer of the commodity exchange;

the trust is subject to a margin requirement of 100% of a market value of index futures; and

an institutional customer of the commodity exchange is subject to a margin requirement of 5%-10% of a market value of index futures.

14. A method, comprising:

electronically buying a plurality of index futures using a processor, wherein:

the plurality of index futures are held as long positions in a trust; and

a particular index future is publicly traded on a commodity exchange;

electronically issuing a plurality of trust receipts associated with the trust using the processor, wherein the plurality of trust receipts are publicly traded on at least one security exchange; and

electronically posting a margin with a first futures commission merchant (FCM) associated with the trust using the processor, wherein:

the margin is based at least in part on the plurality of index futures;

the first FCM makes a first interest payment to the commodity exchange, the first interest payment associated with the plurality of index futures; and

based at least in part on the first interest payment, the commodity exchange transmits a second interest payment to a second FCM associated with an investor that holds one or more short positions in index futures.

15. The method of claim 14 , wherein:

the commodity exchange electronically deducts platform fees from the first interest payment using a processor; and

the deducted platform fees are usable to pay at least one expense of the trust.

16. The method of claim 15 , wherein the trust comprises a variable interest trust.

17. The method of claim 15 , wherein the platform fees comprise at least one of the following:

licensing fees payable to at least one index provider;

custodial fees associated with at least one separately managed account (SMA);

listing fees payable to the commodity exchange; and

development fees payable to at least one developer of the index futures.

18. The method of claim 14 , wherein:

a particular index future represents a futures contract on a particular index; and

the particular index is based at least in part on a market index and an index of separately managed accounts.

19. The method of claim 18 , wherein the market index is the Dow Jones-AIG Commodity Index.

20. The method of claim 18 , wherein the particular index represents full notional exposure to the market index and the index of separately managed accounts.

21. The method of claim 14 , wherein:

a particular index future represents a PIMCO CommodityRealReturn DJ-AIGCI TRACKR.

22. The method of claim 14 , wherein:

a particular index future represents a futures contract on a particular index; and

the particular index is the PIMCO CommodityRealReturn DJ-AIGCI TRAKRS Index.

23. The method of claim 14 , wherein:

the trust represents a commodity pool; and

all net assets of the trust are invested in long positions in index futures.

24. The method of claim 14 , wherein:

the plurality of index futures are bought for a market value; and

posting a margin comprises depositing in a margin account an amount of cash that is equal to the market value.

25. The method of claim 14 , wherein a particular trust receipt represents a fractional undivided beneficial interest in net assets of the trust.

26. The method of claim 14 , wherein:

the trust is a non-institutional customer of the commodity exchange;

the trust is subject to a margin requirement of 100% of a market value of index futures; and

an institutional customer of the commodity exchange is subject to a margin requirement of 5%-10% of a market value of index futures.