Patent ID: 8117111
Filing Date: 2012-02-14
Classification: G06Q

Abstract:
1. A computer implemented method of trading of Index Participation Notes backed by fractional interests in a creation unit, the method comprising: determining by one or more computer systems, a price of at least one of a plurality of Index Participation Notes where the price is related to a value of the creation unit with the creation unit being an index futures contract and an amount of cash, the value of the creation unit being determined by a value of the index futures contract and a value of the cash at a time of the determination, with the value of the cash at the time of the determination being related to an initial amount of cash at a time of formation of the creation unit plus or minus any cash added to the creation unit from subsequent mark to market valuations of the index futures contract where the initial amount of cash is based on an initial mark price of the index futures contract at the time of formation of the creation unit; disseminating the price between a buyer and a seller for the Index Participation Notes; and recording by one or more computers of a trade of the Index Participation Notes on a securities trading venue.