Patent ID: 7827094

Claim:
A computer implemented method of trading an interest in a derivate contract on a stock exchange, stock market or an electronic communication network trading venue, the method comprising: receiving by one or more computers information related to trading of an Index Participation Note on a stock exchange, stock market or an electronic communication network trading venue, the Index Participation Note representing a fractional interest of a creation unit, the creation unit consisting essentially of: a long index futures contract; and an amount of cash, the amount of cash being substantially equal to a mark price of the long index futures contract at a time of formation of the creation unit and being adjustable to cause a value of the creation unit to substantially converge to a value of an index underlying the long index futures contract on an expiration date, the amount of cash being based on changes in the mark price of the long index futures contract at times subsequent to the formation of the creation unit; calculating by the one or more computers a total value of the cash based on an initial value of the cash that is substantially equal to the mark price of the long index futures contract and changes in the mark price of the long index futures contract.