Patent ID: 7778917

Claim:
A computer implemented method, comprising: producing by one or more computers a creation unit for a plurality of tradable index shares that provides a multiply enlarged return based on performance of a securities index, by: recording by the one or more computers, information related to receipt of a plurality of derivative financial instruments, each of the plurality of derivative instruments having a same mark price on a date of generation of the tradable index shares; and recording by the one or more computers, information related to receipt of an initial amount of cash substantially equal to the mark price for one of the plurality of derivative financial instruments, at a time of generation of the tradable index shares; generating by the one or more computers the plurality of tradable index shares that provides the multiply enlarged return based on a total count of the plurality of derivative financial instruments received, the plurality of tradable index shares backed by fractional interests in the creation unit; accessing, by the one or more computers, a plurality of values of the plurality of derivative financial instruments and the initial amount of cash; and calculating, using the one or more computers, a value for the plurality of tradable index shares based on the plurality of values of the derivative financial instruments and the initial amount of cash.