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Upside participation / downside protection index participation notes
Upside participation / downside protection index participation notes
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机译:上行参与/下行保护指数参与注释
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摘要
Techniques are described for securitizing, administrating and trading various index shares securitized by derivative, cash-settled instruments on the underlying index. In some aspects, a method includes determining in a computer system, a value for a tradable index share that tracks increases in a value of an index. The tradable index share is backed by a fractional interest in a creation unit that includes a long index futures contract and one of a long put index options contract and a long put index futures options contract. The long, put index options contract has a strike price that is the same as a mark price of the long index futures contract and each having the same expiration date.
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