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METHOD FOR FACILITATING FUTURES TRADING OF SYNTHETIC BENCHMARK CORPORATE BONDS
METHOD FOR FACILITATING FUTURES TRADING OF SYNTHETIC BENCHMARK CORPORATE BONDS
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机译：合成基准公司债券的期货交易便利化方法
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摘要
A method of creating and trading on an exchange a futures contract linked to the yield of synthetic corporate debt instruments. The terms of the contract are such that it provides for a cash payment from one party to another based on the yield of a synthetically created corporate bond benchmark upon expiration of the futures contract. The synthetic corporate bond benchmark terms may include a combination of yield, credit rating, maturity, industry, currency or some other economically significant variable such terms being defined prior to the standardized contract being available for trading. Corporate synthetic benchmarks are valued by assigning traded corporate debt securities to the defined risk category and calculating the resultant yield. The contract may also reference two or more synthetic benchmarks.
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