Structuring question for structures out there!

For mutual fund linked structured notes that structuring desk develops (offers 100% Protection + upside to mutual fund), does the trading desk actually go out and buy mutual fund options? If so, how do they trade?... very lost here. thanks in advance!

 

If I had to guess, no. Even if the trading desk (exotics desk maybe?) could lift a market on a MF-linked note immediately after the dealer firm sold the structure, seems unlikely they'd be able to do it without paying up heavily. Most likely they'd hedge the option and deal with the resulting slippage/greeks.

 

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