Determining intra-day net asset value of an actively managed exchange traded fund

• US 6,941,280 B1
• Filed: 03/27/2000
• Issued: 09/06/2005
• Est. Priority Date: 03/27/2000
• Status: Expired due to Term

• Current Assignee: NYSE American LLC (Intercontinental Exchange, Inc.)
• Original Assignee: American Stock Exchange, LLC (Intercontinental Exchange, Inc.)
• Inventors: Gastineau, Gary L., Weber, Clifford
• Primary Examiner(s): Trammell, James P.
• Assistant Examiner(s): Greene, Daniel L.
• Application Number:
  US09/536,663
• Time in Patent Office: 1,989 Days
• Field of Search: 705 35- 39, 705/50, 705/51, 235/379, 235/380, 340/825.36
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A system for determining an intra-day net asset value proxy of an actively managed exchanged traded fund and the like includes a trusted computer system that has a physical hardware and operating system configuration in which domain configuration and trust relationships are established to determine access to information in the trusted system. The system also decrypts a file having adjusted portfolio information to provide security positions and calculates the intra-day net asset value proxy for the fund by applying prices received from a quote feed to security positions in the fund portfolio.

Claims

1. A method using a computer readable medium for allowing the trading of shares of actively managed exchange traded funds comprising the steps of determining an intra-day net asset value proxy for the actively managed exchange traded fund by:

electronically receiving a file having adjusted portfolio security position information in the actively managed exchange traded fund in an encrypted format;

decrypting the file having the adjusted portfolio information to provide the security positions in the actively managed exchange traded fund portfolio;

checking the file having the adjusted portfolio information by;

electronically calculating a value of the portfolio based on the closing prices of the securities in the adjusted portfolio as of the previous trading day, and comparing the calculated value of the portfolio based on the closing prices of the securities in the portfolio as of the previous trading day and known adjustments with a published net asset value of the portfolio as of the close of the previous trading day; and

electronically calculating the intra-day net asset value proxy for the actively managed exchange traded fund by applying prices received from a quote feed to the security positions in the actively managed exchange traded fund portfolio;

wherein the security positions of the actively managed exchange traded fund are kept confidential.

2. The method of claim 1 further comprising:

disseminating the intra-day net asset value proxy for the fund on a continual basis throughout a trading day.

3. The method of claim 1 wherein the portfolio information is adjusted to reflect any transactions made on the prior trading day.

4. The method of claim 1 wherein the portfolio information is adjusted to reflect credits and debits attributable to the current trading day.

5. The method of claim 1 wherein the net asset value proxy calculation is executed within a trusted system.

6. The method of claim 5 wherein the trusted system comprises physical hardware and an operating system configuration in which domain configuration and trust relationships are established to control access to information in the trusted system.

7. The method of claim 6 wherein the relationship established in the trusted system denies access to the decrypted portfolio file outside of the calculation process.

8. The method of claim 1 further comprising:

populating a table with security positions comprising a security identifier for each security position and quantity of the shares of each of the security positions held in the fund.

9. The method of claim 8 further comprising:

continually receiving quotes from a quote feed; and

determining whether a currently received quote corresponds to a security in the table.

10. The method of claim 8 further comprising:

calculating a new value of a security position in the table as of the trading day by retrieving data comprising a number of shares in the position and multiplying the number of shares by the current quote for the security.

11. The method of claim 10 further comprising:

replacing a prior value for the position in that security in the table; and

calculating a new fund net asset value proxy by taking the sum of the values of the current positions in all of the securities in the table and dividing that sum by the total number of shares outstanding in the fund.

12. The method of claim 1 further comprising:

disseminating the intra-day net asset value proxy for the fund on a periodic basis throughout a trading day.

24. The method of claim 1, further comprising testing for evidence of tampering with software, hardware, or data files or access by unauthorized persons.

13. A computer program product for determining an intra-day net asset value proxy for an actively managed exchange traded fund-comprising instructions for causing a computer to:

electronically receive a file having adjusted portfolio security position information in the actively managed exchange traded fund in an encrypted format;

decrypt the file having the adjusted portfolio information to provide a table having the actively managed exchange traded fund security positions;

check the file having the adjusted portfolio information by

electronically calculating a value of the portfolio based on the closing prices of the securities in the portfolio as of the previous trading day; and

electronically comparing the calculated value of the portfolio based on the closing prices of the securities in the portfolio as of the previous trading day with a published net asset value of the portfolio as of the close of the previous trading day;

electronically calculate the intra-day net asset value proxy for the actively managed exchange traded fund by applying prices received from a quote feed to the security positions in the table, wherein the security positions of the actively managed exchange traded fund are kept confidential.

14. The computer program product of claim 13 further comprising instructions for causing a computer to:

disseminate the intra-day net asset value proxy for the fund on a continual basis throughout a trading day.

15. The computer program product of claim 13 further comprising instructions to cause the computer to:

adjust the portfolio information to reflect any transactions made on the prior trading day.

16. The computer program product of claim 15 wherein the portfolio information is adjusted to reflect credits and debits attributable to the current trading day.

17. The computer program product of claim 13 further comprising instructions to:

populate the table with fund positions including a security identifier for each security position and quantity of shares of each security position held in the fund.

18. The computer program product of claim 17 further comprising instructions to:

receive quotes from a quote feed; and

determine whether a currently received quote corresponds to a security position in the table.

19. The computer program product of claim 18 wherein for a security position in the table, instructions to calculate further comprise instructions to cause the computer to:

calculate a new value of the security position as of a current trading day by retrieving a number of shares in the position and multiplying the number of shares by the current quote for the security;

replace a prior value for the security position in the table; and

calculate a new fund net asset value proxy by taking the sum of current values in all of the securities in the table and dividing that sum by the total number of shares in the table.

22. The system of claim 18 wherein the computer program product further comprises instructions for causing the trusted system to:

disseminate the intra-day net asset value proxy for the fund on a continual basis throughout the trading day.

25. The computer program product of claim 13, further comprising instructions for causing a computer to test for evidence of tampering with software, hardware, or data files or access by unauthorized persons.

20. A system for determining an intra-day net asset value proxy for an actively manned exchange traded fund, comprising:

a trusted computer system comprising physical hardware and an operating system configuration in which domain configuration and trust relationships are established to control access to information in the trusted system; and

a computer readable media storing a computer program product for determining the intraday net asset value proxy for the actively managed exchange traded fund, said program comprising instructions for causing the trusted system to;

decrypt a file having adjusted portfolio security position information in the actively managed exchange traded fund to provide the security positions in the actively managed exchange traded fund;

electronically check the file having the adjusted portfolio information by

electronically calculating a value of the portfolio based on the closing prices of the securities in the portfolio as of the previous trading day; and

electronically comparing the calculated value of the portfolio based on the closing prices of the securities in the portfolio as of the previous trading day with a published net asset value of the portfolio as of the close of the previous trading day;

electronically calculate the intra-day net asset value proxy for the actively managed exchange traded fund by applying prices received from a quote feed to security positions in the actively managed exchange traded fund portfolio, wherein the security positions of the actively managed exchange traded fund are kept confidential.

21. The system of claim 20 wherein the relationship established in the trusted system denies access to the decrypted portfolio file outside of the calculation process.

26. The system of claim 20, the program further comprising instructions for causing the trusted system to test for evidence of tampering with software, hardware, or data files or access by unauthorized persons.

23. A method of determining an intra-day net asset value proxy for an actively managed exchange traded fund comprising:

electronically receiving a file having adjusted portfolio security position information in the actively managed exchange traded fund in an encrypted format;

electronically decrypting the file having the adjusted portfolio information to provide the security positions in the actively managed exchange traded fund portfolio;

checking the file having the adjusted portfolio information by re-encrypting the adjusted portfolio information;

electronically sending the encrypted adjusted portfolio information to a portfolio management organization;

re-decrypting the re-encrypted adjusted portfolio information, and comparing the re-decrypted adjusted portfolio information with the adjusted portfolio security position information; and

electronically calculating the intra-day net asset value proxy for the fund by applying prices received from a quote feed to the security positions in the actively managed exchange traded fund portfolio;

wherein the security positions of the actively managed exchange traded fund are kept confidential.