Method and system for managing exchange traded funds using an intraday indicative value

A nontransitory computer-readable medium, having instructions recorded thereon which, when executed on a computing system, cause the computing system to perform a method for calculating an intraday indicative value of an exchange traded fund (“ETF”), the method comprising:

• determining, by the computing system, an intraday change in value of the at least one derivative product included in the ETF, the ETF also including at least one fixed-income security;
• retrieving, by the computing system, an accumulated value of the at least one derivative product, wherein the accumulated value includes a gain or loss of the at least one derivative product during a previous trading day;
• and
• determining, by the computing system, the intraday indicative value of the ETF based on:
• the accumulated value of the at least one derivative product;
• and
• the intraday change in value of the at least one derivative product.

A system for calculating an intraday indicative value (IIV) of an exchange traded fund (“ETF”), the system comprising:

• a communication device configured to receive an intraday indicative value (IIV) file, the IIV file comprising:
• an intraday change in value of at least one derivative product;
• a daily accumulated change in value of the at least one derivative product, wherein the daily accumulated change includes a gain or loss of the at least one derivative product during a previous trading day;
• and
• cash equivalent amounts;
• and
• a computing device configured to:
• calculate an intraday ETF value by summing:
• the intraday change in value of the at least one derivative product;
• the daily accumulated change in value of the at least one derivative product;
• and
• the cash equivalent amounts;
• and
• divide the intraday ETF value by a total number of shares outstanding to obtain a current intraday per share value of the ETF.

A computer system, comprising:

• a computing processor configured to:
• process data for share creation and redemption and near-real time share valuation for an Exchange Traded Fund (“ETF”) that invests in at least one derivative product and at least one equity security;
• and
• create an intraday indicative value (“IIV”) file for the ETF based on the data processed, the IIV file comprising an accumulated change in value of the at least one derivative product in which the ETF invests, wherein the accumulated value includes a gain or loss of the at least one derivative product during a previous trading day;
• a publication processor configured to:
• publish the IIV file to an authorized participant such that the authorized participant can utilize the IIV file to calculate an intraday indicative value of the ETF;
• and
• an order processor configured to receive a request to create or redeem a block of shares in the ETF.

A computer system, comprising:

• a computing processor configured to:
• process data for share creation and redemption and near-real time share valuation for an Exchange Traded Fund (“ETF”) that invests in at least one derivative product and at least one fixed-income security;
• and
• create an intraday indicative value (“IIV”) file for the ETF based on the data processed, the IIV file comprising an accumulated change in value of the at least one derivative product in which the ETF invests, wherein the accumulated value includes a gain or loss of the at least one derivative product during a previous trading day;
• a publication processor configured to:
• publish the IIV file to an authorized participant such that the authorized participant can utilize the IIV file to calculate an intraday indicative value of the ETF;
• and
• an order processor configured to receive a request to create or redeem a block of shares in the ETF.

A nontransitory computer-readable medium, having instructions recorded thereon which, when executed on a computing system, perform a method for calculating an intraday indicative value of an exchange traded fund (“ETF”), the method comprising:

• retrieving an intraday current value for equity securities included in the ETF;
• calculating an intraday change in value of at least one derivative product included in the ETF;
• retrieving a daily accumulated change in value of the at least one derivative product, wherein the daily accumulated change includes a gain or loss of the at least one derivative product during a previous trading day;
• determining the intraday indicative value of the ETF by combining:
• the intraday current value for the equity securities;
• the daily accumulated change in value of the at least one derivative product;
• and
• the intraday change in value of the at least one derivative product;
• comparing the intraday value of the ETF to a current market price of the ETF;
• and
• identifying one or more intraday arbitrage opportunities based on the comparison,
• wherein the equity securities include at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund.

A system for calculating an intraday indicative value (IIV) of an exchange traded fund (“ETF”), the system comprising:

• a communication device configured to receive an intraday indicative value (IIV) file, the IIV file comprising:
• (a) an intraday current value for equity securities included in the ETF;
• (b) a notional value of at least one derivative product included in the ETF;
• (c) a daily accumulated change in value of the at least one derivative product, wherein the daily accumulated change includes a gain or loss of the at least one derivative product during a previous trading day;
• and
• (d) cash equivalent amounts;
• and
• a computing device configured to:
• (i) calculate an intraday change in value of the at least one derivative product;
• (ii) determine an intraday indicative value of the ETF by combining:
• the intraday current value for the equity securities;
• the daily accumulated change in value of the at least one derivative product;
• and
• the intraday change in value of the at least one derivative product;
• (iii) compare the intraday indicative value of the ETF to a current market price of the ETF on a per share basis;
• and
• (iv) identify one or more intraday arbitrage opportunities based on the comparison,
• wherein the equity securities include at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund.

A nontransitory computer-readable medium, having instructions recorded thereon which, when executed on a computing system, perform a method for calculating an intraday indicative value of an exchange traded fund (“ETF”), the method comprising:

• retrieving an intraday current value for equity securities included in the ETF;
• calculating an intraday change in value of at least one derivative product included in the ETF;
• retrieving a daily accumulated change in value of the at least one derivative product, wherein the daily accumulated change includes a gain or loss of the at least one derivative product during a previous trading day;
• and
• determining the intraday indicative value of the ETF by combining:
• the intraday current value for the equity securities;
• the daily accumulated change in value of the at least one derivative product;
• and
• the intraday change in value of the at least one derivative product,
• wherein the equity securities include at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund.

A system for calculating an intraday indicative value (“IIV”) of an exchange traded fund (“ETF”), the system comprising:

• a communication device configured to:
• receive an IIV file, the IIV file comprising:
• (a) an intraday current value for equity securities included in the ETF;
• (b) a notional value of at least one derivative product included in the ETF;
• (c) a daily accumulated change in value of the at least one derivative product, wherein the daily accumulated change includes a gain or loss of the at least one derivative product during a previous trading day;
• and (d) cash equivalent amounts;
• and
• a computing device configured to:
• (i) calculate an intraday change in value of the at least one derivative product;
• and
• (ii) determine an intraday indicative value of the ETF by combining:
• the intraday current value for the equity securities;
• the daily accumulated change in value of the at least one derivative product;
• and
• the intraday change in value of the at least one derivative product,
• wherein the equity securities include at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund.

A computer system for calculating an intraday indicative value (“IIV”) of an exchange traded fund (“ETF”), the computer system comprising:

• a communication processor configured to receive an intraday indicative value (“IIV”) file, the IIV file comprising:
• a closing value for equity securities included in the ETF;
• an accumulated value of at least one derivative product in which the ETF is invested, wherein the accumulated value includes a gain or loss of the at least one derivative product during a previous trading day;
• and
• a computing processor configured to determine an intraday indicative value of the ETF based on intraday value information regarding the at least one derivative product,
• wherein the intraday value information regarding the at least one derivative product comprises the accumulated value of the at least one derivative product and an intraday change in value of the at least one derivative product, and
• wherein the equity securities include at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund.

A nontransitory computer-readable medium, having instructions recorded thereon which, when executed on a computing system, cause the computing system to perform a method for calculating an intraday indicative value of an exchange traded fund (“ETF”), the method comprising:

• retrieving, by the computing system, intraday performance information regarding the equity securities included in the ETF;
• determining, by the computing system, an intraday change in value of at least one derivative product included in the ETF;
• retrieving, by the computing system, an accumulated value of the at least one derivative product, wherein the accumulated value includes a gain or loss of the at least one derivative product during a previous trading day;
• and
• determining, by the computing system, the intraday indicative value of the ETF based on:
• the intraday performance information regarding the equity securities;
• the accumulated value of the at least one derivative product;
• and
• the intraday change in value of the at least one derivative product,
• wherein the equity securities include at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund.

A computer system, comprising:

• a computing processor configured to:
• process data for share creation and redemption and near-real time share valuation for an exchange traded fund (“ETF”) that invests in at least one derivative product;
• and
• create an intraday indicative value (“IIV”) file for the ETF based on the data processed, the IIV file comprising an accumulated change in value of the at least one derivative product in which the ETF invests, wherein the accumulated value includes a gain or loss of the at least one derivative product during a previous trading day;
• and
• a publication processor configured to:
• publish the IIV file to an authorized participant such that the authorized participant can utilize the IIV file to calculate an intraday indicative value of the ETF,
• wherein the ETF also invests in at least one equity security, the at least one equity security including at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund.

A nontransitory computer-readable medium, having instructions recorded thereon which, when executed on a computing system, perform a method for calculating an intraday indicative value of an exchange traded fund (“ETF”), the method comprising:

• calculating, by the computing system, an intraday change in value of at least one derivative product included in the ETF;
• retrieving, by the computing system, a daily accumulated change in value of the at least one derivative product, wherein the daily accumulated change includes a gain or loss of the at least one derivative product during a previous trading day;
• calculating, by the computing system, a net asset value of the ETF by summing:
• the daily accumulated change in value of the at least one derivative product;
• the intraday change in value of the at least one derivative product;
• and
• an estimated cash amount;
• and
• dividing, by the computing system, the net asset value of ETF by a total number of shares outstanding to obtain a current intraday indicative value per share for the ETF,
• wherein the ETF further includes at least one equity security, the at least one equity security including at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund, and the method further comprises:
• retrieving, by the computing system, an intraday current value for the at least one equity security included in the ETF,
• wherein calculating the net asset value of the ETF includes summing:
• the intraday current value for the at least one equity security;
• the daily accumulated change in value of the at least one derivative product;
• the intraday change in value of the at least one derivative product;
• and
• the estimated cash amount, and
• wherein the estimated cash amount includes swap costs.

A computer system, comprising:

• a computing server configured to periodically create an intraday indicative value file (“IIV File”) for an exchange traded fund (“ETF”), the IIV File comprising:
• a notional value of at least one derivative product in which the ETF invests;
• an accumulated loss or gain of the at least one derivative product, wherein the accumulated value includes a gain or loss of the at least one derivative product during a previous trading day;
• and
• other cash equivalent amounts;
• and
• a publication server configured to periodically publish, over a network, the IIV File, such that an authorized participant can use the IIV File to calculate an intraday indicative value of the ETF,
• wherein the ETF invests in at least one equity security, the at least one equity security including at least one of a share of a stock, a share of a mutual fund, or a share of another exchange traded fund, and
• wherein the IIV file includes an intraday current value for the at least one equity security.