Patent ID: 11055778

Abstract:
An apparatus and method is provided for modeling and generating basket data for non-transparent exchange-traded funds (ETFs) for share creation and redemption. Portfolio data, including start of day positions for the ETF and trading information for trades executed by a fund management computer (FMC) during the trading day, is transmitted from the FMC to a basket modeling application computer (BMA). The BMA receives, stores and electronically time-stamps the portfolio data in the native FMC format, and captures, decrypts, stores, and time-stamps encrypted T−1 basket data and creation order data from a primary market trading computer (PMTC) in native PMTC format, this data including creation orders executed by the PMTC during the trading day. The BMA technically validates and transforms the data to form a composite image of the ETF portfolio, applies a set of rules to generate today's basket data (T basket), and disseminates the T basket.