Data Processing for an Exchange Traded Fund

Abstract

An accounting system allows posting transactions to a general ledger of an Exchange Traded Fund. The accounting system includes a computer-assisted process that nets subscription and redemption orders that occurred over a particular time (e.g., one day) and records a transfer of securities into or out of the fund based on the net of the subscription and redemption orders.

1 . A machine-implemented method for accounting for in-kind transactions of an Exchange Traded Fund, the method comprising:
 netting subscription transactions and redemption transactions that occurred over a particular time; and   recording a transfer of securities into or out of the fund based on the net of the subscription and redemption transactions that occurred over the particular time.   
     
     
         2 . The method of  claim 1  further comprising:
 selecting securities held by the fund for redemption based on the cost basis of the securities held by the fund if there is a net redemption of shares of the fund. 
 
     
     
         3 . A machine-implemented method for accounting for in-kind transactions that occur in an exchange traded fund, the method comprising:
 receiving orders to acquire one or more creation units over a particular time period, wherein each acquisition order represents a transfer of a basket of securities into the fund;   receiving orders to redeem one or more creation units over the particular time period, wherein each redemption order represents a transfer of a basket of securities out of the fund; and   recording an in-kind transaction based on the net number of orders to acquire and redeem creation units.   
     
     
         4 . A machine-implemented method for selecting one or more lots of a security held by an exchange traded fund, the method comprising:
 receiving an order to transfer a lot of a security out of the fund;   ranking lots of the security held by the fund based on the tax liability of each lot; and   selecting one or more lots of the security based on whether the trade order is an order to sell the security or an order to redeem the security.   
     
     
         5 . The method of  claim 4  wherein selecting one or more lots of the security based on whether the trade order is an order to sell the security or redeem the security comprises:
 determining whether the order is an order to sell the security or redeem the security; 
 if the order is an order to redeem the security, then selecting one or more lots of the security having the lowest cost basis. 
 
     
     
         6 . The method of  claim 5  further comprising:
 if the order is an order to sell the security, then selecting one or more lots of the security having the least tax liability. 
 
     
     
         7 . The method of  claim 4  further comprising:
 recording a selected lot of the security as a transaction. 
 
     
     
         8 . A machine-implemented method for selecting a lot of securities held by an exchange traded fund, the method comprising:
 receiving an order to transfer a lot of a security out of the fund;   ranking lots of the security held by the fund based on the tax liability of each lot; and   selecting one or more lots of the security based on whether the trade order is an order to sell the security or redeem the security.