Profund Advisors LLC

William E Seale

Taeyong Lee

TaeYong Lee

A computer implemented method, system, and software for calculating and using an intraday indicative value of a leveraged Bullish or Bearish exchange traded fund ('ETF') for arbitrage purposes, includes calculating an intraday current value of all the equity securities in the ETF (applicable only to Bullish ETFs), calculating mark to market gains or losses of at least one derivative product, and retrieving an accumulated loss or gain of the at least one derivative product and other cash equivalent amounts. The intraday indicative value of the ETF is determined by combining the calculated intraday current value of all the equity securities (applicable only to Bullish ETFs), the accumulated loss or gain, the mark to market gains of the at least one derivative product and other cash equivalent amounts. The determined intraday value of the ETF is used, by a party, for arbitrage purposes.

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

A computer system is provided. The computer system includes 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. The computing processor is also configured to create an intraday indicative value ('IIV') file for the ETF based on the data processed, the IIV file including an accumulated change in value of the at least one derivative product in which the ETF invests. The accumulated value includes a gain or loss of the at least one derivative product during a previous trading day. The computer system further includes 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.

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Annapolis, MD, United States of America

William E Seale