Systems and methods for contingency net asset value pricing

Patent metadata

Field	Value
Publication number	US-2019392520-A1
Application number	US-201916452016-A
Country	US
Kind code	A1
Filing date	Jun 25, 2019
Priority date	Jun 25, 2018
Publication date	Dec 26, 2019
Grant date	—

Abstract

Systems and methods for contingency NAV pricing are disclosed. In one embodiment, in an information processing apparatus comprising at least one computer processor, a method for contingency Net Asset Value (cNAV) pricing may include (1) receiving a daily Net Asset Value (NAV) for a fund and performance data for a plurality of benchmarks; (2) selecting one of the plurality of benchmarks that has a benchmark performance that is similar to a fund performance of the fund for a period of time; (3) determining a correlation factor between the fund performance and the selected benchmark performance; and (4) calculating a cNAV based on a prior day's NAV for the fund, a movement for the selected benchmark, and the correlation factor in response to a daily NAV for the fund being unavailable.

First claim

What is claimed is:

1 . A method for contingency Net Asset Value (cNAV) pricing, comprising:
in an information processing apparatus comprising at least one computer processor:
receiving a daily Net Asset Value (NAV) for a fund and performance data for a plurality of benchmarks;
selecting one of the plurality of benchmarks that has a benchmark performance that is similar to a fund performance of the fund for a period of time;
determining a correlation factor between the fund performance and the selected benchmark performance; and
calculating a cNAV based on a prior day's NAV for the fund, a movement for the selected benchmark, and the correlation factor in response to a daily NAV for the fund being unavailable.

2 . The method of claim 1 , wherein the selected benchmark comprises one of an index and a commonly-traded instrument.

3 . The method of claim 1 , wherein the selected benchmark comprises one of the S&P 500 Index, the Dow Jones Industrial Average, the Hang Seng Index, the Nikkei 225 Index, the FTSE 100 Index, and the DAX Index.

4 . The method of claim 1 , wherein the step of reconciling the cNAV with the current NAV when the current NAV for the fund is available comprises:
comparing the current NAV and the cNAV; and funding or debiting an account associated with the fund based on the comparison.

5 . The method of claim 1 , wherein the benchmark performance is based on a NAV of the benchmark.

6 . The method of claim 1 , wherein the fund performance is derived from movements in the fund's NAV.

7 . The method of claim 1 , wherein the fund performance and the benchmark performance are compared over a period of time.

8 . The method of claim 1 , further comprising:
reconciling the cNAV with a current NAV when the current NAV for the fund is available.

9 . The method of claim 8 , further comprising:
funding or debiting an account based on a difference between the cNAV and the current NAV.

10 . A system for contingency Net Asset Value (cNAV) pricing, comprising:
a first source of a daily Net Asset Value (NAV) for a fund; a second source of a performance data for a plurality of benchmarks; and a backend comprising at least one computer processor, wherein:
the backend receives the daily NAV for a fund from the first source;
the backend receives the performance data from the second source;
the backend selects one of the plurality of benchmarks that has a benchmark performance that is similar to a fund performance of the fund for a period of time;
the backend determines a correlation factor between the fund performance and the selected benchmark performance; and
the backend calculates a cNAV based on a prior day's NAV for the fund, a movement for the selected benchmark, and the correlation factor in response to a daily NAV for the fund being unavailable.

11 . The system of claim 10 , wherein the selected benchmark comprises one of an index and a commonly-traded instrument.

12 . The system of claim 10 , wherein the selected benchmark comprises one of the S&P 500 Index, the Dow Jones Industrial Average, the Hang Seng Index, the Nikkei 225 Index, the FTSE 100 Index, and the DAX Index.

13 . The system of claim 10 , wherein the backend further:
compares the current NAV and the cNAV; and funds or debits an account associated with the fund based on the comparison.

14 . The system of claim 10 , wherein the benchmark performance is based on a NAV of the benchmark.

15 . The system of claim 10 , wherein the fund performance is derived from movements in the fund's NAV.

16 . The system of claim 10 , wherein the fund performance and the benchmark performance are compared over a period of time.

17 . The system of claim 10 , wherein the backend reconciles the cNAV with a current NAV when the current NAV for the fund is available.

Assignees

• Jpmorgan Chase Bank Na

Inventors

• Fetrat Farhad
• Patil Amit
• Gokhale Jayant V
• Chernovetsky Eugene
• Puricelli Ii David
• Trivett Kirk
• Barry Mary-Frances
• Brakoniecki Mark
• Burgess Samantha
• Krishnaswamy Shankaran
• Kosaraju Sreeram C
• Wolski Wojtek
• Shanahan Alec
• Gandhi Sunita

Classifications

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title