JP2002342567A - Support system for verifying adequacy of fund reference price - Google Patents

Abstract

PROBLEM TO BE SOLVED: To assist a check on whether a computer reference price and its parameter are adequate. SOLUTION: According to bill dealing data of the day from a stock current price DB200, a bond current price DB300, and a daily balance DB400 and data from a trusting-side data storage device 40, an arithmetic part 11 computes reference prices of the day by funds, evaluated current prices by fund/stock, and evaluated current prices by fund/bond and then computes their variation rates from data of the previous day stored in an arithmetic management storage device 20. A variation rate evaluation part 13 decides whether the variation rates are within permissible variation rate ranges stored in a permissible variation rate storage device 30. A check list generation part 14 generates a list of variation rates equal to or exceeding the permissible variation rates. A data comparison part 15 compares data regarding the reference price from a trusting company stored in the trust-side data storage device 40 with data regarding a reference price that a trusted company itself generates and computes the difference and the check list generation part 14 generates a list of comparison results.

Description

DETAILED DESCRIPTION OF THE INVENTION

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to a support system for verifying the validity of an investment trust base price or the like in a securities transaction, and more particularly, to a system for calculating the investment trust base price in a securities transaction calculated by each of an investment trust management company and an investment trust management company. The present invention relates to a support system held by at least one of an investment trust management company and an investment trust management company to support validation.

[0002]

2. Description of the Related Art Investment trust base price (hereinafter "base price")
Is calculated with extreme caution because investors buy and sell units the next day based on their prices. Therefore, the NAV is calculated by both the investment trust management company (hereinafter referred to as “trusted company”) and the investment trust management company (hereinafter referred to as “trusted company”). It is publicized through the media such as newspapers and TV. The base price is calculated based on the following formula and published. Base value = (Asset (A)-Liability (B) + Valuation loss (C)) / Number of units (N) x Calculation unit However, the calculation unit is usually 10,000 units.

[0003] The base price is often based on instructions from the consignor, and the basic data for processing is often the same between the consignor and the trustee. A base value calculated based on the formula, and parameters in the above formula for calculating the base price (ie, assets, liabilities, valuation gains and losses, units)
Is usually a match. However, there are various types of data input by the operator, and they may not match. Also, if the basic data transmitted from the trustee company to the trustee company contains an error, even if the base value matches between the trustee company and the trustee company,
It does not reflect the actual price.

[0004] When either the base value or the total net asset (= asset−liability + valuation gain / loss) calculated by the trustee and the trustee does not match, the trustee and the trustee have:
The daily schedule is checked for assets, liabilities, profits and losses, and profits by subject, and the fair values of stocks, bonds, foreign investment accounts, etc. are checked. Such matching is performed verbally by a person in charge of the trust company and the trustee company using a telephone line, and is continued until all the parameters on the right side in the above equation match, thereby matching the base prices. .

[0005]

By the way, the time zone in which market price data such as stocks and bonds necessary for calculating the base price can be obtained is around 16:00. It is necessary to match the reference value and its calculation parameter between the trust company and the trust company by about 18:00. Therefore, it is necessary to calculate and match the base price etc. in a short time based on a huge amount of securities transaction data, and if one or both of the consignment company and the consignment company causes clerical errors, etc. Inconsistency occurs in the base price and the like. If there is a discrepancy, the volume of securities transaction data is enormous, requiring a great deal of effort to find out where the mistake has occurred, and in some cases, delays in publication via the media etc. There is.

The present invention has been made in view of such conventional problems, and has as its object to determine whether a calculated reference value and a parameter value for calculating the reference value are appropriate. Is to be easily checked.

[0007]

Means for Solving the Problems In order to achieve the above-mentioned object, the present invention provides a method for supporting verification of the validity of an investment trust base value in a securities transaction calculated by each of an investment trust trust company and an investment trust trust company. In the support system held by at least one of the investment trust management company and the investment trust management company, the investment trust base value of each fund, the valuation market value of each combination of fund and stock, and the valuation market value of each combination of fund and bond on the day First calculating means for calculating, and at least the investment trust base value for each fund, the valuation market value for each combination of fund and stock, and the valuation market value for each combination of fund and bond calculated on the previous day calculated by the first calculation means. A first storage means, a fund reference value for each fund on the day and the day before, a valuation market value for each combination of fund and stock,
And the valuation market value of each combination of fund and bond,
Second calculating means for calculating each of these fluctuation rates;
Second storage means for storing a preset investment trust base value for each fund, a valuation market value for each combination of fund and stock, and an allowable fluctuation rate of a valuation market value for each combination of fund and bond, and a second operation The rate of change of the investment trust base value of each fund, the rate of change of the valuation market value of each combination of fund and stock, and the rate of change of the valuation market value of each combination of fund and bond calculated by the means are stored in the second storage means. And a volatility evaluation means for evaluating whether the volatility is within the range of the corresponding permissible volatility, an investment trust base value for each fund whose volatility is equal to or higher than the permissible volatility, a valuation market value for each fund and stock combination, It is characterized by comprising a first list creating means for creating a list of evaluation market values for each combination of a fund and a bond.

[0008] The support system according to the present invention further includes, if the support system is provided in an investment trust trust company (or an investment trust trust company), for each fund communicated from the investment trust trust company (or the investment trust trust company). Data comparing means for comparing data on the investment trust base price with the investment trust base price calculated for each fund in the support system to determine whether or not they match each other, and a reference price control list showing the result of comparison by the data comparing means And a second list creating means for creating the list. Thereby, data comparison can be performed automatically.

[0009]

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS FIG. 1 shows the configuration of a support system (investment trust base value check system) 100 for verifying the validity of an investment trust base price according to the present invention. In FIG.
200, 300, and 400 are external databases (D
B), a stock market price DB (for example, a DB for Nikkei Quick, Newsletter etc.) storing stock market value data and bond market value data in actual securities transactions provided by an external trader, and a bond market price DB (for example, , Japan Mutual Securities, Reuters, etc.) and the daily total DB 400.

[0010] The investment trust base value check system 100 includes:
An arithmetic / management device 10 operated by a computer program is provided. The device 10 includes an arithmetic management storage device 20, an allowable change rate storage device 30, a reference price data storage device (consignment data storage device) 40. , An input device 50 such as a keyboard and a mouse, a display 60, and a printer 70 are connected. Arithmetic / management device 10
Is a functional block diagram of an external stock market DB 20
0, the market value data retrieved from the bond market value DB 300 and the daily total DB 400 and stored in the operation management storage device 20, and the trust side transmitted from the trust company (when this system is provided in the trust company) Data storage device 4
Operation unit 1 that performs an operation based on the data stored in 0
1, an allowable change rate setting unit 12, a change rate evaluation unit 13, a check list creation unit 14, and a commissioned / contracted data comparison unit (data comparison unit) 15. Operation management storage device 20
As described above, the data transferred from the stock market price DB 200, the bond market price DB 300, and the daily total DB 400 are stored, and the calculation result calculated by the calculation unit 11 is also stored.

The calculation unit 11 calculates a reference price for each fund based on the data stored in the calculation management storage device 20 and the entrusted data storage device 40, and calculates a rate of change of the reference price. It has a function of calculating the fluctuation rate of the stock market value for each fund-stock (each combination of fund and stock) and a function of calculating the fluctuation rate of the bond market value for each fund-bond (each combination of fund and bond). I have.

The base value of each fund calculated by the calculation unit 11 is, as described above, base value = (asset (A) −liability (B) + valuation loss (C)) / unit (N) × unit of calculation Is calculated by The rate of change of the reference price for each fund calculated by the calculation unit 11 is calculated as follows. Fluctuation rate (%) = (base price on creation base date−previous base price) / previous base price × 100 That is, the change rate is stored in the operation management storage device 20 between the present (creation base date) and the last ( The difference between the base prices on the last day before and the base date before creation is divided by the previous base price and expressed as a percentage. The volatility of the market value of each fund and stock and the volatility of the market value of each bond and fund
The calculation is performed in the same manner as the change rate of the reference price.

The allowable change rate setting unit 12 displays on the display 60 a screen for inputting an allowable change rate for each calculation unit of the base price, the stock market value, and the bond market value. The permissible fluctuation rate for each unit is
It is stored in the allowable variation rate storage device 30. The permissible change rate is
Although it is appropriately changed due to market fluctuations or the like, it is set based on statistical data, for example, as exemplified below. Permissible volatility of the base price ・ Additional equity fund: 5% ・ Additional public and corporate bond fund: 1% ・ Unit type equity fund: 5% ・ Unit type public and corporate bond fund: 1% ・ Specific fund with large fluctuation: 9% Permissible volatility-25% regardless of brand Permissible volatility of market value of bonds-Government bonds: 0.2%-Convertible bonds: 3.0%-General bonds other than convertible bonds: 1.0%-Euro yen bonds : 0.5%

The fluctuation rate evaluation unit 13 calculates a fluctuation rate for each operation unit (base value for each fund, stock market value for each fund and stock, and bond market value for each fund and bond) calculated by the operation unit 11, and Set and allowed fluctuation rate storage device 3
Compare with the corresponding permissible change rate stored in 0.
When the change rate of the calculation result exceeds the allowable change rate, an excess mark for indicating the change rate, for example, “*” is added in association with the change rate of the calculation unit and stored in the calculation management storage device 20. I do. The checklist creation unit 14 reads out the calculation result with the excess mark “*” from the calculation management storage device 20 and creates a change rate checklist. The created change rate check list is stored in the operation management storage device 20, is displayed on the display 60, and is printed out from the printer 70 as necessary.

The volatility checklist includes a “base price volatility checklist”, a “stock market price volatility checklist”, and a “bond market price volatility checklist”. It is preferable that these change rate check lists are arranged in the order of the highest change rate. If necessary, funds that do not exceed the allowable volatility may be listed. In this case, the fund with the allowable volatility exceeding may be marked with an excess mark “*”.

The "standard price change rate check list" is created for each consignor, and as shown in FIG. 2, "fund code and fund name", "fund type", "(current day) standard price", " This includes the “previous base value”, “change amount”, “change rate”, “permissible change rate”, and “previous calculation date”. The “Market Price Fluctuation Checklist” is created for each consignment company and, as shown in FIG. 3, “Fund Code and Fund Name”, “Stock Code and Brand Name”, “Current Date / Contract Price”, “Previous Day” Market price / current price ”,“ rate of change ”,
Includes “Difference” and “Accounting date and transaction type”. The “bond market price volatility checklist” is created for each consignor, and as shown in FIG. 4, “fund code and fund name”, “bond type code and bond type”, “brand code and brand name”, It includes “current date / contract price”, “previous date / current date”, “rate of change”, and “difference”. In the checklists illustrated in FIGS. 2 to 4, only funds and issues whose volatility is equal to or higher than the permissible volatility are listed.

The data comparing section 15 compares the data relating to the reference price of each fund calculated by the computing section 11 and the data relating to the reference price of each fund sent from the consignment company and stored in the consignment side data storage device 40. In contrast, funds whose data do not match are extracted. Based on the result, the checklist creation unit 14 creates a “reference value collation list”, and displays the list 60 and / or the printer 7.
Output from 0. As shown in FIGS. 5 to 7, for example, as shown in FIGS. 5 to 7, “fund code and fund name”, “total net assets”, “remaining units”, “asset-liability ( AB), “base price”, “churn price”, “purchase price”, “base / day-over-day”, “open principal”, “purchase / day-over-day”, “stock +
Warrants, futures and options,
Includes "foreign investment accounts", "public bonds" and "mother trusts". "Equity + Warrants", "Futures / Options", "Foreign Exchange", "Foreign Investment Account", "Public and Corporate Bonds",
And “Mother Trust” are data on valuation gains and losses.

The “reference value collation list” shown in FIG.
The calculation results of the trustee company and the trustee company match, but the net assets do not match. The mismatch between the net assets indicates that the valuation gains and losses on the bonds are different. The “reference value collation list” illustrated in FIG. 6 indicates that the reference value and the net asset match, but the asset-liability (AB) does not match. The reason for this is that the valuation gain / loss (valuation gain / loss of “stock + warrant” and “public / corporate bond”) does not match. The “reference value collation list” shown in FIG. 7 indicates that the reference values match, but the net assets differ. And
This indicates that the asset-liability (AB) is mismatched.

When the data comparing unit 15 finds that the data between the trust company and the trust company is inconsistent, as shown in the "reference value matching list" in FIGS. 14 is instructed to create a “variation rate checklist” (FIGS. 2 to 4), whereby the checklist is output from the display 60 and / or the printer 70. For example, when the reference prices themselves are different, a “reference price change rate check list” as shown in FIG. 2 is output. If the valuation gains and losses on the bonds are different as shown in FIG.
The bond price fluctuation rate checklist as shown in (1) is output. As shown in FIGS. 6 and 7, asset-liability (A
If the valuation gain / loss is different from that of -B), the “share market price volatility checklist” and the “bond market price volatility checklist” as shown in FIGS. 3 and 4 are output.

The person in charge can review the output of the change rate check list, for example, in order of increasing the possibility that the data has an error, for example, in order of increasing the change rate, to review the data. As a result, a data entry error, invalidity of data from the consignment company, and the like can be quickly found, and data on the reference price can be quickly matched between the consignment company and the trustee company.

Reference value check system 1 according to the present invention
The flow of processing executed in 00 will be described with reference to FIG. First, in step S <b> 1, a person in charge uses the input device 50 based on the function of the allowable change rate setting unit 12 and sets the allowable change rate (fund) for each calculation unit that is set in advance and stored in the allowable change rate storage device 30. Base value for each,
(Evaluation market value of each fund-stock, and permissible fluctuation rate of evaluation value of each fund-bond)), and change these permissible fluctuation rates as necessary. Then, in step S2, the securities transaction data of the day and the data stored in the entrusted data storage device 40 are read from the stock market price DB 200, the bond market price DB 300, and the daily total DB 400, and the calculation unit 11 is executed based on these data. Calculates the base value of each fund, the valuation market value of each fund-stock, and the valuation market value of each fund-bond on the day, and stores the result in the calculation management storage device 20. Note that the arithmetic management storage device 20 stores the base value, fund-
It goes without saying that the valuation market value for each stock and the valuation market value for each fund-bond are also stored.

Next, in step S3, the operation unit 1
1 is based on the data of the current day and the previous day and stored in the operation management storage device 20 for each operation unit (a base value for each fund, a valuation market value for each fund-stock, and a valuation market value for each fund-bond). Is calculated, and the result is stored in the operation management storage device 20. Then, step S4
In, the fluctuation rate evaluation unit 13 determines whether each of the fluctuation rates obtained as a result of the calculation is within the range of the corresponding permissible fluctuation rate stored in the permissible fluctuation rate storage device 30, and An excess mark “*” is attached to a fluctuation rate that is out of the range of the rate. Next, in step S5, the checklist creation unit 14 performs the “standard price fluctuation rate checklist”, the “stock market price fluctuation rate checklist”, and the “bond market price fluctuation rate checklist” as shown in FIGS.
Is created and stored in the operation management storage device 20. At this point, the person in charge can display these change rate check lists on the display 60 and print out them from the printer 70. Thus, before collation with the data on the reference price from the trustee company, it is also possible to examine in advance whether the result calculated by the trustee company is appropriate.

Thereafter, in step S6, the data comparing section 15 compares the data relating to the reference price from the consignment company stored in the consignment-side data storage device 40 with the data relating to the reference price created by the consignment company itself. The difference is calculated. Then, in step S7, the check list creation unit 14 creates and outputs a comparison result as a reference price comparison list as shown in FIGS.
Next, when there is a data mismatch regarding the reference price in the output reference price control list, the change rate check list is read in step S8.

Thus, the person in charge can verify the validity of the data used in the calculation of the base price by the trustee company and the trustee company with reference to the base value control list and the change rate check list, As a result, the reference price calculated by each of the trustee company and the trustee company can be quickly matched with an appropriate price. As described above, before the comparison in the data comparing unit 15 in step S6, FIGS.
By outputting the change rate check list shown in FIG. 4, it is also possible to check whether the input data or the like on the trustee company side is appropriate. The above description has been made on the assumption that the investment trust reference value check system 100 according to the present invention is provided on the trustee company side. Investment trust base value check system 10 for both the trustee and trustee
By providing 0, it is possible to reach a reasonable match of the reference value more quickly.

As described above, the support system for verifying the validity of the investment trust base value according to the present invention provides a list of funds, fund-stocks, and fund-bonds whose volatility exceeds an allowable value, and / or displays the list. Since it can be printed out, it is possible to easily find an error such as an error in inputting data necessary for calculating the reference price. Therefore, in the case where the data relating to the reference price differs between the trustee company and the trustee company, the cause can be promptly determined, and the inconsistency of the data can be promptly resolved.

[Brief description of the drawings]

FIG. 1 is a block diagram showing a configuration of a support system for verifying the validity of an investment trust reference value according to the present invention.

FIG. 2 is a diagram showing an example of a reference price fluctuation rate check table calculated and created by the support system according to the present invention.

FIG. 3 is a diagram showing an example of a stock market price change rate check list calculated and created by the support system according to the present invention.

FIG. 4 is a diagram showing an example of a bond market price fluctuation rate check list calculated and created by the support system according to the present invention.

FIG. 5 is a diagram showing an example of a reference price collation list created by the support system according to the present invention and showing a result of comparing data on the trust company side and the trust company side.

FIG. 6 is a diagram showing an example of a reference price collation list created by the support system according to the present invention and showing a result of comparing data on the trust company side and the trust company side.

FIG. 7 is a diagram illustrating an example of a reference price collation list created by the support system according to the present invention and showing a result of comparing data on the trust company side and the trust company side.

FIG. 8 is a flowchart showing a flow of processing executed by the support system according to the present invention.

Claims (2)

[Claims] Claims: 1. A support system owned by at least one of an investment trust trust company and an investment trust trust company for supporting verification of the validity of an investment trust reference value in a securities transaction calculated by each of the investment trust trust company and the investment trust trust company. The first calculation means for calculating the investment trust base value of each fund, the valuation market value of each combination of fund and stock, and the valuation market value of each combination of fund and bond on the day; and the day before calculated by the first calculation means Investment fund base value for each fund, valuation market value for each combination of fund and stock,
A first storage means for storing at least a valuation market value of each fund and bond combination; an investment trust base value of each fund on the day and the day before; a valuation market value of each fund and stock combination; and a valuation market value of each fund and bond combination A second calculating means for calculating each of these fluctuation rates based on the valuation market value; and a preset investment trust base value for each fund, a valuation market value for each combination of fund and stock, and a combination for each combination of fund and bond. Second storage means for storing an allowable fluctuation rate of the valuation market price of the fund, a fluctuation rate of an investment trust base value for each fund calculated by the second calculating means, a fluctuation rate of a valuation market value of each combination of fund and stock, and A change rate evaluation means for evaluating whether or not a change rate of the evaluation market value for each combination of the fund and the bond is within a range of a corresponding allowable change rate stored in the second storage means; Investment fund base value for each fund whose rate is equal to or greater than the allowable volatility,
A support system comprising: first list creation means for creating a list of evaluation market prices for each combination of a fund and a stock and evaluation markets for each combination of a fund and a bond. 2. The support system according to claim 1, wherein
If the support system is provided by an investment trust management company (or an investment trust management company), the support system further includes data on the investment trust base value for each fund transmitted from the investment trust management company (or the investment trust management company). Data comparison means for comparing the investment trust base value of each fund calculated in the system to determine whether or not they match each other, and creation of a second list for creating a reference price control list representing the comparison result in the data comparison means And a support system.