Electronic Collateral Management System and Method

Abstract

A process for allocating specific assets from a pool of assets to secure a liability. Information concerning each of the assets in the pool of assets is received from at least two sources. A set of validation rules is applied to the information for each asset in the pool of assets and those assets which do not meet the validation rules are rejected. A price is assigned to each non-rejected asset. A subset of the non-rejected assets is allocated to the liability as a function to collateralize the liability.

1 - 21 . (canceled) 
     
     
         22 . A computer-implemented process for pre-allocating and allocating specific assets from a pool of assets to secure a liability, the process comprising:
 storing in at least one database, information related to a pool of assets, a financial profile, and trade information concerning a trade, said financial profile indicating collateralization preferences of an investor;   performing, by a processor, the operations of:
 receiving the information concerning each of the assets in the pool of assets; 
 receiving trade information concerning a trade; 
 receiving a set of validation rules, price assignment parameters, classification rules, and allocation rules from a financial services company; 
 modifying said set of validation rules, price assignment parameters, and classification rules, and allocation rules according to the financial profile; 
 applying said modified validation rules to the information for each asset in the pool of assets and to the trade information before allocating the subset of the non-rejected assets as collateral for the liability and rejecting those assets which do not meet the validation rules; 
 assigning a price to each non-rejected asset according to said modified price assignment parameters; 
 classifying the non-rejected assets in the pool of assets into grades according to said modified classification rules; 
 pre-allocating the subset of the non-rejected assets to the liability as a function of the assigned prices, classified grades, and the modified allocation rules to collateralize the liability; and 
 allocating non-rejected assets from a general pool to liabilities that have not been fully collateralized from said step of pre-allocating as a function of the assigned prices, the classified grades, and the modified allocation rules to collateralize the liability. 
   
     
     
         23 . The process of  claim 22 , wherein said financial services company is an investment bank and said financial profile is an investment profile. 
     
     
         24 . The process of  claim 22 , wherein the pre-allocation is further made as a function of the cumulative value of the assigned prices of the pre-allocated assets. 
     
     
         25 . The process of  claim 22 , wherein the pre-allocation is further made as a function of both the individual price assigned to each of the pre-allocated assets and the cumulative value of the prices assigned to the pre-allocated assets. 
     
     
         26 . The process of  claim 22 , wherein the pre-allocation is further made as a function of the individual prices assigned to the pre-allocated assets, the individual prices assigned to other non-rejected assets which are not pre-allocated, and the cumulative value of the prices assigned to the pre-allocated assets. 
     
     
         27 . The process of  claim 22 , wherein the pre-allocation is further made as a function of the individual price assigned to each pre-allocated asset. 
     
     
         28 . The process of  claim 22 , wherein the pre-allocation is further made as a function of the individual prices assigned to each pre-allocated asset and the individual prices assigned to other non-rejected assets which are not pre-allocated. 
     
     
         29 . The process of  claim 22 , wherein the grades are further divided into acceptable and non-acceptable grades and the pre-allocation is further made only from the acceptable grades. 
     
     
         30 . The process of  claim 22 , wherein the non-rejected assets in a given acceptable grade are further selected as a function of the prices assigned to the assets in that grade. 
     
     
         31 . The process of  claim 22 , wherein the non-rejected assets in any acceptable grade are further selected in the order of their assigned price from highest to lowest. 
     
     
         32 . The process of  claim 31 , wherein the acceptable grades include at least a first grade and a second grade and wherein the assets in the second grade are not selected until there are no non-rejected assets left in said first grade. 
     
     
         33 . The process of  claim 22 , wherein the acceptable grades include at least a first grade and a second grade and wherein the assets in the second grade are not selected until there are no non-rejected assets left in said first grade. 
     
     
         34 . A computer-implemented system for pre-allocating and allocating specific assets from a pool of assets to secure a liability, the system comprising:
 at least one database, the at least one database storing information related to a pool of assets, a financial profile, and trade information concerning a trade, said financial profile indicating collateralization preferences of an investor;   a master custodian computing system including at least one processor for performing the operations of:
 receiving the information concerning each of the assets in the pool of assets; 
 receiving trade information concerning a trade; 
 receiving a set of validation rules, price assignment parameters, classification rules, and allocation rules from a financial services company; 
 modifying said set of validation rules, price assignment parameters, and classification rules, and allocation rules according to the financial profile; 
 applying the modified validation rules to the information for each asset in the pool of assets and to the trade information before allocating the subset of the non-rejected assets as collateral for the liability and rejecting those assets which do not meet the validation rules; 
 assigning a price to each non-rejected asset according to said modified price assignment parameters; 
 classifying the non-rejected assets in the pool of assets into grades according to said modified classification rules; 
 pre-allocating the subset of the non-rejected assets to the liability as a function of the assigned prices, classified grades, and the modified allocation rules to collateralize the liability; and 
 allocating non-rejected assets from a general pool to liabilities that have not been fully collateralized from said step of pre-allocating as a function of the assigned prices, the classified grades, and the modified allocation rules to collateralize the liability. 
   
     
     
         35 . The process of  claim 34 , wherein said financial services company is an investment bank and said financial profile is an investment profile. 
     
     
         36 . The system of  claim 34 , wherein the pre-allocation is made as a function of the cumulative value of the assigned prices of the pre-allocated assets. 
     
     
         37 . The system of  claim 34 , wherein the pre-allocation is made as a function of both the individual price assigned to each of the pre-allocated assets and the cumulative value of the prices assigned to the allocated assets. 
     
     
         38 . The system of  claim 34 , wherein the pre-allocation is made as a function of the individual prices assigned to the pre-allocated assets, the individual prices assigned to other non-rejected assets which are not pre-allocated, and the cumulative value of the prices assigned to the allocated assets. 
     
     
         39 . The system of  claim 34 , wherein the pre-allocation is made as a function of the individual price assigned to each pre-allocated asset. 
     
     
         40 . The system of  claim 34 , wherein the pre-allocation is made as a function of the individual prices assigned to each pre-allocated asset and the individual prices assigned to other non-rejected assets which are not pre-allocated. 
     
     
         41 . The system of  claim 34 , wherein the grades are divided into acceptable and non-acceptable grades and the pre-allocation is made only from the acceptable grades. 
     
     
         42 . The system of  claim 34 , wherein the non-rejected assets in a given acceptable grade are selected as a function of the prices assigned to the assets in that grade. 
     
     
         43 . The system of  claim 34 , wherein the non-rejected assets in any acceptable grade are selected in the order of their assigned price from highest to lowest. 
     
     
         44 . A computer-implemented process for pre-allocating and allocating specific assets from a pool of assets to secure a liability in an electronic collateral management system, comprising:
 storing, in at least one database, information related to a pool of assets that change on a frequent basis, and a financial profile, said financial profile indicating collateralization preferences of an investor;   performing, by a processor, the operations of:
 assigning a first set of assets to collateralize a liability, the first set of assets being selected from the pool of assets; 
 receiving and updating, by a master custodian, information concerning each of the assets in the pool of assets; 
 receiving a set of validation rules, price assignment parameters, and allocation rules from a financial services company bank; 
 modifying said set of validation rules, price assignment parameters, and classification rules, and allocation rules according to the financial profile; 
 determining assets to be rejected by applying the set of modified validation rules to information for each asset in the pool of assets; 
 rejecting those assets which do not meet the validation rules; 
 determining a price for each non-rejected asset according to said modified price assignment parameters; 
 pre-allocating the non-rejected assets to the liability as a function of the determined prices and the modified allocation rules to collateralize the liability; 
 identifying a second set of assets by determining a subset of the non-rejected assets based on the assigned prices, such that the second set of assets are sufficient to collateralize liabilities that have not been fully collateralized from said step of pre-allocating; and 
 assigning the second set of assets to collateralize the liability.