Sistema de alocação comercial

Alocação de ativos.

O que é 'alocação de ativos'

A alocação de ativos é uma estratégia de investimento que visa equilibrar o risco e a recompensa, alocando os ativos de uma carteira de acordo com os objetivos de um indivíduo, a tolerância ao risco e o horizonte de investimento. As três principais classes de ativos - ações, renda fixa e caixa e equivalentes - têm diferentes níveis de risco e retorno, de modo que cada um se comportará de maneira diferente ao longo do tempo.

Fundo de alocação de ativos.

Alocação Estratégica de Ativos.

Através do Fundo.

QUEBRANDO "Alocação de Ativos"

Não existe uma fórmula simples que possa encontrar a alocação correta de ativos para cada indivíduo. No entanto, o consenso entre a maioria dos profissionais financeiros é que a alocação de ativos é uma das decisões mais importantes que os investidores tomam. Em outras palavras, a seleção de títulos individuais é secundária à maneira como os ativos são alocados em ações, títulos e caixa e equivalentes, que serão os principais determinantes dos resultados de seus investimentos.

Os investidores podem usar diferentes alocações de ativos para objetivos diferentes. Alguém que está economizando para um carro novo no próximo ano, por exemplo, pode investir seu fundo de poupança de carros em uma mistura muito conservadora de dinheiro, certificados de depósito (CDs) e títulos de curto prazo. Outra poupança individual para a aposentadoria que pode estar a décadas de distância normalmente investe a maior parte de sua conta de aposentadoria individual (IRA) em ações, já que ele tem muito tempo para superar as flutuações de curto prazo do mercado. A tolerância ao risco também é um fator importante. Alguém que não se sente confortável em investir em ações pode colocar seu dinheiro em uma alocação mais conservadora, apesar de um longo horizonte de tempo.

Alocação de Ativos Baseados na Idade.

Em geral, as ações são recomendadas para períodos de cinco anos ou mais. As contas do mercado monetário e monetário são apropriadas para objetivos a menos de um ano de distância. Obrigações caem em algum lugar no meio. No passado, os consultores financeiros recomendaram a subtração da idade de um investidor de 100 para determinar quanto deveria ser investido em ações. Por exemplo, um jovem de 40 anos seria 60% investido em ações. Variações da regra recomendam subtrair a idade de 110 ou 120, dado que a expectativa média de vida continua a crescer. À medida que os indivíduos se aproximam da idade de aposentadoria, os portfólios devem geralmente passar para uma alocação de ativos mais conservadora, de modo a ajudar a proteger os ativos que já foram acumulados.

Alcançar alocação de ativos através de fundos do ciclo de vida.

Os fundos mútuos de alocação de ativos, também conhecidos como ciclo de vida, ou data-alvo, são uma tentativa de fornecer aos investidores estruturas de carteira que abordam a idade do investidor, apetite de risco e objetivos de investimento com um rateio apropriado de classes de ativos. No entanto, os críticos dessa abordagem apontam que chegar a uma solução padronizada para alocar ativos de portfólio é problemático, porque os investidores individuais precisam de soluções individuais.

O Fundo Vanguard Target Retirement 2030 seria um exemplo de um fundo para datas-alvo. A partir de 2018, o fundo tem um horizonte temporal de 12 anos até que o acionista espere chegar à aposentadoria. Em 31 de janeiro de 2018, o fundo tem uma alocação de 71% de ações e 29% de títulos. Até 2030, o fundo mudará gradualmente para um mix 50/50 mais conservador, refletindo a necessidade individual de mais preservação de capital e menor risco. Nos anos seguintes, o fundo se move para 67% títulos e 33% de ações.

Interpretação:

Confirmação e Afirmação de Negociações de Valores Mobiliários; Coincidindo.

COMISSÃO DE SEGURANÇA E CÂMBIO.

17 CFR PARTE 241.

(RELEASE Nº 34-39829; ARQUIVO Nº S7-10-98)

CONFIRMAÇÃO E AFIRMAÇÃO DE NEGOCIAÇÕES DE VALORES MOBILIÁRIOS; COINCIDINDO.

AGÊNCIA: Comissão de Valores Mobiliários.

AÇÃO: Liberação Interpretativa; Pedido de Comentários.

RESUMO: A Comissão de Valores Mobiliários e Câmbio ("Comissão") está publicando sua interpretação de que um "& quot; matching & quot; serviço que compara as informações de negociação de valores mobiliários com uma corretora e com o cliente do corretor é uma função da agência de compensação. A Comissão também está solicitando comentários sobre duas abordagens possíveis para fornecer isenção do regulamento de agência de compensação completa para fornecedores de confirmação de comércio eletrônico qualificado (& quot; ETC & quot;) que se enquadram na interpretação da comissão de compensação porque fornecem um serviço de correspondência. .

DATAS: A interpretação contida na Seção III deste comunicado é efetiva (inserir data de publicação no Registro Federal).

Os comentários devem ser enviados em ou antes (inserir data de 60 dias após a publicação no Registro Federal).

ENDEREÇOS: As pessoas interessadas devem enviar comentários em triplicado para Jonathan Katz, Secretário da Securities and Exchange Commission, 450 5th Street, N. W., Washington, DC 20549-6009. Os comentários podem ser enviados eletronicamente no seguinte endereço de e-mail: rule-comments@sec. gov. Todas as cartas de comentário devem se referir ao Arquivo No. S7-10-98; este número de arquivo deve ser incluído na linha de assunto se o e-mail for usado. Todos os comentários recebidos estarão disponíveis para inspeção pública e cópia na Sala de Referência Pública da Comissão, 450 5th Street, NW, Washington, DC 20549. As cartas de comentários submetidas eletronicamente serão publicadas no site da Internet da Comissão (sec. gov).

PARA MAIS INFORMAÇÕES, CONTACTE: Jerry W. Carpenter, Subdiretora; Jeffrey Mooney, conselheiro especial; ou Theodore R. Lazo, advogado; em 202 / 942-4187, Escritório de Gestão e Controle de Riscos, Divisão de Regulamentação de Mercado, Securities and Exchange Commission, Washington, D. C. 20549.

INFORMAÇÃO SUPLEMENTAR:

Recentemente, a New York Stock Exchange ("NYSE"), a National Association of Securities Dealers ("NASD") e o Municipal Securities Rulemaking Board ("MSRB") (coletivamente "SROs") propuseram mudanças nas regras propostas de acordo com a Seção 19 (b) do Securities Exchange Act de 1934 ("Exchange Act") 1 para alterar suas regras referentes ao processamento pós-negociação de negociações executadas por seus membros. Os SROs & # 146; as regras atuais exigem que seus membros corretor-revendedor usem as facilidades de um depositário de títulos 2 para a confirmação eletrônica e afirmação de transações em que o corretor oferece pagamento contra pagamento ("DVP") ou recebimento contra pagamento (& quot; ; RVP & quot;) 3 privilégios para o seu cliente (& quot; regras de confirmação SRO & quot;). 4 Como uma questão prática, as regras de confirmação do SRO exigem que os corretores usem o sistema de Entrega Institucional ("ID") da Depository Trust Company ("DTC") porque é o único serviço de confirmação / afirmação oferecido por um depositário de valores mobiliários. 5 De acordo com as alterações propostas às regras de confirmação do SRO, os corretores terão permissão para usar entidades que não sejam agências de compensação registradas para confirmação e confirmação de transações RVP / DVP, desde que as entidades sejam fornecedores qualificados de ETC, conforme definido pelo SRO. regras. Um intermediário de fornecedor de ETC qualificado só transmitirá informações entre as partes de um negócio, e as partes confirmarão e confirmarão a exatidão das informações.

A Comissão entende que o próximo passo na evolução do processamento pós-negociação será o desenvolvimento de serviços de correspondência. & quot; Correspondente & quot; é o termo usado para descrever o processo pelo qual um intermediário reconcilia informações comerciais do corretor e seu cliente para gerar uma confirmação afirmada que é então usada para efetuar a liquidação do negócio.

A Comissão considera que a correspondência constitui uma função de agência de compensação na acepção da definição da agência de compensação nos termos da secção 3 (a) (23) do Exchange Act. 6 Especificamente, a correspondência constitui "comparação de dados respeitando os termos de liquidação de transacções de valores mobiliários". A Comissão conclui que a correspondência está tão intimamente ligada ao processo de compensação e liquidação que é diferente, não só em grau, mas também em espécie, do atual processo de confirmação e afirmação. O objetivo deste comunicado é buscar o comentário sobre o conceito de fornecer alívio de isenção por meio de registro como agências de compensação sujeitas a requisitos reduzidos ou através da concessão de uma isenção condicional de registro para fornecedores de EPT qualificados que fornecem um serviço de correspondência.

A. Processo de Confirmação e Afirmação.

O processo de confirmação / afirmação refere-se à transmissão de mensagens entre corretores, investidores institucionais e bancos custodiantes sobre os termos de uma negociação executada pelo investidor institucional. Como as negociações de investidores institucionais envolvem somas maiores de dinheiro, quantias maiores de títulos, mais partes e mais etapas entre a entrada de pedidos e a liquidação final, as negociações institucionais são geralmente mais complexas do que as transações de varejo.

1. Confirmação usando o sistema de identificação.

Os componentes típicos do & quot; lado do cliente & quot; A liquidação de um comércio institucional sob as atuais regras de confirmação do SRO estão ilustradas na Figura 1. 7.

Normalmente, um comércio institucional começará com o gerente de investimento da instituição fazendo um pedido com o corretor. Após o corretor negociar a negociação, o corretor informará a instituição dos detalhes da execução. Isso é comumente chamado de aviso de execução (etapa 1 da Figura 1). A instituição então aconselha a corretora sobre como o negócio deve ser alocado entre suas contas (etapa 2 da Figura 1). 8 O corretor-negociante submete então os dados de negociação ao DTC (etapa 3 da Figura 1).

Em seguida, o DTC adiciona a transação ao banco de dados comercial do sistema de identificação, atribui um número de controle de identidade e encaminha uma confirmação eletrônica para a instituição, o corretor, o agente de liquidação da instituição e outras partes interessadas (por exemplo, administradores, administradores de planos, ou bancos correspondentes) (passo 4 da Figura 1). A instituição revisa a confirmação da precisão. Se preciso, a instituição ou seu agente de afirmação designado afirma o comércio através do sistema de identificação (etapa 5 da Figura 1). O DTC gera então uma confirmação afirmada e envia-a ao corretor e ao agente de liquidação da instituição (passo 6 da Figura 1). 9 Neste ponto, a negociação é enviada ao sistema de liquidação da DTC (ou seja, o sistema de identificação não é um sistema de liquidação, pois nenhum dinheiro ou valores mobiliários circulam através dele) e deve ser autorizado pela parte obrigada a entregar os títulos. (ou seja, a parte vendedora) ou o agente de liquidação antes da liquidação ocorrer (etapas 7 e 8 da Figura 1). "Controle de Qualidade" envolve o monitoramento e a produção do DTC de vários relatórios para reguladores e usuários do sistema de identificação, que mostram coisas como quando uma confirmação foi enviada e a afirmação foi recebida (etapa 9 da Figura 1).

2. Confirmação Utilizando um Fornecedor ETC Qualificado.

Sob as mudanças propostas na regra do SRO, um fornecedor ETC qualificado pode ser usado para o processo de confirmação / afirmação. O corretor-negociante submete os dados de negociação para o fornecedor de EPT qualificado que gera e envia uma confirmação para a instituição (etapas 3 e 4 da Figura 1). Após revisar a confirmação, a instituição envia uma declaração ao corretor através das instalações do fornecedor de EPT qualificado (etapa 5 da Figura 1). Em algum ponto desse processo, o fornecedor ETC qualificado encaminha a confirmação ao DTC em um formato de sistema de identificação para que o DTC possa atribuir um número de controle de ID ao negócio. O DTC envia a confirmação com o número de controle de volta ao fornecedor ETC qualificado, e o fornecedor ETC qualificado fornece o número de controle ao corretor e à instituição. Após o recebimento da afirmação da instituição, o fornecedor ETC qualificado envia a confirmação afirmada com o número de controle de ID para o DTC no formato do sistema de identificação. Nesse processo, um fornecedor de EPT qualificado apenas transmite informações entre as partes do comércio e as partes verificam a exatidão das informações.

Os componentes da liquidação do lado do cliente de um comércio institucional através de um & quot; matching & quot; sistema são ilustrados na Figura 2.

& quot; Correspondente & quot; é o termo usado para descrever o processo pelo qual um intermediário compara a submissão de dados comerciais do intermediário (etapa 2 da Figura 2) com as instruções de alocação da instituição (etapa 1 da Figura 2) para determinar se as duas descrições do comércio . 10 Se os dados do comércio e as instruções de alocação da instituição coincidirem, é produzida uma confirmação afirmada (etapa 3 da Figura 2). Isso eliminaria as etapas separadas de produzir uma confirmação (etapa 4 da Figura 1) para a instituição revisar e afirmar (etapa 5 da Figura 1). Neste ponto, a negociação entra no processo de liquidação da DTC, mas deve ser autorizada pelo agente da parte cedente antes que ocorra a liquidação (etapas 4 e 5 da Figura 2). 11

III CORRESPONDÊNCIA COMO FUNÇÃO DE AGÊNCIA DE COMPENSAÇÃO.

A Seção 3 (a) (23) (A) do Exchange Act define uma agência de compensação como “qualquer pessoa que atue como intermediária na realização de pagamentos ou entregas, ou ambas relacionadas a transações de títulos ou que forneça recursos para comparação de dados respeitando os termos de liquidação de transacções de valores mobiliários, para reduzir o número de liquidações de transacções de valores mobiliários, ou para a atribuição de responsabilidades de liquidação de valores mobiliários. 12 A Seção 17A do Exchange Act e a Regra 17Ab2-1 abaixo exigem que qualquer pessoa que se dedique a qualquer uma dessas funções se registre na Comissão como órgão de compensação ou obtenha uma isenção de registro. 13

Com base no idioma, propósitos e políticas da Seção 3 (a) (23) e 17A, a Comissão conclui que um intermediário que captura informações comerciais de um comprador e um vendedor de títulos e realiza uma conciliação independente ou correspondência dessas informações é fornecendo facilidades para a comparação de dados dentro do escopo da Exchange Act, Seção 3 (a) (23). 14 Como resultado, o intermediário está desempenhando uma função de agência de compensação. Consequentemente, sob esta interpretação, somente uma entidade registrada como agência de compensação ou isenta de tal registro pode fornecer um serviço de correspondência.

O histórico legislativo das Emendas às Leis de Valores Mobiliários de 1975 ("Emendas de 1975") apóia essa interpretação estatutária, 15 incluindo os propósitos de estabelecer um sistema nacional de compensação e liquidação e o escopo de autoridade concedida à Comissão. Além disso, considerar que um serviço de correspondência é uma função de agência de compensação é consistente com os propósitos do regulamento da Lei de Câmbio do sistema de compensação e liquidação. O Congresso considerou o sistema de compensação e liquidação no início dos anos 70 como inadequado e, nas Emendas de 1975, ordenou à Comissão que facilitasse o desenvolvimento de um sistema nacional melhorado de compensação e liquidação. O Congresso articulou os objetivos deste sistema nacional na Seção 17A do Exchange Act, 16 e concedeu à Comissão a autoridade e responsabilidade de regular, coordenar e dirigir as operações de todas as pessoas envolvidas no processamento de transações de títulos visando o objetivo de um sistema nacional. o apuramento rápido e preciso e a liquidação de transacções de valores mobiliários. 17 O Congresso se recusou especificamente a abordar os méritos de qualquer sistema em particular ou a ditar a forma que um sistema nacional de compensação e liquidação deveria tomar. 18 Em vez disso, o Congresso reconheceu que "processamento de dados e tecnologias de comunicação" envolvidos nos processos de liquidação e liquidação continuariam a evoluir. 19 Consequentemente, a Comissão recebeu uma ampla autoridade sobre o sistema de compensação e liquidação e um amplo poder discricionário para determinar quais as atividades abrangidas pela função de agência de compensação que desencadeiam o requisito de registo como uma agência de compensação.

Na verdade, o processo de liquidação e liquidação para as transações institucionais evoluiu dramaticamente. Quando as Emendas de 1975 foram promulgadas, o processamento dos negócios institucionais foi realizado diretamente entre o corretor e a instituição com pouca ou nenhuma automação. Os SROs & # 146; As regras que exigem o uso de confirmação eletrônica e afirmação de negócios institucionais foram adotadas em resposta à crescente complexidade dos negócios institucionais e à necessidade de automatizar o processo. Hoje, o volume de negócios institucionais cresceu até um ponto em que eles agora respondem por uma grande parte da atividade comercial nos mercados de valores mobiliários norte-americanos. 20 Devido ao aumento do volume e da complexidade dos negócios institucionais, praticamente todos eles agora são processados ​​por meio de sistemas eletrônicos.

A correspondência está inextricavelmente interligada com o processo de liquidação e liquidação. Um fornecedor que forneça um serviço de correspondência comparará ativamente as informações de comércio e alocação e emitirá a confirmação afirmada que será usada na liquidação da transação. 21 Além disso, a correspondência aborda duas áreas que a Comissão e o setor de valores mobiliários consideram críticas para a manutenção de um sistema sólido de compensação e liquidação: reduzir os erros e reduzir o tempo de liquidação.

Como mencionado acima, a correspondência combina certas etapas no processo de confirmação e afirmação e, portanto, pode ajudar a reduzir erros. A correspondência efetiva também será essencial em qualquer esforço para encurtar o ciclo de liquidação. 22 Ao mesmo tempo, a correspondência concentra o processamento do risco na entidade que realiza a correspondência, em vez de dispersar esse risco de forma mais ampla para os corretores e seus clientes institucionais. Em particular, a correspondência elimina uma etapa de afirmação separada que permitiria a detecção de erros que poderiam atrasar a liquidação ou fazer com que a negociação falhasse. 23

Por conseguinte, a Comissão considera que uma entidade que fornece a correspondência teria um impacto significativo no sistema nacional de compensação e liquidação. O desmembramento da capacidade de um sistema emparelhar de comparar com precisão as informações comerciais de centenas de instituições e corretoras que envolvem milhares de transações e milhões de dólares em valores mobiliários pode resultar em uma falha sistêmica generalizada do sistema nacional de compensação e liquidação. . 24 Sem qualquer autoridade reguladora sobre os fornecedores correspondentes, a Comissão teria apenas uma capacidade limitada de se precaver contra tal falha. O Congresso concedeu à Comissão amplos poderes para estabelecer um sistema centralizado de regulamentação sobre o sistema nacional de compensação e liquidação, a fim de evitar que tal situação ocorra. 25 Tendo em conta o papel significativo desempenhado pelos serviços de correspondência e com o âmbito da definição, a Comissão considera que alguma forma de regulamentação é adequada para garantir o apuramento e a liquidação rápidos e exatos dos valores mobiliários. 26

IV. ABORDAGENS REGULAMENTARES POSSÍVEIS.

Embora os serviços de correspondência sejam abrangidos pela definição de agência de compensação, a Comissão considera, a título preliminar, que uma entidade que limita as suas funções de agência de compensação à prestação de serviços de correspondência não está sujeita à panóplia total do regulamento das autoridades de compensação. A Comissão tem ampla autoridade de isenção nos termos da Seção 17A. A Secção 17A (b) (1) autoriza a Comissão a isentar (condicional ou incondicionalmente) qualquer agência de compensação de qualquer disposição da Secção 17A se a Comissão considerar que tal isenção é consistente com o interesse público, a protecção dos investidores e os objectivos do Seção 17A.

Duas abordagens alternativas podem fornecer uma estrutura reguladora apropriada para entidades que fornecem recursos de correspondência: registro limitado ou isenção condicional. De acordo com qualquer uma das abordagens, apenas os requisitos regulamentares que a Comissão considera necessários e apropriados para alcançar os objetivos da Seção 17A seriam aplicáveis ​​a uma entidade que oferecesse uma facilidade correspondente. 27 A alternativa de registro limitada é um & quot; redimensionado & quot; abordagem, que registraria o provedor de serviços de correspondência como uma agência de compensação, ao mesmo tempo em que oferecia isenções dos requisitos de agências de compensação individuais. A alternativa de isenção condicional é um & quot; bloco de construção & quot; abordagem, o que isentaria a entidade do registo da agência de compensação, sujeito a condições adequadas. 28 De acordo com qualquer abordagem, a Comissão publicaria para comentários uma notificação do pedido do fornecedor de EPC qualificado para registo limitado ou isenção condicional, incluindo os termos propostos para o registo ou isenção, antes de aprovar o pedido. 29

A Comissão solicita aos comentadores & # 146; pontos de vista sobre se o registro limitado da agência de compensação ou a isenção condicional do registro das agências de compensação é a melhor alternativa para regulamentar os fornecedores de EPT qualificados que fornecem serviços correspondentes. Uma ou ambas as alternativas propostas fornecem um método prudente para garantir a segurança e solidez do sistema nacional de compensação e liquidação de transacções de valores mobiliários e o desenvolvimento contínuo de mecanismos de apuramento ligados e coordenados sujeitos a normas uniformes? De um modo geral, quais os requisitos da agência de compensação nos termos da Seção 17A (b) seriam necessários e apropriados para os serviços correspondentes, e quais não seriam? Existem outras alternativas através das quais a Comissão poderia manter a supervisão da correspondência por parte de fornecedores de CTE qualificados que assegurariam a segurança e solidez do sistema nacional de compensação e liquidação?

Lista de Assuntos em 17 CFR Parte 241.

Alteração do Código de Regulamentos Federais.

Pelos motivos expostos no preâmbulo, o Título 17, Capítulo II do Código de Regulamentações Federais é emendado conforme estabelecido abaixo:

PARTE 241 - LIBERTAÇÕES INTERPRETATIVAS RELACIONADAS À LEI DE CÂMBIO DE VALORES MOBILIÁRIOS DE 1934 E REGRAS GERAIS E REGULAMENTOS NESTE DOCUMENTO.

A parte 241 é emendada pela adição do Release No. 34-39829 e a data de lançamento de 6 de abril de 1998 para a lista de releases interpretativos.

WO2002003166A2 - Alocação de comércio - Patentes do Google.

Classificações

G & mdash; FÍSICA G06 & mdash; INFORMÁTICA; CALCULAR; CONTAGEM G06Q & mdash; SISTEMAS OU MÉTODOS DE PROCESSAMENTO DE DADOS, ESPECIALMENTE ADAPTADOS PARA EFEITOS ADMINISTRATIVOS, COMERCIAIS, FINANCEIROS, GERENCIAIS, DE SUPERVISÃO OU DE PREVISÃO; SISTEMAS OU MÉTODOS ESPECIALMENTE ADAPTADOS PARA FINS ADMINISTRATIVOS, COMERCIAIS, FINANCEIROS, GERENCIAIS, DE SUPERVISÃO OU DE PREVISÃO, NÃO FORNECIDOS DE OUTRA FORMA PARA O G06Q40 / 00 & mdash; Finança; Seguro; Estratégias tributárias; Processamento de impostos corporativos ou de renda G06Q40 / 06 & mdash; Investimento, por ex. instrumentos financeiros, gestão de carteiras ou administração de fundos G & mdash; FÍSICA G06 & mdash; INFORMÁTICA; CALCULAR; CONTAGEM G06Q & mdash; SISTEMAS OU MÉTODOS DE PROCESSAMENTO DE DADOS, ESPECIALMENTE ADAPTADOS PARA EFEITOS ADMINISTRATIVOS, COMERCIAIS, FINANCEIROS, GERENCIAIS, DE SUPERVISÃO OU DE PREVISÃO; SISTEMAS OU MÉTODOS ESPECIALMENTE ADAPTADOS PARA FINS ADMINISTRATIVOS, COMERCIAIS, FINANCEIROS, GERENCIAIS, DE SUPERVISÃO OU DE PREVISÃO, NÃO FORNECIDOS DE OUTRA FORMA PARA O G06Q40 / 00 & mdash; Finança; Seguro; Estratégias tributárias; Processamento de impostos corporativos ou de renda G06Q40 / 04 & mdash; Troca, e. ações, commodities, derivativos ou câmbio monetário G & mdash; FÍSICA G06 & mdash; INFORMÁTICA; CALCULAR; CONTAGEM G06Q & mdash; SISTEMAS OU MÉTODOS DE PROCESSAMENTO DE DADOS, ESPECIALMENTE ADAPTADOS PARA EFEITOS ADMINISTRATIVOS, COMERCIAIS, FINANCEIROS, GERENCIAIS, DE SUPERVISÃO OU DE PREVISÃO; SISTEMAS OU MÉTODOS ESPECIALMENTE ADAPTADOS PARA FINS ADMINISTRATIVOS, COMERCIAIS, FINANCEIROS, GERENCIAIS, DE SUPERVISÃO OU DE PREVISÃO, NÃO FORNECIDOS DE OUTRA FORMA PARA O G06Q40 / 00 & mdash; Finança; Seguro; Estratégias tributárias; Processamento de impostos corporativos ou de renda G06Q40 / 12 & mdash; Contabilidade.

Descrição.

Este pedido reivindica o benefício da data de depósito do número de série do pedido provisório US 60 / 215,158, intitulado & # 34; Alocação de Comércio & # 34; foi apresentado em 30 de junho de 2000.

ANTECEDENTES DA INVENÇÃO.

Nos mercados de negociação de ações e outros instrumentos financeiros, um comerciante pode comprar e vender instrumentos em nome de diversos clientes e / ou carteiras de investimento. Quando um trader realiza uma negociação, o número de instrumentos negociados pode não satisfazer uma demanda de negociação pendente para os clientes ou carteiras. Em tal situação, pode haver a necessidade de alocar os instrumentos que são negociados entre os clientes ou carteiras em espera. A alocação manual de um comércio pode ser um processo complexo e demorado. Consequentemente, a alocação automatizada por computador de uma negociação é desejável. Uma solução para a alocação de um instrumento negociado é incluir a funcionalidade em um sistema de gerenciamento de pedidos (OMS) para realizar a alocação comercial. No entanto, nos OMSs existentes, os recursos de alocação comercial podem estar ausentes ou inadequados. Uma solução para esse problema é modificar o software do OMS para adicionar recursos de alocação desejados. Na prática, tais modificações podem não ser viáveis. Por exemplo, o código de software para um OMS pode estar sob o controle de um fornecedor e não ser modificável, ou uma rede de negociação pode incluir uma variedade de OMSs diferentes e, devido a custos ou outras preocupações, a modificação de cada um dos OMSs pode não ser possível. Consequentemente, soluções de alocação de comércio não baseadas em OMS são desejáveis.

SUMARIO DA INVENÇÃO.

Em geral, em um aspecto, a invenção apresenta um método implementado por computador de alocação de uma negociação de instrumentos financeiros entre um grupo de carteiras. O método inclui receber uma mensagem descritiva de uma negociação de um instrumento financeiro. A mensagem pode incluir um identificador de instrumento financeiro e um tamanho do comércio. Uma coleção de carteiras é então identificada com base em uma correspondência entre as classes de risco associadas às carteiras e a classe de risco do instrumento financeiro negociado. A negociação é então alocada entre cada uma das carteiras com base em uma taxa de metas associada a cada carteira.

Em geral, em outro aspecto, a invenção apresenta um sistema de alocação comercial que inclui um sistema de computador tendo uma interface de rede sobre a qual as mensagens podem ser trocadas com um sistema de gerenciamento de pedidos. O sistema de computador também é acoplado a um primeiro banco de dados que armazena portfólios de associação de dados com classes de risco e índices de destino. Um segundo banco de dados armazena instruções para configurar o sistema para receber mensagens de sistemas de gerenciamento de pedidos. Cada mensagem pode incluir um identificador de instrumento financeiro, um tamanho da negociação e um identificador de classe de risco. As instruções também configuram o processador para consultar o primeiro banco de dados para determinar os portfólios que estão associados à classe de risco identificada de um negócio em particular, bem como para determinar uma taxa alvo para cada um dos portfólios. O processador então aloca a negociação entre cada um dos portfólios com base nas taxas alvo.

Implementações podem incluir um ou mais dos seguintes recursos. Um índice objetivo pode ser calculado para cada carteira com base no capital disponível em cada carteira e capital disponível em outras carteiras na mesma classe de risco. As carteiras podem incluir portfólios de múltiplas estratégias. Um portfólio multiestratégico está associado a duas ou mais classes de risco e, correspondentemente, dois ou mais índices alvo. A alocação a um portfólio de múltiplas estratégias pode se basear no índice de metas da classe de risco que corresponda ao do instrumento negociado.

Uma negociação pode ser alocada em múltiplos de um tamanho de lote predeterminado. A alocação pode resultar na geração de uma coleção de mensagens (por exemplo, uma para cada portfólio que recebe uma alocação do comércio). Cada mensagem identifica uma parte da negociação alocada a uma das respectivas carteiras. As mensagens de negociação geradas pelo sistema de gerenciamento de alocação podem então ser enviadas para um sistema de gerenciamento de portfólio.

As implementações também podem incluir recursos para corrigir negociações (e, correspondentemente, alocações comerciais). A correção de uma negociação pode incluir o recebimento de dados de correção comercial no sistema de gerenciamento de alocação. Os dados de correção comercial identificam uma negociação previamente alocada que deve ser corrigida. Um banco de dados de histórico de alocação de negociação pode ser consultado para identificar as proporções de destino que foram usadas para alocar a troca alocada anteriormente. Mensagens de correção de negociação podem ser geradas para cada carteira envolvida na alocação anterior, de modo a alterar a (s) alocação (ões) anterior (es). As mensagens de correção de negociação podem ser enviadas para um sistema de gerenciamento de portfólio. O sistema de gestão de carteiras também pode manter uma contabilidade dos instrumentos financeiros em cada carteira e do capital livre associado a cada carteira. Vários sistemas de gerenciamento de pedidos podem ser conectados ao sistema de gerenciamento de alocação usando uma interface de rede padrão e um protocolo de troca de mensagens (por exemplo, o protocolo FIX, um protocolo XML ou outro protocolo). Outros sistemas (por exemplo, sistemas de reconciliação contábil e de portfólio) também podem ser conectados ao gerenciador de alocação.

Os detalhes de uma ou mais formas de realização da invenção são apresentados nos desenhos anexos e na descrição abaixo. Outras características, objectos e vantagens da invenção serão evidentes a partir da descrição e desenhos, e das reivindicações.

DESCRIÇÃO DOS DESENHOS.

A Fig. 1 é um diagrama de arquitetura do sistema de alocação. A figura 2 é um diagrama de arquitetura do gerenciador de alocação.

DESCRIÇÃO DETALHADA DA INVENÇÃO.

O Allocation Manager (AM) é um componente do sistema de negociação que pode alocar automaticamente uma negociação de um instrumento financeiro entre vários portfólios de investimento. Por exemplo, um comerciante pode comprar 100 ações de uma ação & MYSTOCK & # 34; (um contador de ações fictício) e o Allocation Manager pode alocar automaticamente 60 ações dessa negociação em uma primeira carteira e as 40 ações restantes em uma segunda carteira. O gerente de alocação pode alocar uma negociação entre vários portfólios usando classificações atribuídas ao comércio e associadas a cada portfólio. Na implementação descrita no presente, o Gerente de Alocação realiza alocação comercial com base em uma classificação de risco (uma "classe de risco") que pode refletir uma estratégia de investimento associada a um portfólio. Outras classificações também podem ser usadas (por exemplo, classificações baseadas no comércio ou no tamanho da carteira, classificações baseadas no volume de negócios, classificações de segmentos da indústria, etc.).

O Allocation Manager pode ser implementado como um & # 34; middleware & # 34; componente que opera como uma interface entre outros componentes do sistema comercial. A Fig. 1 mostra uma arquitetura de sistema de negociação exemplar na qual o Allocation Manager 110 é implementado como um componente de middleware que, entre outras coisas, controla o fluxo de dados relacionados ao comércio entre um ou mais sistemas de gerenciamento de pedidos (OMSs) 101 (três OMSs mostrados) , um sistema de gestão de carteiras 102, um sistema de contabilidade 103, e sistema de reconciliação de atrades 104. Cada um destes sistemas 101-104 é discutido em maior detalhe, abaixo. À medida que os dados sendo comunicados entre os sistemas 101- 104 fluem através do Allocation Manager 110, o Allocation Manager 110 pode alterar esses dados para realizar operações de alocação comercial que dividem uma negociação entre várias carteiras. Por exemplo, o Gerente de Alocação pode receber dados do OMS 101 indicando que uma negociação ocorreu por trezentas ações da MYSTOCK e, com base em uma classificação atribuída a essa negociação, pode alocar as trezentas ações de ações entre duas ou mais carteiras. Outras operações relacionadas a negociações alocadas também são realizadas pela AM 110.

O Allocation Manager se comunica com outros sistemas 101-104 sobre as interfaces de mensagens 111-114. Interfaces 111-114 may be software-based interfaces implemented by software application procedure calls, messaging-based interfaces communicating data between different computer system, or other types of application programming interfaces (APIs). In some implementations, one or more of the interfaces 111-114 and systems 101-104 and 110 may be implemented in a single computer, while in other implementations, one or more of the interfaces 111-114 may couple different computers over a Local Area Network (LAN) or other network connection. Although the interfaces 111-114 are logically separated, the data exchanged at each of these interfaces may transmitted over a same physical interface device. Data exchanged over the interfaces 111-114 may be in the FIX format. FIX is a data exchange protocol used within the trading industry to communicate trade-related data. The interfaces 111-114 also may include alternative or additional APIs. For example, the FIX protocol may be supplemented, replaced, or encapsulated within extensible markup language (XML)-based data transfers that can be used to exchange data over the interfaces 111-114. The trading system components 101-114 and their respective interfaces 111-114 to the Allocation Manager are detailed below: Order Management Systems (OMSs) and QMS-AM Interface.

Order Management Systems (OMSs) 101 interact with traders to execute trades, assign classifications to those trades, and manages the flow of trades between traders. The Allocation Manager can interface with one or more OMS 101 through FIX messaging and/or other API messages exchanged over the interface 111. The non-FIX API communications can be used to access AM data that is not accessible by the FIX protocol (such as the Allocation Manager's default trade allocation percentages) while the FIX messages can be used to send Allocation Manager information about filled trades. The non-FIX API communications can be implemented using database queries based on the structured query language (SQL), the Javaв„ў Database Connectivity Protocol (JDBC), or the Open Database Connectivity (ODBC) protocol. Other data access protocols also can be used.

OMSs 101 may be built using commercially available components. For example, the El - Trader Java/CORBA based framework from InfoReach, Inc. may be used to build an OMS. Allocation Manager can receive FIX messages from the OMS detailing filled trades. Allocation Manager then allocates the filled trades according to business rules (explained below). Once the trade is allocated, a FIX message group is sent to the portfolio management system 102 detailing each allocated leg of the trade. In sending and receiving these FIX messages, Allocation Manager can use InfoReach, Inc.'s FIX Engine. This FIX engine consists of a collection of reusable Java class packages that provides for a multi-user, multi-threaded implementations of the FIX protocol. Portfolio Management System (PMS) and PMS-AM Interface.

The Portfolio Management System (PMS) 102 receives FIX messages identifying allocated trades from Allocation Manager (AM). A single trade entered at the OMS 101 and communicated to the AM 110 as a single message can result in multiple FIX messages being formed at the AM and sent to the PMS by the AM. Each of the messages in this group identifies a portion of the original trade (an "leg" of that trade) that is allocated to a particular portfolio. The PMS 102 may be implemented using commercially available components. Accounting System (AS) and AS-AM Interface 113.

The Accounting System (AS) 103 can track free capital and other data relevant to particular portfolios. This data may be exchanged between the AS and AM over an interface 113. Data provided by the AS to the AM can be used to establish the beginning-of-day capital positions for each portfolio as well as to transfer other financial and account information between the AS and AM. The Accounting System may be implemented using third-party accounting software such as the Geneva account system produced by Advent Software, Inc. The Geneva account system is a portfolio accounting system for global investors. The Geneva Accounting System provides open access to data via Microsoft Open Database Connectivity (ODBC) protocol and allows the use of industry-standard SQL-based reporting tools to access data. In a Geneva-based system, and depending on the classification data or other data required by a particular AM implementation, the data exchanged over the interface 113 may include data related to accounting, account activity, appraisal, inventory, ledger, management, parties, prices, statement, and transaction history data. Reconciliation System (RS) and RS-AM Interface.

The Reconciliation System (RS) 104 system provides account reconciliation data to the Allocation Manager. Reconciliation data may be used, e. g., to determine particular trading instruments to lock. Locked instrument data may be communicated to AM over the interface 114 and may be forwarded to OMSs 101 by the AM. The RS may be implemented using third-party software. For example, Recon software, available from Financial Models Company, Inc., may be used. Recon is a commercially available computer-based application that can work with other party's portfolio management systems and can automate reconciliation of transactions, holdings and/or cash balances between investment managers, custodians, broker/dealers and/or between internal sources.

Recon may receive data from a variety of Prime Brokers and aggregate this data to construct comprehensive trade view that will be compared to Accounting System 103 records to detect trade breaks. If a trade break is found, Recon will then send data to the Allocation Manager indicating broken trades. The Allocation Manager may use this data to determine the lock to imposed on various instrument. Exemplary Allocation Manager Implementation.

Fig. 2 shows a Common Object Request Broker Architecture (CORBA)-based implementation of an Allocation Manager CORBA is a vendor-independent software component and messaging architecture and infrastructure that computer applications can use to work together over networks. A CORBA-based software architecture, along with the use of the associated Internet Inter-Operability Protocol (HOP) standards, can facilitate communication between program independent of the type of computer, operating systems, programming language, and network in use by each program. The AM implementation 200 partitions functionality among a server 220 and a client 210 component. The server component 220 processes trade related data while the client component 210 can interact with the server component to monitor the operation of the server 220 and to configure the server's operation (e. g., by provisioning data, setting limits, etc.). The use of a CORBA-based architecture, as well as partitioning of AM functionality between separate server and client components, is optional. Other software architectures (e. g., a Microsoft Distributed COM or COM4- architecture or a proprietary architecture) may be used.

The Allocation Manager includes a database 222 that provides a central depository for trade data received from the OMSs and for jouraaling data about the allocated trades generated by the Allocation Manager. Data in database 222 also can serve as a repository for calculated allocation percentages, for intra-day instrument positions and for data used to audit allocation manager operations to detect errors and trade breaks. Database 222 may be an in-memory database (e. g., a data stracture in RAM memory), may be a relational database (e. g., a Oracle 8i, Informix, Microsoft SQL Server, or other relational database), or may be implemented using other data storage and retrieval functions.

Allocation Manager 110 can use the database 222 to track a number of different data items. These data items are used to perform, correct, and amend trades, as well as for operations, administration, maintenance, and provisioning (OAMP) functions and report generation. Data tracked in the database 222 can include data related to (i) allocated trades; (ii) overrides (i. e., all trades that are provided allocation ratios external to the AM application; (iii) target percentages based upon each unue portfolio and Risk Class combination; (iv) lock data identifying trades that result in a lock situation; (v) exception data identifying exception situations (e. g., when an override causes a long and short position in the same instrument across funds (or Risk Classes) or when reconciliation with the Prime Broker contains a trade break (i. e., Quantity Outs and Don't Knows)); (vi) amendment data (include data about all cancelled trades as well as the corrected trades. Cancels and corrects are linked using a reference ID number).

Examples of data that may be used by the Allocation Manager, and which can be stored in the database 222 follow:

• Allocation Percentage - An allocation percentage data field contains data identifying trade allocation ratios used by Allocation Manager to allocate a trade.

• Allocation Size - An allocation size data field contains data identifying a number of shares or contracts allocated to a portfolio and Risk Class.

• AM Identifier - The AM identifier data field contains an identifier assigned to legs of a trade that are formed by the Allocation Manager during the process of allocating an original trade to multiple portfolios (each allocated leg receives a unue AM ID which, in conjunction with an OMS ID, can be used to create a unue record.

• Buy/Sell Indicator - The Buy/Sell Indicator identifies the side of a transaction. Values may include, e. g., Buy, Sell, Sell Short, and Cover Short.

• Cancel/Correct Identifier - This field identifies whether the transaction is a cancel or a correct. The field is generated by a Trade Amendment Tool (TAT).

• Comments - When a trade is entered with an override allocation percentage, a trader may be prompted to enter a reason for the override. The comment field contains the entered reason and can be provided to Allocation Manager for review and/or for decision processing. Default Percentage — The Default Percentage field contains a default allocation percentage that Allocation Manager would have applied to an overridden trade if the trade had not been overridden.

Entity - This field identifies owning entity information associated with a fund.

Fund - The Fund field captures the structure of the fund and indicates if it is part of the.

Multi-strategy fund or if it is an independent strategy (e. g., convertible bonds, risk arbitrage, and relative value).

Instrument - The instrument field contains the symbol in which the trade was made.

Last Update - The Last Update field identifies a date when the target percentages last changed.

Lock Type — The type of lock imposed by Allocation Manager on a given trade. Values may include Hard Lock, Soft Lock, and Queue.

OMS Identifier - The OMS identifier is passed in a FIX message to Allocation Manager. It is a unue identifier assigned to a trade by an OMS.

Order Size - Provides the size of an original trade. This field does not contain any allocated amounts.

Override Percentage - The Override Percentage is the allocation percentage entered externally that overrides the Allocation Manager's allocation and rounding rules.

Risk Class - The Risk Class field identifies a risk classification associate with a trade or portfolio. For example, the Risk Class may indicate that a trade is to be allocated among convertible bond portfolios or among risk arbitrage portfolios.

Subtotal - The Subtotal field contains the aggregate total of percentages for the specific Risk.

Terminal Identifier - The Terminal identifier identifies a trading terminal from which the trade was input to an OMS. This data element is passed to Allocation Manager via the FIX message. In the case of an amendment or correction, the Terminal identifier may contains the machine name on which the target percentage was changed.

Time - A number of different time parameters may be recorded including, among others, the system time at which target percentages were changed; the time that a trade was entered into the OMS system or a change was entered; an the time at which a trade was filled. • Trade Date — The trade date indicates the date when a trade was filled.

• User Identifier - The User identifier is an identifier (e. g., a login name) of the user that input the trade into OMS. This is passed to Allocation Manager by a FIX message.

The database 222 may contain additional or alternative data. Furthermore, the foregoing data fields may be logically interrelated in database records and may appear at different places (i. e., in different database records and in different record types).

The AM processes data received from systems 101-104, as well as data in the database 222 using business rules. Each business rule includes logic used to control an allocation operation. The example business rules contained herein implement a trade allocation scheme whereby trades can be allocated based upon target percentages for opening transactions and closing ratios for closing positions. An AM can validate the side of the trade and also the position of the instrument being traded and determine if the trade is an opening or closing transaction. An AM also can determine the trade type identifier (e. g., buy, sell, sell short, cover short, and short against the box). Trades may be allocated among one or more portfolios and risk classes subject to the trader's discretion.

An AM can allocate trades among multiple portfolios based on free capital positions in each portfolio. These free capital positions are used to calculate target percentages that determine how a particular trade is allocated among multiple portfolios and risk classes. The free capital in a portfolio may be further subdivided based on one or more risk classes associated with the portfolio. Free capital data can be automatically obtained, e. g., by a data transfer over the interface 113 between the AM and the AS 103. In some implementations, free capital data also can be manually entered through an Allocation Manager interface.

An AM also may accept override trades from the OMS. An override trade contains trader-specified allocations of a traded instrument among various Risk Classes; the AM allocates an override trade according to the received allocation data (i. e., override trades may be used to inhibit automatic allocation functionality of the Allocation Manager). In processing an override trade (as well as during non-override trade processing), the Allocation Manager may implement validation functions to determine whether allocation of the traded instrument results in an error condition (e. g., a long and short position in the same instrument across funds). Data pertaining to an overridden trade can be logged with a flag indicating that the trade was overridden. In addition to overrides, an AM also may process corrections, amendments, and cancellations of trades. Allocation Manager can update its database of portfolio positions on canceling or correcting a trade.

Trades may be allocated to particular investment portfolios based on a risk class associated with the trade and with particular portfolios. In some cases, a particular investment portfolio may be associated with multiple different risk classes. Similarly, a single risk class may be associated with multiple different portfolios. In the following description, business rules (i. e., business logic) and processes that can govern a trade allocation process are further described. Target Ratios.

A trade may be allocated among portfolios in a risk class based on a set of target ratios.

Target ratios refer to the ratios at which positions can be opened within the various portfolios associated with a particular risk class. These ratios may be updated on demand (i. e., in real time) or at predetermined intervals (e. g., at the end of every month or quarter). For each risk class, a series of target ratios determining how trades assigned to that risk class are divided among investment portfolios. The target ratio for a given portfolio and risk class combination is defined as:

„, „ . Available Capital in Portfolio + Risk Class combination.

T arg etRatw = ВЈ.

Total Free Capital in Risk Class.

The target ratios for a particular risk class can be calculated based on the free capital available in each investment portfolio that is a member of that risk class. The ratios for each risk classes sum to 100%, thus ensuring that a trade is completely allocated among relevant portfolios.

In the disclosure that follows, Allocation Manager operations are explained using the six exemplary portfolios described in the following table:

Data in an Allocation Manager database can be used to identify one or more risk classes (e. g., a "Risk Arbitration" (RA) risk class or a "Long Converts" (LC) risk class) associated with each of these portfolios. In addition, the Allocation Manager can track the free capital amounts available in each portfolio. The following table identifies a set of example portfolios and their risk class(es) as well as the free capital amount for each portfolio / risk class combinations:

The Allocation Manager can determine the total free capital per risk class as follows:

• Total free capital in the risk arbitration (RA) risk class = 100+120+300+60 = 580.

• Total free capital in the long converts (LC) risk class = 200+80+400+40 = 720.

For portfolios associated with the RA risk class, the Allocation Manager calculates the target ratios as indicated in the following table:

For portfolios associated with the LC risk class, the Allocation Manager calculates the following target ratios:

Any given unue portfolio and risk class combination may have zero free capital available. In such a case, a target ratio does not need to be calculated for the portfolio as a default percentage of zero may be used. The Allocation Manager uses the latest calculated target ratios to allocate new trades. The Allocation Manager can also maintain a history of all updates to the target ratios in a database. This history information may be used, e. g., if a previous trade allocation must be rolled-back due to an error or other reason for amendment of a previous the trade.

Each portfolio can include one or more tradeable instruments. For example, a tradeable instrument may be publicly or privately traded stocks. For each instrument traded in each portfolio, the portfolio may contain a position that is either long (>0), short (<0) or flat (=0) with respect to that instrument. An allocated trade may create an opening position (i. e., a long or a short position) or a closing position in a particular fund. Allocation of a trade may differ depending on the type of position created. Allocating Opening Positions.

If a trade creates an opening position, Allocation Manager allocates the trade using the available target ratios (unless otherwise overridden). An opening position is defined as a trade that causes a flat or long position to go longer or a flat or short position to go shorter. For example, if the RA class of the LUX-MS has a flat position with respect to the stock MYSTOCK (a fictional stock ticker), a trade to buy 100 shares of a RA class stock MYSTOCK will create an opening position for MYSTOCK in the LUX-MS portfolio. An opening position also occurs where, e. g., a trade is made to sell 300 shares of MYSTOCK for LUX-MS that contains a short position (-100 shares) in MYSTOCK. The allocation amount on an opening position, therefore, will be calculated as follows:

AllocationAmount — TavgetRatio x TradeVolume.

Target Ratio = The opening position ratio as defined in the previous section TradeVolume = Instrument share amount from OMS.

Trades can be allocated across all risk classes associated with the given strategy of the trade. In some implementations, exceptions to this general allocation scheme may exist. One possible exception is an override. An override is a special case in which the trader decides to allocate a trade using different allocation percentages from the default percentages contained in Allocation Manager. For example, an override allows a trader to allocate 100% of an opening trade in a RA class stock MYSTOCK to CAY-MS instead of allowing the Allocation Manager to split the trade according to the AM's target percentages. Data entered by the trader at the OMS, and communicated to the Allocation Manager via a FIX message, can be used to instruct the Allocation Manager to perform this special-case allocation. Such special case processing is discussed in greater detail, below. Allocating Closing Positions.

A closing position is defined as a trade that decreases a long or short position. If the position is flat, the next trade regardless of whether it is a short sell or a buy, will be an opening position. If a trade creates a closing position in a portfolio, that trade may be allocated based on a portfolio's current position in that instrument relative to the position across funds. Examples of a closing position include:

• A trade is made to sell 100 shares of the RA risk class stock MYSTOCK in the LUX-MS portfolio when the LUX-MS portfolio contains a long position of MYSTOCK of 200 shares.

• A trade is made to buy 100 shares of MYSTOCK for the LUX-MS portfolio when the LUX-MS portfolio contains a short position of MYSTOCK of 300 shares (-300 shares). Closing a position in a fund relative to the total position in all the funds with similar risk classes ensures that as a position is closed, all funds approach a flat position in the particular instrument. This approach distributes the risk associated with the closing position across funds.

If the trade creates a situation where the position will go from long to short or from short to long then it is referred to as crossing the zero boundary, or a boundary trade. In this situation, Allocation Manager may first close (flatten) the position, using the closing position rules, then open a new position using the opening positions rules.

For a closing position, the close ratio is calculated as follows: CurrentRiskClassPosition.

TotalR iskClassPosition Where:

CurrentRiskClassPosition = Current position by Portfolio, risk class and.

Instrument prior to the trade TotalRiskClassPosition = Total position by Risk Class, and Instrument prior to the trade The allocation share amount can be derived by the Allocation Manager by a multiplication of the CloseRatio by the number of shares in the trade (i. e., trade volume). A equação é:

AllocationAmount — CloseRatio x TradeVolume Where:

TradeVolume = Instrument share amount from OMS For example, assuming that the current positions in MYSTOCK are held by the following funds:

A transaction to sell 1500 shares of MYSTOCK will be a closing positions transaction and will be allocated as follows:

LUX-RA/RA = [200/1500] * -1500 = -200.

LUX-MS/RA - [300/1500] * -1500 = -300.

CAY-RA/RA = [900/1500] * -1500 = -900.

CAY-RA/MS = [100/1500] * -1500 = -100.

If the transaction had involved a sell of 1000 shares, the allocated share amounts would equal -133.333, -200, -600, and -66.667, respectively. In some implementations, shares must be allocated in integer amounts and, in some cases, in particular sized lots (e. g., allocation may be in units of 100 shares and multiples thereof; ). Allocation Manager may invoke a set of rounding rules to avoid unwanted allocations of fractional shares and unwanted odd-lot allocations. Rounding rules are discussed further, below. Allocating Across Risk Classes.

In some implementations, an Allocation Manager may incorporate functionality to allocate trades across Risk Classes (e. g., a particular trade may be allocated across both the RA and LC risk classes). To do so, the Allocation Manager may separate an original trade into multiple trades designated for each Risk Class and then process the trades according to the prescribed allocation percentages.

For a multi-risk class trade (i. e., a multi-strategy trade), the different risk classes, and a percentage allocation of the trade into the different risk class, may be specified by a trader at an OMS interface. FIX message parameters may be used to communicate this risk class allocation from the OMS to the Allocation Manager. For example, the OMS may create a delimited string in a FIX message's custom field to identify the risk classes requested. Allocation Manager can parse this risk class identification string and create an allocation for each risk class identified. Other FIX custom data elements describing the selected risk class allocation would be delimited similarly. When a trade is allocated among multiple risk classes, FIX sequence numbers (i. e., the sequence numbers contained in the ExecID and ExecReflD) fields can be generated to track each of the allocated legs. In addition, operations to determine, validate, and handle allocation errors, as well as other transaction processing, may be repeated on a per-Risk Class basis. For example, Cancels and correct operations will be repeated for each of the different risk classes. Rounding Rules Allocation of a trade may cause a round lot trade to be broken into fractional shares (and contracts) and into odd lots. The Allocation Manager may avoid allocation by fractional shares or into odd lots using rounding rules. Rounding rules may be specific to certain types of instruments, risk classes, etc. For example, allocated equities may be rounded to a lot size of 100 shares, while options and futures may be rounded to 1 contract. In some cases, these limits are fixed, while in others they are user-definable (e. g., a user may set the minimum lot rounding size through a graphical user interface). Target and Closing Ratios.

The Allocation Manager ensures that target ratios and closing ratios add to 100% for each Risk Class. Rounding may result in a in which the sum of the target or closing ratios per Risk Class is not 100%. The Allocation Manager may implement rules to adjust ratios to 100%. The following are a set of example adjustment rules:

1. Calculate the difference between 100% and the sum of the rounded ratios.

2. Add the difference to the Entity, Fund, Risk Class with the greatest ratio (target or closing).

3. If two or more ratios are equal, the difference may be applied to one or more of those funds in a pre-designated order. For example, if both Multi-strategy funds (CAY-MS and LUX-MS) have equal ratios, the CAY-MS fund may receive the difference. If a Multi-strategy fund is not involved then a single strategy fund (e. g., CAY-RA, CAY-LC, LUX-RA, or LUX-LC) can receive the difference.

The following example illustrates application of the target ratio rounding rules. Each table demonstrates how the Allocation Manager application would allocate a trade based on the given free capital and position information.

Given the current free capital figures:

In this case, the sum of the rounded target ratios does not equal 100%, but rather 99.9%. The rounding rules may result in the additional .1% being added to the CAY-RA portfolio because the fund possesses the greatest amount of free capital (i. e., the fund possesses the greatest rounded target ratio).

Assume that LUX-RA portfolio receives a $1000 infusion of capital and the CAY-RA portfolio receives a $800 infusion of capital. The target ratios would adjust as follows:

In this case, the sum of the rounded target ratios does not equal 100%), but rather 99.9%), and the LUX-RA/RA fund and the CAY-RA/RA fund have the same amount of free capital (and rounded target ratios). In this case, assuming that precedence is given to the Cayman Island funds (CAY-RA, CAY-LC, CAY-MS), the Allocation Manager adds the additional .1% to the CAY-RA fund.

If an additional $980 were added to the LUX-MS/RA portfolio (i. e., the Risk Allocation portion of the multi-strategy LUX-MS portfolio), the ratios would be calculated as follows:

In this case, the sum of the rounded target ratios does not equal 100%>, but rather 99.9%. In addition, the LUX-RA fund, the LUX-MS/RA fund, and the CAY-RA fund all have the same amount of free capital (and rounded target ratios). In this case, the Allocation Manager may add the additional .1% to the LUX-MS/RA fund (assuming that Multi-Strategy funds have priority over risk-allocation-only funds). Opening Positions.

When Allocation Manager receives an opening trade that produces a fractional or odd lot allocation, the Allocation manger can employ rales to calculate the number of shares to apply to the respective funds. For example, the following rules may be used: AppliedAllocation = Where:

Allocation Amount = The Allocation_Amount value is the number of shares determined to be allocated to a particular portfolio and risk class. The Accocation_Amount value may be derived by multiplying the trade volume by the target ratio for an opening position or the close ratio for a closing position Round, LotSize = Round, LotSize represents a function that will round the Allocation Amount according to the minimum allowable rounding size (this size may be predetermined or configurable).

This opening position calculation is repeated for each portfolio having a risk class that matches the relevant trade's risk class. For example, assume that there is an opening trade of 1000 shares in MYSTOCK which is in the RA risk class, and that the current target ratios are as follows:

For a lot rounding size of 100, the Allocation Manager can allocate the trade as follows: LUX-RA/RA = Round, О№oo [.172 * 1000] = 172, round to 200 LUX-MS/RA = Round, loo [.207 * 1000] = 207, round to 200 CAY-RA/RA = Round, 100 [.518 * 1000] = 518, round to 500 CAY-MS/RA = Round, О№oo [.103 * 1000] = 103, round to 100 The allocated trades sum to 1000 shares, which equals the trade amount. In some cases, rounding the trades to lot sizes may result in under-allocation or over - allocation of a trade. For example, for a trade of 1200 shares of MYSTOCK, the following results may be obtained:

LUX-RA RA = Round,! oo [.172 * 1200] = 206.4, round to 200 LUX-MS/RA = Round, О№oo [.207 * 1200] = 248.4, round to 200 CAY-RA/RA = Round, io 0 [.518 * 1200] = 621.6, round to 600 CAY-MS/RA = Round, 100 [.103 * 1200] = 123.6, round to 100 The allocated trades sum to 1100, but the trade was for 1200. Differences arising between the allocated volume and the trade volume on an opening position will be applied to the portfolio and risk class with the greatest amount of free capital. If free capital is not updated in real time, the portfolio and risk class with the highest target ratio on an opening position may be considered to have the highest amount of free capital. In such a case, CAY-RA/RA will receive 100 shares of MYSTOCK to equate the allocation to the trade. CAY-RA/RA will, therefore, receive 700 (600+100) shares total. Trades of less than a round lot can be allocated to the fund with the greatest amount of free capital. If several funds have equal target ratios, the trade may be allocated based on the above preference mechanism (other preference mechanisms can also be used). Closing Positions.

Closing position trades may be rounded to the nearest unit. For example, assuming the current positions for MYSTOCK are as follows:

A transaction to sell 1000 shares of MYSTOCK will be a closing position transaction and will be allocated as follows:

LUX-RA/RA = [200/1500] * -1000 = -133.33, round to -133 LUX-MS/RA = [300/1500] * -1000 = -200, round to -200 CAY-RA/RA = [900/1500] * -1000 = -600, round to -600 CAY-RA/MS = [100/1500] * -1000 = -66.667, round to -67 Funds may, therefore, contain odd lots, but the risk in closing a position will be evenly disbursed to the funds in relation to the current amount of risk held by the fund. This proportionally reduces the position in each portfolio to zero, without creating a long and short position between portfolios. For example, if the MYSTOCK transaction were a sell of 1490, the allocation would be:

LUX-RA RA = [200/1500] * -1490 = -198.667, round to -199 LUX-MS/RA = [300/1500] * -1490 = -298, round to -298 CAY-RA/RA = [900/1500] * -1490 = -894, round to -894 CAY-RA/MS = [100/1500] * -1490 = -99.333, round to -99 This allocation would produce the following ending positions:

Portfolio Risk Class Position.

If two or more funds have the same position and closing ratio, differences in rounding may be allocated using rules that prioritize particular portfolios and/or risk classes.

In some implementations, closing transactions may be rounded using minimum rounding lot sizes. Special allocation rules may need to be applied when odd lot position exists in one or more of the funds (this situation may occur on an opening position as well when the positions are short). Assume, e. g., that the current positions for MYSTOCK are as follows:

A transaction to sell 1000 shares of MYSTOCK is a closing position transaction and can be allocated as follows:

LUX-RA/RA = [70/1000] * -1000 = -70, round to -100.

LUX-MS/RA = [300/1000] * -1000 = -300, round to -300.

CAY-RA/RA = [600/1000] * -1000 = -600, round to -600.

CAY-RA/MS = [30/1000] * -1000 = -30, round to 0.

As a result, the overall collection of portfolios being managed will contain long and short positions within the same risk class. This is shown in the following table:

This creation of both long and short positions may be considered erroneous. An validation procedure may be used to automatically rectify this allocation error by applying the short position to the long position to thereby flatten both positions. Zero Boundary Transactions.

Zero Boundary transactions are trades that cause an instrument's position to move from long to short or short to long.

When a trade (e. g., a sell transaction) results in change from a long to a short position, that trade is processed by the Allocation Manager as if it consist of both a closing transaction and an opening transaction. The closing portion of the transaction reduces the position in each fund to zero (i. e., flat). The opening portion of the transaction then creates a short position. Allocation Manager can process each portion of the transaction in accordance with the rules explained above. Similarly, a buy transaction that results in a change from a short to a long position is treated as consisting of both a closing transaction and an opening transaction. The closing transaction increases the position in each fund to zero (i. e., flat). The opening transaction then creates a long position. Amendments and Overrides.

An amendment to an allocated trade may be performed by a Trade Amendment Tool (TAT). The Trade Amendment Tool may be a facility of the OMS, or may be implemented as a separate system. To effect an amendment, a correction message is sent from the TAT to the Allocation Manager. The correction message may include a reference ID to identify the originally entered trade that is to be corrected. Allocation Manager can use the reference ID to match the correction to multiple allocated trades and submit a cancel message to the Accounting System. The correction may be allocated according to the original allocation percentages which may be obtained from a database storing a history of allocation percentages. When a correction changes the instrument, strategy, or quantity, the positions stored in Allocation Manager are correspondingly changed. If the user wishes to edit the percentages of the allocated legs, a trade can be canceled and a new trade entered through the TAT. When an override is entered, Allocation Manager executes validation routines to ensure that the override does not create an allocation error. If an error is created, the override may be automatically rejected. In some implementations, security features (e. g., password limited access) may restrict access to the TAT. For example, the TAT may be available to operations personnel, but not to traders.

Allocation Manager may accept overrides from OMS without applying the allocation and rounding rules. Validation of the override data may take place in OMS while Allocation Manager may determine if the trade meets required validation criteria. If the validation criteria are met, Allocation Manager will update its intra-day positions and send the trade to the risk management system. Automated Amendments.

In some implementations, amendments and corrections may be automatically generated or electronically received at an interface from, e. g., an interface to another broker's system (an external broker interface), electronic amendments may be processed similar to the amendments entered through TAT. Electronic amendments may be transmitted to the Allocation Manager on an intra-day basis. When a modification or correction message is received at an external broker interface, that message may be processed at the OMS. The OMS processing may include, e. g., locating the OMS ID that was assigned to the original trade. The original trade's data may be updated in the OMS database and a FIX message may be transmitted to the Allocation Manager to amend the trade. At the Allocation Manager, the electronic amendment message can be matched to the multiple allocated trades (using the OMS ID) and cancel messages generated for each allocated trade. The cancel messages are transmitted from the Allocation Manager to the Accounting System. Exception Processing.

Allocation exceptions may occur for a number of different reasons. When an allocation exception occurs, the Allocation Manager may "hard lock" the affected instrument. A hard lock prevents or limits further processing of trades in the affected instrument until the exception condition is resolved. Hard locks may be applied when, e. g., an override causes a long and short position in the same instrument across funds (or Risk Classes) or when reconciliation with an external broker contains a trade break. Processing of these two exceptions are discussed in greater detail in the following sections. Override Allocation Error.

Overrides are received from the OMS system and may occur for a variety of reasons. For example, overrides may be used to re-align the risk in a given portfolio and risk class with a current amount of free capital. This may occur, for example, following a large infusion of cash into a single fund that distorts the risk of a given position relative to the overall fund.

Overrides may be for either buys or sells and may be on either opening or closing positions. Overrides are sent from the OMS to the Allocation Manager as FIX messages containing data that specifically marks these messages as overrides. Processing of these override messages will, in general, bypass Allocation Manager allocation and rounding rules. When processing an override message, Allocation Manager determines if the override is valid relative to the current position of the instrument in a particular risk class. The override is valid if it does not create a long and short position in the same instrument across funds. If the override is valid, then the Allocation Manager will adjust its intra-day positions for this instrument and submit the trade to the portfolio management system 102.

If the override is invalid then Allocation Manager will flag the trade as an exception and reject the trade. Rejected trades must be investigated, fixed, and re-entered into TAT. Since this "trade" is not a cancellation or correction of a trade stored in Accounting System 103, it may be processed as a new trade. In some implementations, this trade may be flagged as an amendment, thus permitting it to pass through the Allocation Manager without being subject to a lock queue.

Rejected trades automatically create a lock and all trades in the particular instrument subsequent to the lock are queued. The locked trade and subsequent trades (in the same instrument) are not submitted to TPOS because subsequent allocations are based on the correct allocation of the locked trade (opening and closing trades are allocated differently). By locking on the instrument regardless of the Entity and Risk Class, the system protects the integrity of the allocations considering that the user may have entered the override trade's Risk Class incorrectly. The rejected trade is stored allowing operations to investigate the error and re-enter the trade through TAT. Only trades entered into TAT can pass by the locked queue since they possess an amendment flag that indicates that they are meant to amend a trade. In this case, an allocated Accounting System trade is not being cancel/corrected, but rather a new trade is being entered as an amendment to correct the rejected trade. This "amendment" will be submitted to TPOS if it is valid (i. e., does not create an error condition). When a rejected trade has been amended, operations will open the Lock Window and remove the instrument from the list of locked instruments. This action will automatically release in sequential order the queued trades for that instrument. The positions will be updated and the trader will process the allocations as intended.

Users may be notified via a standard mail API of an override allocation error. The e-mail addresses of the recipient(s) can be stored in the Allocation Manager database. Trade Break.

Trade breaks are caused when the reconciliation with a Prime Broker returns discrepancies. Trade breaks may be determined based on daily reports generated by the Reconciliation System and which containing trade breaks determined from the previous day's data. When the report is received, it is uploaded to the Allocation Manager with a flag indicating that trade breaks are to be created. Based on data in the Reconciliation System report(s), a lock on a particular instrament is created. Subsequent trades in the locked instrument may be queued in the order that they are received until the lock is removed. In general, a lock is removed following resolution of the trade discrepancy that resulted in the lock. If the trade requires an amendment, the user will use TAT to cancel/correct the trade. A lock may be removed when Allocation Manager receives a new Reconciliation System report. The new report can update trade breaks, thereby, removing a previous day's lock. User may be notified via a standard mail API of a soft lock situation. The e-mail addresses of the recipient(s) will be stored in the Allocation Manager database. Allocation Gaps.

Gaps within the allocation process may exist despite the implementation of hard locks. A first type of gap involves trade breaks. Trade breaks may be detected, e. g., the day after a break occurs. However, following a trade break, and prior to its detection, an incorrect trade may be allocated based on a current target or closing ratios. This trade will then impact the positions within the funds that it was allocated to. Subsequent trades in the same instrament will be allocated according to the new position percentages in the case of a closing transaction. If the previous trade was incorrect the closing transactions throughout the day will be improperly allocated. If there is a large volume of trades in the affected instrument, there may be difficulties in canceling trades subsequent to the break and reentering them after the trade correction is made. The Allocation Manager can include OAMP functionality allowing impacted transactions to be determined and enabling the generation of a report that isolates the impacted trades. This process helps to mitigate allocations based on inaccurate position data.

The second gap type occurs where the incorrect trade is identified on the day of its occurrence and is corrected using the TAT application. Although the trade can be cancelled and corrected, subsequent trades may have been allocated based on the assumption that the preceding trades (and, therefore, positions) were correct. Subsequent trades in the same instrament will be allocated according to an erroneous position in the case of a closing transaction. End of Day Processing.

At the end of the trading day, Allocation Manager can forward to the Reconciliation System a position file containing all instrament positions as of the close of the trading day. This position file may be compared to a position file generated by the Accounting System. A comparison of these different position files can be used to ensure that the Accounting System has received all allocated trades from Allocation Manager. If the position files disagree, operations can research the discrepancies and resolve the differences before the next day open. ID Specifications.

Allocation Manager (and the various systems that Allocation Manager ultimately interfaces with) can include functionality to track and identify unue trades. Trade tracking information can be used for other operations such as trade cancellation and correction. Each trade received from a particular OMS 101 can include a unue trade identifier that, in part, can be used by Allocation Manager to track trades. However, because OMS may independently assign trade identifiers, the Allocation manager may need to add additional identifier information to the OMS identifier (or may replace the OMS supplied identifier) to ensure that trade identifiers are unue across all trades from all OMSs. This helps to ensure that the particular OMSs from which a trade originated can be identified as trades flow through, e. g., the Accounting System 103, Portfolio Management System 102, and other trading systems. Furthermore, for allocated trades, additional information is added to the OMS identifier so that each allocated portion of the trade can be tracked. This additional information may be a "leg" identifier that, in combination with the OMS identifier, is unue for every allocated portion (i. e., for each allocated trade sent to the other trading systems 102-103)

The invention may be implemented in digital electronic circuitry, or in computer hardware, firmware, software, or in combinations of them. Apparatus of the invention may be implemented in a computer program product tangibly embodied in a machine-readable storage device for execution by a programmable processor; and method steps of the invention may be performed by a programmable processor executing a program of instructions to perform functions of the invention by operating on input data and generating output. The invention may advantageously be implemented in one or more computer programs that are executable on a programmable system including at least one programmable processor coupled to receive data and instructions from, and to transmit data and instructions to, a data storage system, at least one input device, and at least one output device. Each computer program may be implemented in a high-level procedural or object-oriented programming language, or in assembly or machine language if desired; and in any case, the language may be a compiled or interpreted language. Suitable processors include, by way of example, both general and special purpose microprocessors. Generally, a processor will receive instructions and data from a read-only memory and/or a random access memory. Storage devices suitable for tangibly embodying computer program instructions and data include all forms of non - volatile memory, including by way of example semiconductor memory devices, such as EPROM, EEPROM, and flash memory devices; magnetic disks such as internal hard disks and removable disks; magneto-optical disks; and CD-ROM disks. Any of the foregoing may be supplemented by, or incorporated in, specially-designed ASICs (application-specific integrated circuits).

A number of embodiments of the present invention have been described. Nevertheless, it will be understood that various modifications may be made without departing from the spirit and scope of the invention. For example, the current FIX message system does not support convertible bonds. FIX may be modified, or a different protocol substituted, so that the Allocation Manager can interpret convertible bond data. Accordingly, other embodiments are within the scope of the following claims.

BACKGROUND OF THE INVENTION.

In stock trading and other financial instrument trading markets, a trader may buy and sell instruments on behalf of a number of different clients and/or investment portfolios. When a trader transacts a trade, the number of instruments traded may not satisfy an outstanding trading demand for the clients or portfolios. In such a situation, there may be a need to allocate the instruments that are traded among the waiting clients or portfolios. Manual allocation of a trade can be a complex and time consuming process. Consequently, computer automated allocation of a trade is desirable. One solution to allocating a traded instrument is to include functionality in an Order Management System (OMS) to perform trade allocation. However, in existing OMSs, trade allocation features may be lacking or inadequate. One solution to this problem is to modify OMS software to add desired allocation features. As a practical matter, such modification may not be feasible. For example, software code for an OMS may be under control of a vendor and not modifiable, or a trading network may include a variety of different OMSs and, due to cost or other concerns, modification of each of the OMSs may not be possible. Consequently, non-OMS based trade allocation solutions are desirable.

SUMMARY OF THE INVENTION.

In general, in one aspect, the invention features a computer-implemented method of allocating a trade of a financial instruments among a group of portfolios. The method includes receiving a message descriptive of a trade of a financial instrument. The message can include a financial instrument identifier and a size of the trade. A collection of portfolios are then identified based on a match between risk classes associated with the portfolios and the risk class of the traded financial instrument. The trade is then allocated among each of the portfolios based on a target ratio associated with each portfolio.

In general, in another aspect, the invention features a trade allocation system that includes a computer system having a network interface over which messages can be exchanged with an order management system. The computer system is also coupled to a first database that stores data associating portfolios with risk classes and target ratios. A second database stores instructions to configure the system to receive messages from order management systems. Each message can include a financial instrument identifier, a size of the trade, and a risk class identifier. The instructions also configure the processor to query the first database to determining portfolios that are associated with the risk class identified of a particular trade as well as to determine a target ratio for each of the portfolios. The processor then allocates the trade among each of the portfolios based on the target ratios.

Implementations may include one or more of the following features. A target ratio can be computed for each portfolios based on available capital in each portfolio and available capital in other portfolios in the same risk class. Portfolios can include multi-strategy portfolios. A multi-strategy portfolio is associated with two or more risk classes and, correspondingly, two or more target ratios. Allocation to a multi-strategy portfolio can be based on the target ratio of the risk class matching that of the traded instrument.

A trade may be allocated in multiples of a predetermined lot size. Allocation may result in the generation of a collection of messages (e. g., one for each portfolio receiving an allocation of the trade). Each message identifies a portion of the trade allocated to a respective one of the portfolios. The trade messages generated by the allocation manager system may then be sent to a portfolio management system.

Implementations also can include facilities to correct trades (and, correspondingly, trade allocations). Correction of a trade can include receiving trade correction data at the allocation management system. The trade correction data identifies a previously-allocated trade that is to be corrected. A trade allocation history database may be queried to identify the target ratios that were used for allocating the previously-allocated trade. Trade correction messages can be generated for each portfolio involved in the previous allocation so as to alter the previous allocation(s). The trade correction messages may be sent to a portfolio management system. The portfolio management system also may maintain an accounting of the financial instruments in each portfolio and free capital associated with each portfolio. Multiple order management systems may be connected to the allocation management system using a standard network interface and message exchange protocol (e. g., the FIX protocol, an XML protocol, or other protocol). Other systems (e. g., accounting and portfolio reconciliation systems) also can be connected to the allocation manager.

The details of one or more embodiments of the invention are set forth in the accompanying drawings and the description below. Other features, objects, and advantages of the invention will be apparent from the description and drawings, and from the claims.

DESCRIPTION OF THE DRAWINGS.

FIG. 1 is an allocation system architecture diagram.

FIG. 2 is an allocation manager architecture diagram.

DETAILED DESCRIPTION OF THE INVENTION.

Allocation Manager (AM) is a trading system component that can automatically allocates a trade of a financial instrument among multiple investment portfolios. For example, a trader may purchase 100 shares of a stock “MYSTOCK” (a fictional stock ticker) and Allocation Manager may automatically allocate 60 shares from this trade into a first portfolio, and the remaining 40 shares into a second portfolio. Allocation manager can allocate a trade among multiple portfolios using classification assigned to the trade and associated with each portfolio. In the implementation described herein, Allocation Manager performs trade allocation based on a risk classification (a “risk class”) that can reflect an investment strategy associated with a portfolio. Other classifications can also be used (e. g., trade or portfolio-size based classifications, trade volume-based classifications, industry segment classifications, etc.).

Allocation Manager can be implemented as a “middleware” component that operates as an interface between other trading system components. FIG. 1 shows an exemplary trading system architecture in which the Allocation Manager 110 is implemented as a middleware component that, among other things, controls the flow of trade related data between one or more order management systems (OMSs) 101 (three OMSs shown), a portfolio management system 102 , an accounting system 103 , and a trade reconciliation system 104 . Each of these systems 101 – 104 is discussed in further detail, below. As data being communicated between systems 101 – 104 flows through the Allocation Manager 110 , the Allocation Manager 110 can alter that data to performs trade allocation operations that divide a trade among multiple portfolios. For example, Allocation Manager may receive data from the OMS 101 indicating that a trade occurred for three hundred shares of the stock MYSTOCK and, based a classification assigned to that trade, may allocate the three hundred shares of stock among two or more portfolios. Other operations related to allocated trades are also performed by AM 110 .

Allocation Manager communicates with other systems 101 – 104 over messaging interfaces 111 – 114 . Interfaces 111 – 114 may be software-based interfaces implemented by software application procedure calls, messaging-based interfaces communicating data between different computer system, or other types of application programming interfaces (APIs). In some implementations, one or more of the interfaces 111 – 114 and systems 101 – 104 and 110 may be implemented in a single computer, while in other implementations, one or more of the interfaces 111 – 114 may couple different computers over a Local Area Network (LAN) or other network connection. Although the interfaces 111 – 114 are logically separated, the data exchanged at each of these interfaces may transmitted over a same physical interface device. Data exchanged over the interfaces 111 – 114 may be in the FIX format. FIX is a data exchange protocol used within the trading industry to communicate trade-related data. The interfaces 111 – 114 also may include alternative or additional APIs. For example, the FIX protocol may be supplemented, replaced, or encapsulated within extensible markup language (XML)-based data transfers that can be used to exchange data over the interfaces 111 – 114 . The trading system components 101 – 114 and their respective interfaces 111 – 114 to the Allocation Manager are detailed below:

Order Management Systems (OMSs) and OMS-AM Interface.

Order Management Systems (OMSs) 101 interact with traders to execute trades, assign classifications to those trades, and manages the flow of trades between traders. The Allocation Manager can interface with one or more OMS 101 through FIX messaging and/or other API messages exchanged over the interface 111 . The non-FIX API communications can be used to access AM data that is not accessible by the FIX protocol (such as the Allocation Manager's default trade allocation percentages) while the FIX messages can be used to send Allocation Manager information about filled trades. The non-FIX API communications can be implemented using database queries based on the structured query language (SQL), the Java™ Database Connectivity Protocol (JDBC), or the Open Database Connectivity (ODBC) protocol. Other data access protocols also can be used.

OMSs 101 may be built using commercially available components. For example, the El-Trader Java/CORBA based framework from InfoReach, Inc. may be used to build an OMS. Allocation Manager can receive FIX messages from the OMS detailing filled trades. Allocation Manager then allocates the filled trades according to business rules (explained below). Once the trade is allocated, a FIX message group is sent to the portfolio management system 102 detailing each allocated leg of the trade. In sending and receiving these FIX messages, Allocation Manager can use InfoReach, Inc.'s FIX Engine. This FIX engine consists of a collection of reusable Java class packages that provides for a multi-user, multi-threaded implementations of the FIX protocol.

Portfolio Management System (PMS) and PMS-AM Interface.

The Portfolio Management System (PMS) 102 receives FIX messages identifying allocated trades from Allocation Manager (AM). A single trade entered at the OMS 101 and communicated to the AM 110 as a single message can result in multiple FIX messages being formed at the AM and sent to the PMS by the AM. Each of the messages in this group identifies a portion of the original trade (an “leg” of that trade) that is allocated to a particular portfolio. The PMS 102 may be implemented using commercially available components.

Accounting System (AS) and AS-AM Interface 113.

The Accounting System (AS) 103 can track free capital and other data relevant to particular portfolios. This data may be exchanged between the AS and AM over an interface 113 . Data provided by the AS to the AM can be used to establish the beginning-of-day capital positions for each portfolio as well as to transfer other financial and account information between the AS and AM. The Accounting System may be implemented using third-party accounting software such as the Geneva account system produced by Advent Software, Inc. The Geneva account system is a portfolio accounting system for global investors. The Geneva Accounting System provides open access to data via Microsoft Open Database Connectivity (ODBC) protocol and allows the use of industry-standard SQL-based reporting tools to access data. In a Geneva-based system, and depending on the classification data or other data required by a particular AM implementation, the data exchanged over the interface 113 may include data related to accounting, account activity, appraisal, inventory, ledger, management, parties, prices, statement, and transaction history data.

Reconciliation System (RS) and RS-AM Interface.

The Reconciliation System (RS) 104 system provides account reconciliation data to the Allocation Manager. Reconciliation data may be used, e. g., to determine particular trading instruments to lock. Locked instrument data may be communicated to AM over the interface 114 and may be forwarded to OMSs 101 by the AM. The RS may be implemented using third-party software. For example, Recon software, available from Financial Models Company, Inc., may be used. Recon is a commercially available computer-based application that can work with other party's portfolio management systems and can automate reconciliation of transactions, holdings and/or cash balances between investment managers, custodians, broker/dealers and/or between internal sources.

Recon may receive data from a variety of Prime Brokers and aggregate this data to construct comprehensive trade view that will be compared to Accounting System 103 records to detect trade breaks. If a trade break is found, Recon will then send data to the Allocation Manager indicating broken trades. The Allocation Manager may use this data to determine the lock to imposed on various instrument.

Exemplary Allocation Manager Implementation.

FIG. 2 shows a Common Object Request Broker Architecture (CORBA)-based implementation of an Allocation Manager. CORBA is a vendor-independent software component and messaging architecture and infrastructure that computer applications can use to work together over networks. A CORBA-based software architecture, along with the use of the associated Internet Inter-Operability Protocol (IIOP) standards, can facilitate communication between program independent of the type of computer, operating systems, programming language, and network in use by each program. The AM implementation 200 partitions functionality among a server 220 and a client 210 component. The server component 220 processes trade related data while the client component 210 can interact with the server component to monitor the operation of the server 220 and to configure the server's operation (e. g., by provisioning data, setting limits, etc.). The use of a CORBA-based architecture, as well as partitioning of AM functionality between separate server and client components, is optional. Other software architectures (e. g., a Microsoft Distributed COM or COM+ architecture or a proprietary architecture) may be used.

The Allocation Manager includes a database 222 that provides a central depository for trade data received from the OMSs and for journaling data about the allocated trades generated by the Allocation Manager. Data in database 222 also can serve as a repository for calculated allocation percentages, for intra-day instrument positions and for data used to audit allocation manager operations to detect errors and trade breaks. Database 222 may be an in-memory database (e. g., a data structure in RAM memory), may be a relational database (e. g., a Oracle 8i, Informix, Microsoft SQL Server, or other relational database), or may be implemented using other data storage and retrieval functions.

Allocation Manager 110 can use the database 222 to track a number of different data items. These data items are used to perform, correct, and amend trades, as well as for operations, administration, maintenance, and provisioning (OAMP) functions and report generation. Data tracked in the database 222 can include data related to (i) allocated trades; (ii) overrides (i. e., all trades that are provided allocation ratios external to the AM application; (iii) target percentages based upon each unue portfolio and Risk Class combination; (iv) lock data identifying trades that result in a lock situation; (v) exception data identifying exception situations (e. g., when an override causes a long and short position in the same instrument across funds (or Risk Classes) or when reconciliation with the Prime Broker contains a trade break (i. e., Quantity Outs and Don't Knows)); (vi) amendment data (include data about all cancelled trades as well as the corrected trades. Cancels and corrects are linked using a reference ID number).

Examples of data that may be used by the Allocation Manager, and which can be stored in the database 222 follow: Allocation Percentage—An allocation percentage data field contains data identifying trade allocation ratios used by Allocation Manager to allocate a trade. Allocation Size—An allocation size data field contains data identifying a number of shares or contracts allocated to a portfolio and Risk Class. AM Identifier—The AM identifier data field contains an identifier assigned to legs of a trade that are formed by the Allocation Manager during the process of allocating an original trade to multiple portfolios (each allocated leg receives a unue AM ID which, in conjunction with an OMS ID, can be used to create a unue record. Buy/Sell Indicator—The Buy/Sell Indicator identifies the side of a transaction. Values may include, e. g., Buy, Sell, Sell Short, and Cover Short. Cancel/Correct Identifier—This field identifies whether the transaction is a cancel or a correct. The field is generated by a Trade Amendment Tool (TAT). Comments—When a trade is entered with an override allocation percentage, a trader may be prompted to enter a reason for the override. The comment field contains the entered reason and can be provided to Allocation Manager for review and/or for decision processing. Default Percentage—The Default Percentage field contains a default allocation percentage that Allocation Manager would have applied to an overridden trade if the trade had not been overridden. Entity—This field identifies owning entity information associated with a fund. Fund—The Fund field captures the structure of the fund and indicates if it is part of the Multi-strategy fund or if it is an independent strategy (e. g., convertible bonds, risk arbitrage, and relative value). Instrument—The instrument field contains the symbol in which the trade was made. Last Update—The Last Update field identifies a date when the target percentages last changed. Lock Type—The type of lock imposed by Allocation Manager on a given trade. Values may include Hard Lock, Soft Lock, and Queue. OMS Identifier—The OMS identifier is passed in a FIX message to Allocation Manager. It is a unue identifier assigned to a trade by an OMS. Order Size—Provides the size of an original trade. This field does not contain any allocated amounts. Override Percentage—The Override Percentage is the allocation percentage entered externally that overrides the Allocation Manager's allocation and rounding rules. Risk Class—The Risk Class field identifies a risk classification associate with a trade or portfolio. For example, the Risk Class may indicate that a trade is to be allocated among convertible bond portfolios or among risk arbitrage portfolios. Subtotal—The Subtotal field contains the aggregate total of percentages for the specific Risk Class. Terminal Identifier—The Terminal identifier identifies a trading terminal from which the trade was input to an OMS. This data element is passed to Allocation Manager via the FIX message. In the case of an amendment or correction, the Terminal identifier may contains the machine name on which the target percentage was changed. Time—A number of different time parameters may be recorded including, among others, the system time at which target percentages were changed; the time that a trade was entered into the OMS system or a change was entered; an the time at which a trade was filled. Trade Date—The trade date indicates the date when a trade was filled. User Identifier—The User identifier is an identifier (e. g., a login name) of the user that input the trade into OMS. This is passed to Allocation Manager by a FIX message.

The database 222 may contain additional or alternative data. Furthermore, the foregoing data fields may be logically interrelated in database records and may appear at different places (i. e., in different database records and in different record types).

The AM processes data received from systems 101 – 104 , as well as data in the database 222 using business rules. Each business rule includes logic used to control an allocation operation. The example business rules contained herein implement a trade allocation scheme whereby trades can be allocated based upon target percentages for opening transactions and closing ratios for closing positions. An AM can validate the side of the trade and also the position of the instrument being traded and determine if the trade is an opening or closing transaction. An AM also can determine the trade type identifier (e. g., buy, sell, sell short, cover short, and short against the box). Trades may be allocated among one or more portfolios and risk classes subject to the trader's discretion.

An AM can allocate trades among multiple portfolios based on free capital positions in each portfolio. These free capital positions are used to calculate target percentages that determine how a particular trade is allocated among multiple portfolios and risk classes. The free capital in a portfolio may be further subdivided based on one or more risk classes associated with the portfolio. Free capital data can be automatically obtained, e. g., by a data transfer over the interface 113 between the AM and the AS 103 . In some implementations, free capital data also can be manually entered through an Allocation Manager interface.

An AM also may accept override trades from the OMS. An override trade contains trader-specified allocations of a traded instrument among various Risk Classes; the AM allocates an override trade according to the received allocation data (i. e., override trades may be used to inhibit automatic allocation functionality of the Allocation Manager). In processing an override trade (as well as during non-override trade processing), the Allocation Manager may implement validation functions to determine whether allocation of the traded instrument results in an error condition (e. g., a long and short position in the same instrument across funds). Data pertaining to an overridden trade can be logged with a flag indicating that the trade was overridden. In addition to overrides, an AM also may process corrections, amendments, and cancellations of trades. Allocation Manager can update its database of portfolio positions on canceling or correcting a trade.

Trades may be allocated to particular investment portfolios based on a risk class associated with the trade and with particular portfolios. In some cases, a particular investment portfolio may be associated with multiple different risk classes. Similarly, a single risk class may be associated with multiple different portfolios. In the following description, business rules (i. e., business logic) and processes that can govern a trade allocation process are further described.

A trade may be allocated among portfolios in a risk class based on a set of target ratios. Target ratios refer to the ratios at which positions can be opened within the various portfolios associated with a particular risk class. These ratios may be updated on demand (i. e., in real time) or at predetermined intervals (e. g., at the end of every month or quarter). For each risk class, a series of target ratios determining how trades assigned to that risk class are divided among investment portfolios. The target ratio for a given portfolio and risk class combination is defined as:

T ⁢ ⁢ a ⁢ ⁢ r ⁢ ⁢ g ⁢ ⁢ e ⁢ ⁢ t ⁢ ⁢ R ⁢ ⁢ a ⁢ ⁢ t ⁢ ⁢ i ⁢ ⁢ o = Available ⁢ ⁢ Capital ⁢ ⁢ in ⁢ ⁢ Portfolio + Risk ⁢ ⁢ Class ⁢ ⁢ combination Total ⁢ ⁢ Free ⁢ ⁢ Capital ⁢ ⁢ in ⁢ ⁢ Risk ⁢ ⁢ Class.

The target ratios for a particular risk class can be calculated based on the free capital available in each investment portfolio that is a member of that risk class The ratios for each risk class sum to 100%, thus ensuring that a trade is completely allocated among relevant portfolios.

In the disclosure that follows, Allocation Manager operations are explained using the six exemplary portfolios described in the following table:

US Search Desktop.

Agradecemos seus comentários sobre como melhorar a Pesquisa do Yahoo. Este fórum é para você fazer sugestões de produtos e fornecer feedback atencioso. Estamos sempre tentando melhorar nossos produtos e podemos usar o feedback mais popular para fazer uma mudança positiva!

Se você precisar de assistência de qualquer tipo, visite nosso fórum de suporte à comunidade ou encontre ajuda individualizada em nosso site de ajuda. Este fórum não é monitorado por nenhum problema relacionado a suporte.

O fórum de comentários do produto do Yahoo agora exige um ID e uma senha válidos do Yahoo para participar.

Agora você precisa fazer login usando sua conta de e-mail do Yahoo para nos fornecer feedback e enviar votos e comentários para as ideias existentes. Se você não tiver um ID do Yahoo ou a senha do seu ID do Yahoo, inscreva-se para obter uma nova conta.

Se você tiver um ID e uma senha válidos do Yahoo, siga estas etapas se quiser remover suas postagens, comentários, votos e / ou perfil do fórum de comentários do produto do Yahoo.

Vote em uma ideia existente () ou publique uma nova ideia…

Idéias quentes Idéias superiores Novas ideias Categoria Status Meu feedback.

Xnxx vedios.

Trazer de volta o layout antigo com pesquisa de imagens.

sim: a única possibilidade (eu acho) enviar todas as informações para (alienvault.

Desinformação na ordem DVD.

Eu pedi DVD / Blueray "AL. A confidencial" tudo que eu consegui foi Blue ray & amp; um contato # para obter o DVD que não funcionou. Eu encomendo minha semana com Marilyn ____DVD / blue ray & amp; Eu peguei os dois - tolamente, assumi que o mesmo se aplicaria a L. A.___ETC não. Eu não tenho uma máquina de raio azul ----- Eu não quero uma máquina de raio azul Eu não quero filmes blueray. Como obtenho minha cópia de DVD de L. A. Confidential?

yahoo, pare de bloquear email.

Passados ​​vários meses agora, o Yahoo tem bloqueado um servidor que pára nosso e-mail.

O Yahoo foi contatado pelo dono do servidor e o Yahoo alegou que ele não bloquearia o servidor, mas ainda está sendo bloqueado. CEASE & amp; DESISTIR.

Não consigo usar os idiomas ingleses no e-mail do Yahoo.

Por favor, me dê a sugestão sobre isso.

Motor de busca no Yahoo Finance.

Um conteúdo que está no Yahoo Finance não aparece nos resultados de pesquisa do Yahoo ao pesquisar por título / título da matéria.

Existe uma razão para isso, ou uma maneira de reindexar?

consertar o que está quebrado.

Eu não deveria ter que concordar com coisas que eu não concordo com a fim de dizer o que eu acho - eu não tive nenhum problema resolvido desde que comecei a usar o Yahoo - fui forçado a jogar meu antigo mensageiro, trocar senhas, obter novas messenger, disse para usar o meu número de telefone para alertar as pessoas que era o meu código de segurança, receber mensagens diárias sobre o bloqueio de yahoo tentativas de uso (por mim) para quem sabe por que como ele não faz e agora eu obter a nova política aparecer em cada turno - as empresas costumam pagar muito caro pela demografia que os usuários fornecem para você, sem custo, pois não sabem o que você está fazendo - está lá, mas não está bem escrito - e ninguém pode responder a menos que concordem com a política. Já é ruim o suficiente você empilhar o baralho, mas depois não fornece nenhuma opção de lidar com ele - o velho era bom o suficiente - todas essas mudanças para o pod de maré comendo mofos não corta - vou relutantemente estar ativamente olhando - estou cansado do mudanças em cada turno e mesmo aqueles que não funcionam direito, eu posso apreciar o seu negócio, mas o Ameri O homem de negócios pode vender-nos ao licitante mais alto por muito tempo - desejo-lhe boa sorte com sua nova safra de guppies - tente fazer algo realmente construtivo para aqueles a quem você serve - a cauda está abanando o cachorro novamente - isso é como um replay de Washington d c

Eu não deveria ter que concordar com coisas que eu não concordo com a fim de dizer o que eu acho - eu não tive nenhum problema resolvido desde que comecei a usar o Yahoo - fui forçado a jogar meu antigo mensageiro, trocar senhas, obter novas messenger, disse para usar o meu número de telefone para alertar as pessoas que era o meu código de segurança, receber mensagens diárias sobre o bloqueio de yahoo tentativas de uso (por mim) para quem sabe por que isso acontece e agora eu recebo a nova política em cada turno - as empresas costumam pagar muito pela demografia que os usuários fornecem para você ... mais.

Alocação de ativos.

What is 'Asset Allocation'

Asset allocation is an investment strategy that aims to balance risk and reward by apportioning a portfolio's assets according to an individual's goals, risk tolerance and investment horizon. The three main asset classes - equities, fixed-income, and cash and equivalents - have different levels of risk and return, so each will behave differently over time.

Fundo de alocação de ativos.

Alocação Estratégica de Ativos.

Through Fund.

BREAKING DOWN 'Asset Allocation'

There is no simple formula that can find the right asset allocation for every individual. However, the consensus among most financial professionals is that asset allocation is one of the most important decisions that investors make. In other words, the selection of individual securities is secondary to the way that assets are allocated in stocks, bonds, and cash and equivalents, which will be the principal determinants of your investment results.

Investors may use different asset allocations for different objectives. Someone who is saving for a new car in the next year, for example, might invest her car savings fund in a very conservative mix of cash, certificates of deposit (CDs) and short-term bonds. Another individual saving for retirement that may be decades away typically invests the majority of his individual retirement account (IRA) in stocks, since he has a lot of time to ride out the market's short-term fluctuations. Risk tolerance plays a key factor as well. Someone not comfortable investing in stocks may put her money in a more conservative allocation despite a long time horizon.

Age-based Asset Allocation.

In general, stocks are recommended for holding periods of five years or longer. Cash and money market accounts are appropriate for objectives less than a year away. Bonds fall somewhere in between. In the past, financial advisors have recommended subtracting an investor's age from 100 to determine how much should be invested in stocks. For example, a 40-year old would be 60% invested in stocks. Variations of the rule recommend subtracting age from 110 or 120 given that the average life expectancy continues to grow. As individuals approach retirement age, portfolios should generally move to a more conservative asset allocation so as to help protect assets that have already been accumulated.

Achieving Asset Allocation Through Life-cycle Funds.

Asset-allocation mutual funds, also known as life-cycle, or target-date, funds, are an attempt to provide investors with portfolio structures that address an investor's age, risk appetite and investment objectives with an appropriate apportionment of asset classes. However, critics of this approach point out that arriving at a standardized solution for allocating portfolio assets is problematic because individual investors require individual solutions.

The Vanguard Target Retirement 2030 Fund would be an example of a target-date fund. As of 2018, the fund has a 12-year time horizon until the shareholder expects to reach retirement. As of January 31, 2018, the fund has an allocation of 71% stocks and 29% bonds. Up until 2030, the fund will gradually shift to a more conservative 50/50 mix, reflecting the individual's need for more capital preservation and less risk. In following years, the fund moves to 67% bonds and 33% stocks.

Trade Allocation Best Practices for Registered Investment Advisors.

The allocation of advisory transactions has and continues to be one of the biggest risk areas for registered investment advisors. This has especially been the case for advisors with performance fee or proprietary accounts trading side by side with non-performance fee accounts. A strong and comprehensive trade allocation policy can go a long way towards mitigating this risk, helping ensure that allocations are made in a fair and equitable manner for all clients. Full and accurate disclosure of these allocation policies and practices and the maintenance of adequate books and records are just as important, particularly as the SEC’s Enforcement Division has stepped up it efforts to combat cherry-picking in recent years.

FUNDO.

Trade allocation practices have long been on the radar of the Securities and Exchange Commission and its Office of Compliance Inspections and Examinations (OCIE). Advisors with performance fee and proprietary accounts and those trading in illuid securities are especially a high risk in the eyes of SEC examiners. This focus is largely due to the potential for abuse that exists when advisors allocate trades to their clients. In some cases, investment advisors have engaged in “cherry-picking,” where they have systematically allocated profitable trades to favored accounts (usually proprietary or personal accounts of an employee) at a disproportionate rate. In these cases, which are notoriously difficult for clients to detect, the advisor generally makes the allocations after the trades have been executed.

In the last couple of years, the SEC’s Enforcement Division, working alongside the agency’s Division of Economic and Risk Analysis, has launched a data-driven initiative to combat cherry-picking by analyzing large volumes of trade allocation data. According to Julie M. Riewe, Co-Chief of the SEC Enforcement Division’s Asset Management Unit, the initiative was devised “to identify specific custodians providing services to investment advisers and their clients and leverage their trading records and other data to efficiently target preferential trade allocations occurring outside the detection of even the most observant client.” In 2015, the SEC brought charges against a Wisconsin based investment advisor for cherry-picking that was a direct result of this initiative.

When bringing allocation cases against investment advisors, the SEC has been able to rely upon Sections 206(1) and 206(2) of the Investment Advisers Act of 1940 and Section 10(b) of the Securiities Exchange Act of 1934. Another rule the SEC has had at its disposal is Rule 206(4)-7, if an adviser has been found to not have adequate policies and procedures and/or failed to supervise employees engaged in inappropriate activities.

ALLOCATION BEST PRACTICES.

Due to the significant risks associated with trade allocations, advisors should ensure that they have robust policies and procedures, taking into account their portfolio management and trading processes, their types of clients and accounts, and other characteristics specific to their firm. While the SEC doesn’t mandate any specific allocation practice or methodology, there are certain best practices that advisors should consider when drafting or reviewing their allocation policies and procedures.

As a starting point, your policies and procedures should require that all allocations be made and documented prior to the time the trade is placed. You should also decide on an allocation methodology or formula that is both suitable and fair. If you place block orders on behalf of multiple accounts, a pro rata allocation based on the net assets of each participating account is generally considered to be a fair and equitable method. If a block order is placed on behalf of 5 accounts, for instance, and Account A has 30% of the total net assets of all 5 accounts, a pro rata allocation to Account A would be 30% of the total shares that were executed from the order. If instead orders are placed separately for each account, rotating the order that accounts are filled is generally the fairest way to allocate orders. As a result, the same account won’t always be the first or last account in line to receive an execution.

Be sure to document whatever methodology your firm has adopted in your policies and procedures as well as the reasons, if any, why exceptions may be made. Valid exceptions may include accounts not participating because they are in a different investment strategy, have investment restrictions (e. g., no tobacco stocks), or have significantly larger or smaller cash balances (e. g, because of subscriptions or redemptions). A partial fill on a block order is another common reason for not allocating to certain accounts or allocating on a non-pro rata basis.

Another best practice is to have the portfolio management, trading, and compliance departments review on a daily basis a report showing all allocations and exceptions to your policies and procedures for the day. The report might highlight, for instance, which accounts in a strategy were excluded from a trade as well as whether any allocations were not made on a pro rata basis. Reviewing such data and investigating exceptions on a daily basis allows you to promptly identify and address any trade errors arising from trade allocations.

BOOKS AND RECORDS.

An investment advisor should also ensure that it is maintaining all required books and records pertaining to its allocations. To begin with, you should be able to document the time of the initial allocation of a trade, the time the order is placed with the broker, and the time the trade is executed. Most order management systems (OMS) today automatically capture and retain this information. If there is an exception to your allocation policy, it is a good idea to add a note to your trade ticket explaining the reason for the exception and maintain supporting documentation. Similarly, if the allocation is modified after the order is placed, an audit trail of the trade should be maintained together with supporting documentation.

FORENSIC TESTING.

While you may be confident that your allocation policies and procedures are adequate, you should also perform forensic testing to help identify any patterns or trends that may indicate that certain accounts are being favored over others. Most importantly, your firm should be periodically (e. g., quarterly) comparing the performance returns of your accounts within each strategy to determine whether there is any performance dispersion. Be sure that you are comparing returns gross of management and performance fees as the inclusion of fees may skew the returns of certain accounts. In those cases where dispersion does exist, be sure to document the results of your investigation regarding the reasons for the dispersion as well as any corrective action taken. Some valid reasons for performance dispersion may include different inception dates, subscriptions and/or redemptions, and investment restrictions specific to a client. An attribution analysis through FactSet or other vendors should help identify the reasons for any difference in performance between any two accounts.

Another good forensic test is to sample a percentage of all allocations during the previous month or year (e. g., 10%) and determine whether certain accounts are repeatedly being excluded or receiving non pro rata allocations. Depending on your portfolio accounting software, you may be able to configure your trade blotter to show the actual and pro rata allocation percentages for each trade to help facilitate this analysis. Remember to pay special attention to performance fee and proprietary accounts.

You can also sample trades where the initial and final allocation are different and investigate whether the reasons for the change are legitimate. If your firm participates in a large number of initial public offerings (IPOs), you should also review these allocations to determine whether certain IPO eligible accounts are repeatedly receiving a disproportionate amount of allocations to “hot” IPOs. Finally, depending on your portfolio accounting system, you should consider calculating the percentage of trades allocated to each account that were profitable. This test, together with the other tests mentioned above, can help identify cherry-picking and other wrongdoing with respect to trade allocations.

DISCLOSURE.

Perhaps most importantly, you should ensure that your actual allocation practices not only mirror your written policies and procedures but also what you have disclosed to clients. A definite red flag to regulators is if there are inconsistencies between your disclosure documents and how you are actually allocating trades. Remember to not only check your Form ADV but also private placement memorandums, due diligence questionnaires, marketing materials, and other disclosure documents you are providing to clients and prospective clients.

With the SEC increasingly focusing on problematic allocation practices such as cherry-picking, registered investment advisors, more than ever, should ensure that they have strong allocation policies and procedures. These policies and procedures should address the firm’s allocation methodology and when and how exceptions should be made. Potential conflicts of interest, such as the existence of performance fee and proprietary accounts, should also be addressed. Advisors must also ensure that they maintain adequate books and records that can support any allocations and exceptions made in the past. Finally, advisors must fully and accurately disclose their allocation practices to clients and verify that all disclosure documents are consistent with these practices. In doing so, advisors can help mitigate one of their most significant risk areas.

Hayley Nelson is the President and Principal Consultant of NCA Compliance, Inc. She has 20 years of regulatory and industry experience and received a national award from the SEC for outstanding service.

Allowance Allocation.

Links Rápidos.

Allocation refers to how ARB distributes the allowances it issues.

ARB allocates allowances for leakage prevention and transition assistance via four primary methods:

In addition, allowances are sold through quarterly State-run auctions, and a small percentage of allowances have been set-aside for the allowance price containment reserve (see Cap-and-Trade Regulation 95870(a) and Staff Report Appendix G ) and the Voluntary Renewable Electricity Program (see 95870(c)). This webpage details the direct distribution of allowances to industrial entities, electrical distribution utilities, natural gas suppliers, and other entities that may be eligible for a direct distribution of allowances or a limited exemption of emissions.

Allowance Allocation for Industrial Assistance.

Sections 95852.2(e), 95870(e), 95890, 95891, and 95894 of the Cap-and-Trade Regulation describe allowance allocation for industrial assistance. ARB allocates to industrial facilities for leakage prevention and transition assistance. For more information on leakage prevention, please review the following resources: Staff Report: Initial Statement of Reasons Section II-H , Appendix K and Appendix B: Leakage Risk Analysis for New and Modified Sectors .

To receive direct allowance allocation, an industrial facility must have an activity and North American Industrial Classification System (NAICS) code that is listed in Table 8-1 of the Cap-and-Trade Regulatio, and have complied with the Mandatory Reporting Regulation (MRR). Table 8-1 identifies the leakage risk and assistance factor for each of the eligible activities. The summary of allowances allocated for industrial assistance is available here . The allowance allocation is aggregated by NAICS code(s) so as to not reveal any confidential business information.

The distribution of industrial assistance allocations is determined using a combination of product-based and energy-based methodologies.

Product-Based Allocation Methodology.

A facility will receive allowance allocations using the product-based allocation methodology if it is both eligible for allocation from Table 8-1 of the Cap-and-Trade Regulation, has an activity and product in Table 9-1, and has received a positive or qualified positive product data verification statement through MRR. Product-based allocation uses the equations detailed in Section 95891(b).

Energy-Based Allocation Methodology.

A facility will receive allowances under the energy-based allocation methodology if it is eligible for allocation from Table 8-1 but does not have an activity and product in Table 9-1. Energy-based allocation is described in Cap-and-Trade Regulation sections 95891(c).

For new facilities eligible for allowance allocation under the energy-based allocation methodology, additional data on steam and fuel consumption needs to be collected. For more information and forms, please visit the Energy-Based Allocation web page.

Allowance Allocation to Electrical Distribution Utilities on Behalf of Ratepayers.

The relevant regulation sections describing allowance allocation to electrical distribution utilities (EDU) are Sections 95870(d), 95890, and 95892. To ensure that electricity ratepayers do not experience sudden increases in their electricity bills associated with the Cap-and-Trade Regulation (Regulation), ARB allocates allowances to electrical distribution utilities on behalf of ratepayers. The regulation stipulates that EDUs must use the value associated with these allowances for the benefit of retail ratepayers of each EDU, consistent with the goals of AB 32. Allocated allowances may not be used for the benefit of entities or persons other than their ratepayers. For more information on these requirements, please review the information on the EDU and Natural Gas Supplier Use of Allocated Allowance Value web page.

Distribution of EDU Allowance Allocation.

As stated in section 95892 of the Regulation, investor-owned utilities must consign all allocated allowances to auction. Publicly owned utilities (POU) and electrical cooperatives (co-op), however, can determine how to distribute their allowances among their compliance accounts, limited use holding accounts (from which allowances can only be consigned to auction), or the compliance account of an electrical generating facility operated by a POU, co-op, or joint powers agency in which the POU or co-op is a member and with which it has a power purchase agreement. By September 1 of each year (or the first business day thereafter), POUs and co-ops must inform the Executive Officer of the share of their allowances to be placed in each of the accounts. For more information, please review the information and forms listed for electrical distribution utilities on the Distribution of Allowance Allocation webpage.

Reporting on Use of Allocated Allowance Value.

As stated in section 95892 of the Regulation, each EDU that receives an allowance allocation has until June 30 of each year to submit a report to the Executive Officer describing the disposition of any auction proceeds and allowance value received for the prior calendar year. For more information, please review the information and forms on the EDU and Natural Gas Supplier Use of Allocated Allowance Value web page.

Allowance Allocation to Natural Gas Suppliers on Behalf of Ratepayers.

Section 95893 of the Cap-and-Trade Regulation (Regulation) describes the method of allocating allowances to natural gas suppliers. To ensure that natural gas ratepayers do not experience sudden increases in their natural gas utility bills associated with the Cap-and-Trade Program, ARB allocates allowances to natural gas suppliers on the behalf of their ratepayers. The Regulation requires natural gas suppliers to use the value associated with these allowances for the benefit of their ratepayers, consistent with the goals of AB 32. They may not be used for the benefit of entities or persons other than their ratepayers. For more information on these requirements, please review the information on the Electrical Distribution Utility (EDU) and Natural Gas Supplier Use of Allocated Allowance Value web page.

Other Types of Allocation and Limited Exemptions.

Legacy Contract Generator Allocation.

Pursuant to Cap-and-Trade Regulation section 95894, facilities that generate electricity and/or thermal output under legacy contracts may apply to ARB for transition assistance for the greenhouse gas emissions related to these contracts. These facilities are known as legacy contract generators. Legacy contracts are contracts executed prior to September 1, 2006 which govern the sale of electricity and/or thermal output and do not provide for the recovery of Cap-and-Trade Program costs. Legacy contract generators that wish to apply for this assistance for the subsequent vintage year must submit an application to ARB by September 2 of the calendar year immediately preceding the vintage year (e. g., for allocation of vintage 2016 allowances, applications must be received no later than September 2, 2015). The Legacy Contract Transition Assistance Application Form may be used for this purpose. This form is provided for clarity and convenience and does not supersede any law or regulation.

The information in this form should be received both electronically and by certified U. S. mail no later than 5:00 p. m. on September 2 each year. Please send an Excel spreadsheet with the required information to Eileen Hlavka at ehlavka@arb. ca. gov. Please mail the signed copy of this information to the following address:

California Air Resources Board.

Attn: Eileen Hlavka.

Climate Change Program Evaluation Branch, 6th Floor.

Sacramento, CA 95814.

If a facility requests legacy contract transition assistance, it must make a good faith effort to renegotiate the legacy contract to be eligible for legacy contract transition assistance (section 95894(a)(3)(C) of the Cap-and-Trade Regulation). The good faith effort must have occurred since the last deadline for legacy contract applications because legacy contract generators must apply each year for allocation (section 95894(a) of the Regulation). For example, if a facility requests an allocation of vintage 2016 allowances (with an application deadline of September 2, 2015), an effort to renegotiate must have occurred between September 2, 2014 and September 2, 2015.

University and Public Service Facility Allocation.

Under the Cap-and-Trade Regulation, universities and public service facilities are eligible for direct allocation of allowances if they meet the requirements of sections 95802(a)(304), 95870(f), and 95890(d). ARB allocates to universities and public service facilities for transition assistance and to recognize their early actions to reduce GHG emissions. Universities and public service facilities must submit a report to ARB by June 30 each year describing the disposition of allowance value from the previous budget year's allocated allowances, and how the allowance value was used to achieve additional environmental and economic benefits for California. Universities and public service facilities may use the University and Public Service Facility Use of Allocated Allowance Value Form to submit their annual reports to ARB.

Questions may be directed to David Allgood at dallgood@arb. ca. gov or (916) 445-8238.

Limited Exemption of Emissions Associated with Qualified Thermal Output.

Under the Cap-and-Trade Regulation, facilities may apply for a limited exemption of emissions if they meet the requirements of section 95852(j), which is designed to cover two types of facilities: (1) cogeneration units which would not exceed the Cap-and-Trade Program inclusion threshold but for their thermal output produced on site, and (2) district heating facilities that serve multiple end users, none of which would be covered under the Cap-and-Trade Program if they produced the emissions currently produced by the district heating facility in the process of serving that end user. Applications were due by September 2, 2014.