Method and apparatus for evaluating and monitoring collateralized debt obligations

• US 20040158520A1
• Filed: 02/06/2003
• Published: 08/12/2004
• Est. Priority Date: 02/06/2003
• Status: Active Grant

• Current Assignee: Goldman Sachs & Co. LLC (Goldman Sachs Group Incorporated)
• Original Assignee: Goldman Sachs & Company (Goldman Sachs Group Incorporated)
• Inventors: Noh, Suok J.
• Granted Patent: US 8,566,190 B2
• Time in Patent Office: Days
• US Class Current: 705/38
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

Systems, methods, apparatus, computer program code and means for evaluating and monitoring collateralized debt obligations (CDOs) are provided which include identifying a first investment including interests in a first plurality of assets, identifying a second investment including interests in a second plurality of assets, identifying a common feature associated with both the first and second plurality of assets, and identifying a relative exposure to risk associated with the common feature.

Claims

1. A method for managing investments, comprising:

identifying a first investment including interests in a first plurality of assets;

identifying a second investment including interests in a second plurality of assets;

identifying a common feature associated with both said first and second plurality of assets; and

identifying a relative exposure to risk associated with said common feature.

2. The method of claim 1, wherein said common feature is at least one of a common asset, a common industry, and a common issuer of assets.

3. The method of claim 1, wherein said common feature is a common issuer of assets, the method further comprising:

modeling a default associated with said common issuer; and

calculating an impact on said first and said second investments based on said default.

4. The method of claim 1, wherein said first and second investments are collateralized debt obligation (CDO) investments.

5. The method of claim 1, wherein said common asset is at least one of a debt security and a corporate loan.

6. The method of claim 1, wherein each of said first and second plurality of assets are identified by at least one of a CUSIP number and an asset descriptor.

7. The method of claim 6, wherein each asset descriptor is normalized to substantially provide standardized asset descriptions for each of said first and second plurality of assets.

8. A method, comprising:

receiving information identifying an investor and a first and a second CDO investment held by the investor;

identifying a first plurality of assets associated with said first CDO investment;

identifying a second plurality of assets associated with said second CDO investment;

identifying each of said first and second plurality of assets using a standardized asset description; and

identifying a common asset associated with said first and second CDO investments.

9. The method of claim 8, further comprising:

modeling a default associated with said common asset; and

calculating an impact on said first and said second CDO investments based on said default.

10. A method, comprising:

receiving information identifying an investor and a CDO investment held by the investor;

identifying a first plurality of assets associated with said CDO investment;

receiving information identifying a desired CDO investment, including a second plurality of assets associated with said desired CDO investment; and

identifying a common asset associated with said desired CDO investment and said CDO investment.

11. The method of claim 10, further comprising:

assessing an overall exposure associated with said desired CDO investment and said CDO investment attributed to said common asset.

12. The method of claim 10, further comprising:

modeling a default associated with said common asset; and

calculating an impact on said CDO investment and said desired CDO investment based on said default.

13. A method for monitoring a CDO portfolio, comprising:

entering information identifying a first and a second CDO investment;

entering pricing assumption data; and

modeling an impact on said first and second CDO investments based on said pricing assumption data.

14. The method of claim 13, wherein said pricing assumption data includes data identifying at least one of:

a default rate assumption, a recovery rate assumption, a recovery lag assumption, and a prepayment rate assumption.

15. The method of claim 13, further comprising selecting an asset group, wherein said pricing assumption data operates on said selected asset group.

16. The method of claim 15, wherein said asset group is selected based on at least one of:

a group of assets in said first and second CDO investments that are currently in default;

a group of assets in said first and second CDO investments that are below a selected rating; and

a group of assets in said first and second CDO investments that are not in default and that are greater than said selected rating.

17. An apparatus for managing investments, comprising:

a processor;

a communications device, in communication with said processor, receiving data; and

a memory unit in communication with the processor and storing a program, wherein the processor is operative with the program to;

identify a first investment including interests in a first plurality of assets;

identify a second investment including interests in a second plurality of assets;

identify a common feature associated with both said first and second plurality of assets; and

identify a relative exposure to risk associated with said common feature.

18. The apparatus of claim 17, wherein the common feature is a common issuer of assets, the processor being further operative with the program to:

model a default associated with said common issuer; and

calculate an impact on said first and said second investments based on said default.

19. A computer-readable medium having computer-executable instructions for performing steps comprising:

identifying a first investment including interests in a first plurality of assets;

identifying a second investment including interests in a second plurality of assets;

identifying a common feature associated with both said first and second plurality of assets; and

identifying a relative exposure to risk associated with said common feature.

20. A computer-readable medium of claim 19, the computer-executable instructions further directed to performing steps comprising:

modeling a default associated with said common issuer; and

calculating an impact on said first and said second investments based on said default.

21. An apparatus, comprising:

means for identifying a first investment including interests in a first plurality of assets;

means for identifying a second investment including interests in a second plurality of assets;

means for identifying a common feature associated with both said first and second plurality of assets; and

means for identifying a relative exposure to risk associated with said common feature.

22. The apparatus of claim 21, wherein said common feature is a common issuer of assets, the apparatus further comprising:

means for modeling a default associated with said common issuer; and

means for calculating an impact on said first and said second investments based on said default.