System and method for manager enhanced return on collateralized debt obligation transactions

• US 7,702,557 B2
• Filed: 08/20/2003
• Issued: 04/20/2010
• Est. Priority Date: 08/28/2002
• Status: Active Grant

• Current Assignee: JP Morgan Chase Bank, N.A. (JP Morgan Chase & Co)
• Original Assignee: JP Morgan Chase Bank, N.A. (JP Morgan Chase & Co)
• Inventors: Adams, Jonathan, Walisch, Brigitta, Spieler, Christian, Slater, Jonathan
• Primary Examiner(s): Kazimi; Hani
• Assistant Examiner(s): Rankins; William E
• Application Number:
  US10/644,281
• Publication Number:
  US 20040143528A1
• Time in Patent Office: 2,435 Days
• Field of Search: 705/35, 705/36.R, 705/37
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A portfolio of debt instruments, managed by an asset manager according to the terms of an asset management agreement between the asset manager and a sponsor, is a debt index. Multiple deals, as collateralized obligations, are linked to the debt index. Changes to the index by the asset manager are reflected in the linked deals. A break in the linkage to the index can be triggered by different events.

Claims

1. A computer-usable medium having a computer readable program code embodied therein, the computer readable program code adapted to be executed to implement a method for managing collateralized obligations, the method comprising:

identifying a plurality of debt obligations according to terms of an asset management agreement, which together constitute a single debt index;

receiving a first investment deal to link to the single debt index according to the terms of the asset management agreement, wherein one or more investors can invest in the first investment deal, and wherein the single debt index serves as the reference portfolio for the first investment deal;

receiving a second investment deal to link to the single debt index according to the terms of the asset management agreement, wherein one or more investors can invest in the second investment deal, and wherein the single debt index serves as the reference portfolio for the second investment deal;

receiving a request to substitute at least one debt obligation from the plurality of debt obligations in the single debt index;

determining if predefined criteria for selecting and substituting the at least one debt obligation from the plurality of debt obligations in the single debt index is satisfied according to the terms of the asset management agreement; and

changing, responsive to the request to substitute the at least one debt obligation from the plurality of debt obligations in the single debt index, an obligation of the first investment deal linked to the single debt index according to the terms of the asset management agreement.

2. A computer for managing collateralized obligations, comprising:

a memory having at least one region for storing computer executable program code; and

a processor for executing the program code stored in the memory, wherein the program code comprises instructions for;

identifying a plurality of debt obligations according to terms of an asset management agreement, which together constitute a single debt index;

receiving a first investment deal to link to the single debt index according to the terms of the asset management agreement, wherein one or more investors can invest in the first investment deal, and wherein the single debt index serves as the reference portfolio for the first investment deal;

receiving a second investment deal to link to the single debt index according to the terms of the asset management agreement, wherein one or more investors can invest in the second investment deal, and wherein the single debt index serves as the reference portfolio for the second investment deal;

receiving a request to substitute at least one debt obligation from the plurality of debt obligations in the single debt index;

determining if predefined criteria for selecting and substituting the at least one debt obligation from the plurality of debt obligations in the single debt index is satisfied according to the terms of the asset management agreement; and

changing, responsive to the request to substitute the at least one debt obligation from the plurality of debt obligations in the single debt index, an obligation of the first investment deal linked to the single debt index according to the terms of the asset management agreement.

3. The computer according to claim 2, wherein the program code further comprises instructions for changing, responsive to the change of the debt obligation in the single debt index, an obligation of the linked second investment deal.

4. The computer according to claim 2, wherein the program code further comprises instructions for establishing a tranche structure for the linked first investment deal.

5. The computer according to claim 4, wherein the tranche structure has a single tranche.

6. The computer according to claim 4, wherein the program code further comprises instructions for establishing a tranche structure for the linked second investment deal, wherein the tranche structure of the first linked investment deal is different from the tranche structure of the second linked investment deal.

7. The computer according to claim 2, wherein the first and second investment deals are formed at distinct and different times.

8. The computer according to claim 2, wherein the program code further comprises instructions for waiting a predetermined time, after identifying the plurality of debt obligations, before allowing any change of the at least one debt obligation in the single debt index.

9. The computer according to claim 2, wherein the program code further comprises instructions for establishing, for different times, a predetermined amount of allowable changes to the single debt index based on the terms of the asset management agreement.

10. The computer according to claim 2, wherein the program code further comprises instructions for establishing a maximum value of investment deals that can be linked to the single debt index.

11. The computer according to claim 10, wherein the maximum value is a percentage of the total obligations that constitute the single debt index.

12. The computer according to claim 2, wherein the program code further comprises instructions for breaking, responsive to a change of a debt obligation in the single debt index, the link to the first investment deal.

13. The computer according to claim 2, wherein the asset management agreement is an agreement between a sponsor and an asset manager, and wherein the program code further comprises instructions for managing the single debt index according to terms of the asset management agreement.

14. The computer according to claim 2, wherein the linked first investment deal is a special purpose vehicle.

15. The computer according to claim 2, wherein the linked first investment deal is a managed note.

16. The computer according to claim 2, wherein the linked first investment deal is a managed schuldschein.

17. The computer according to claim 2, wherein the linked first investment deal is a swap.

18. The computer according to claim 2, wherein the obligation of the linked first investment deal is a debt obligation.

19. The computer according to claim 2, wherein the obligation of the linked first investment deal is a synthetic obligation.