Method and apparatus for evaluating and monitoring collateralized debt obligations

• US 8,566,190 B2
• Filed: 02/06/2003
• Issued: 10/22/2013
• 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.
• Primary Examiner(s): Ebersman, Bruce I
• Application Number:
  US10/359,484
• Publication Number:
  US 20040158520A1
• Time in Patent Office: 3,911 Days
• Field of Search: None
• US Class Current: 705/35
• 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 processor-implemented method for managing investments, comprising:

identifying by a processor 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 issuer of assets associated with both said first and second plurality of assets;

identifying a relative exposure to risk associated with said common issuer;

modeling by the processor a default associated with said common issuer involving a default rate, a recovery rate, and a custom default vector;

calculating by the processor an impact on said first and said second investments based on said default;

generating by the processor a risk and issuer exposure report based on said calculated impact on said default; and

adjusting by the processor asset holdings in the first investment and the second investment based on the calculated impact to lessen exposure,

wherein said first and second investments are collateralized debt obligation (CDO) investments.

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

3. 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.

4. The method of claim 3, wherein each asset descriptor is normalized to substantially provide standardized asset descriptions for each of said first and second plurality of assets.

5. A processor-implemented method for monitoring collaterized debt obligation (CDO) investments, comprising:

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

identifying by a processor 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;

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

modeling by the processor a default associated with said common asset involving a default rate, a recovery rate, and a custom default vector;

calculating by the processor an impact on said first and said second CDO investments based on said default;

generating by the processor a report including the identified common asset and the calculated impact on said first and said second CDO investments; and

adjusting by the processor asset holdings in the first CDO investment and the second CDO investment based on the calculated impact to lessen exposure.

6. A processor-implemented method of monitoring collaterized debt obligation (CDO) investments, comprising:

receiving by a processor 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;

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

modeling by the processor a default associated with said common asset involving a default rate, a recovery rate, and a custom default vector;

calculating by the processor an impact on said CDO investment and said desired CDO investment based on said default;

generating by the processor a report including the identified common asset and the calculated impact on the desired CDO investment and the CDO investment; and

adjusting by the processor asset holdings in the CDO investment and the desired CDO investment based on the calculated impact to lessen exposure.

7. The method of claim 6, further comprising:

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

8. A processor-implemented method for monitoring a collaterized debt obligation (CDO) portfolio, comprising:

entering by a processor information identifying a first CDO and a second CDO investment, the first CDO investment including interests in a first plurality of assets, the second CDO investment including interests in a second plurality of assets;

entering pricing assumption data, said price assumption data including a default rate, a recovery rate, and custom default vector;

modeling by the processor an impact on said first and second CDO investments based on said pricing assumption data;

calculating by the processor an impact on said first and said second CDO investments based on said default;

generating by the processor a risk and issuer exposure report based on said calculated impact on said default; and

adjusting by the processor asset holdings in the first CDO investment and the second CDO investment based on the modeled impact to lessen exposure.

9. The method of claim 8, wherein said pricing assumption data includes data identifying at least one of:

a recovery lag assumption and a prepayment rate assumption.

10. The method of claim 8, further comprising:

selecting an asset group, wherein said pricing assumption data operates on said selected asset group.

11. The method of claim 10, 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.

12. 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 issuer of assets associated with both said first and second plurality of assets;

identify a relative exposure to risk associated with said common issuer;

model a default associated with said common issuer involving a default rate, a recovery rate, and a custom default vector;

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

generate a risk and issuer exposure report based on said calculated impact on said default; and

adjust asset holdings in the first investment and the second investment based on the calculated impact to lessen exposure,

wherein said first and second investments are collateralized debt obligation (CDO) investments.

13. A non-transitory, computer-readable medium storing computer-issuable instructions 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 issuer of assets associated with both said first and second plurality of assets; and

identify a relative exposure to risk associated with said common issuer;

model a default associated with said common issuer involving a default rate, a recovery rate, and a custom default vector;

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

generate a risk and issuer exposure report based on said calculated impact on said default; and

adjust asset holdings in the first investment and the second investment based on the calculated impact to lessen exposure,

wherein said first and second investments are collateralized debt obligation (CDO) investments.

14. An apparatus, comprising:

a memory;

a processor disposed in communication with said memory, and configured to execute a plurality of processing instructions stored in the memory, wherein the processor executes instructions 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 issuer of assets associated with both said first and second plurality of assets;

identify a relative exposure to risk associated with said common issuer;

model a default associated with said common issuer involving a default rate, a recovery rate, and a custom default vector;

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

generate a risk and issuer exposure report based on said calculated impact on said default; and

adjust asset holdings in the first investment and the second investment based on the calculated impact to lessen exposure,

wherein said first and second investments are collateralized debt obligation (CDO) investments.