Method and system for managing collateralized obligations to satisfy predetermined investment ratings requirements
AssigneeJPMorgan Chase Bank, N.A.
InventorRichard Eimbinder
Life of this patent
Estimating the term…
Abstract
A method and system are provided which generate a collateral quality formula, based on a data set of collateral quality values, used to guide purchases and sales of collateral by CDO managers to satisfy investment ratings requirements, such as those established by independent ratings services, such as, for example, Moody's Investors Service, without having to adhere to the more limited defined parameters of a collateral quality value matrix.
Claims9
A method for managing a collateralized obligation to satisfy investment ratings requirements, comprising the steps of:
- determining at least one combination of quality data associated with collateral to satisfy requirements for a preselected investment ratings category for a collateralized obligation including said collateral, said at least one combination of collateral quality data forming a basis for a matrix of collateral quality data;
- expanding said matrix to a size mathematically suitable for performing a correlation/regression analysis on said collateral quality data;
- performing a correlation/regression analysis on said collateral quality data to generate a mathematical relationship that best fits said data;
- and
- using said mathematical relationship in lieu of said matrix to guide at least one of purchases and sales of said collateral such that said collateralized obligation satisfies said requirements for said preselected investment ratings category.
A system for managing a collateralized obligation to satisfy investment ratings requirements, comprising:
- means for determining at least one combination of quality data associated with collateral to satisfy requirements for a preselected investment ratings category for a collateralized obligation including said collateral, said at least one combination of collateral quality data forming a basis for a matrix of collateral quality data;
- means for expanding said matrix to a size mathematically suitable for performing a correlation/regression analysis on said collateral quality data;
- means for performing a correlation/regression analysis on said collateral quality data to generate a mathematical relationship that best fits said data;
- and
- means for guiding at least one of purchases and sales of said collateral using said mathematical relationship in lieu of said matrix such that said collateralized obligation satisfies said requirements for said preselected investment ratings category.
A computer program product comprising a computer usable medium having a computer readable program code means embodied in said medium for causing an application program to execute on a computer for managing a collateralized obligation to satisfy investment ratings requirements, said computer readable program code means comprising:
- means for determining at least one combination of quality data associated with collateral to satisfy requirements for a preselected investment ratings category for a collateralized obligation including said collateral, said at least one combination of collateral quality data forming a basis for a matrix of collateral quality data;
- means for expanding said matrix to a size mathematically suitable for performing a correlation/regression analysis on said collateral quality data;
- means for performing a correlation/regression analysis on said collateral quality data to generate a mathematical relationship that best fits said data;
- and
- means for guiding at least one of purchases and sales of said collateral using said mathematical relationship in lieu of said matrix such that said collateralized obligation satisfies said requirements for said preselected investment ratings category.
Dependencies are inferred from the claim text.