Source: http://www.google.es/patents/US7340427?hl=es&dq=flatulence
Timestamp: 2013-05-23 18:26:32
Document Index: 477408721

Matched Legal Cases: ['ART 1', 'ART 2', 'art 1', 'ART 3', 'art 1', 'art 2']

Patente US7340427 - Data processing systems and method for creating efficient floater classes - Google PatentesB�squeda Im�genes Maps Play YouTube Noticias Gmail Drive M�s » B�squeda avanzada de patentes | Historial web | Iniciar sesi�n B�squeda avanzada de patentesPatentesA method for creating investment securities structured from interest-rate derivative and mortgage pool components is described. The method includes analyzing the risk elements of the derivative and mortgage pool components, structuring one or more classes of securities, at least one of which is backed...http://www.google.es/patents/US7340427?utm_source=gb-gplus-sharePatente US7340427 - Data processing systems and method for creating efficient floater classes N�mero de publicaci�nUS7340427 B1Tipo de publicaci�nConcesi�n N�mero de solicitud09/664,403 Fecha de publicaci�n4 Mar 2008 Fecha de presentaci�n18 Sep 2000 Fecha de prioridad16 Sep 1999Tambi�n publicado comoUS7698191US7853501US8112338 InventoresRoss H. Cornell Cesionario originalFederal Home Loan Mortgage Corporation Clasificaci�n de EE.UU.705/37705/35 Clasificaci�n internacionalG06Q40/00 Clasificaci�n cooperativaG06Q40/025G06Q40/04G06Q40/00G06Q20/10 Clasificaci�n europeaG06Q40/04G06Q40/00G06Q20/10G06Q40/025ReferenciasCitas de patentes (5)Otras citas (7) Citada por (11)Enlaces externosUSPTO Cesi�n de USPTO EspacenetData processing systems and method for creating efficient floater classesUS 7340427 B1 Resumen A method for creating investment securities structured from interest-rate derivative and mortgage pool components is described. The method includes analyzing the risk elements of the derivative and mortgage pool components, structuring one or more classes of securities, at least one of which is backed by these components in combination, and issuing the structured securities. A computer program product and data processing system for practicing the method are also described. A novel investment security is disclosed which incorporates cash flows from mortgage pool components and cash flows coming from derivative components. Finally, a method of adding value to mortgage-backed securities is described.
1. A method for structuring a series of securities, including a floating-rate security and an inverse floating-rate security, that is backed at least in part by a mortgage pool having a total net cash flow, to avoid an artificial leverage limitation, comprising:
determining a maximum interest rate for the floating-rate security;
receiving a first portion of interest cash flow supplied by the mortgage pool for payment by the floating-rate security according to a value of an interest rate index, wherein the first portion of interest cash flow is insufficient to pay the maximum interest rate for the floating-rate security;
receiving a second portion of interest cash flow supplied by the mortgage pool for payment by the inverse floating-rate security according to the value of the interest rate index;
receiving, if the value of the interest rate index is below a threshold, a third portion of interest cash flow supplied by the mortgage pool for payment for an interest-rate derivative;
receiving, if the value of the interest rate index is not below the threshold, a variable cash flow from the interest-rate derivative for payment by the floating-rate security;
paying, to a holder of the floating-rate security, the first portion of interest cash flow supplied by the mortgage pool minus the third portion of interest cash flow, if the value of the interest rate index is below the threshold;
paying, to the holder of the floating-rate security, the first portion of interest cash flow supplied by the mortgage pool plus the variable cash flow from the interest-rate derivative, if the value of the interest rate index is not below the threshold; and
paying, to a holder of the inverse floating-rate security, the second portion of interest cash flow supplied by the mortgage pool,
wherein a sum of the first portion of interest cash flow supplied by the mortgage pool, the second portion of interest cash flow supplied by the mortgage pool, and the third portion of interest cash flow supplied by the mortgage pool is equal to the total net cash flow of the mortgage pool.
2. The method of claim 1, wherein receiving the third portion of interest cash flow supplied by the mortgage pool to an interest-rate derivative comprises:
directing the third portion of interest cash flow to the interest-rate derivative out of the first portion of interest cash flow supplied by the mortgage pool, thereby reducing the first portion of interest cash flow that is available for payment by the floating-rate security.
3. The method of claim 1, wherein the floating-rate security pays the maximum interest rate based on a formula using a value of the interest rate index, and
wherein the interest-rate derivative generates the variable cash flow based on the value of the interest rate index.
determining a minimum interest rate for the floating-rate security; and
wherein the threshold is equal to the maximum interest rate for the floating-rate security under the artificial leverage limitation minus the minimum interest rate for the floating-rate security.
conditionally directing, if a market value of the floating-rate security falls more than a predetermined percentage below a principal amount of the floating-rate security, a fourth portion of interest cash flow supplied by the mortgage pool to a second interest-rate derivative; and
paying a second variable cash flow supplied by the second interest-rate derivative to the floating-rate security,
wherein a revised sum of the first portion of interest cash flow supplied by the mortgage pool, the second portion of interest cash flow supplied by the mortgage pool, the third portion of interest cash flow supplied by the mortgage pool, and the fourth portion of interest cash flow supplied by the mortgage pool is equal to the total net cash flow of the mortgage pool.
issuing the series of securities.
servicing the series of securities.
identifying a plurality of interest rate scenarios;
identifying a plurality of structured securities having associated floating-rate and related inverse floating-rate classes;
calculating cash flows from mortgage pool components and interest-rate derivative components proposed to be associated with the plurality of structured securities;
calculating interest obligations for the plurality of structured securities;
determining whether the cash flows from the proposed mortgage pool components and the proposed interest-rate derivative components are sufficient, under the plurality of interest rate scenarios, to pay the interest obligations;
selecting proposed mortgage pool components and proposed interest-rate derivative components in combination based on the determining of whether the cash flows from the proposed mortgage pool components and the proposed interest-rate derivative components are sufficient;
generating a plan for structuring a set of the structured securities that includes the cash flows from the selected mortgage pool components and interest-rate derivative components in combination, where the plan overcomes an artificial leverage limitation;
identifying a plurality of prepayment scenarios;
issuing the set of the structured securities wherein the set of structured securities issued under the plan receives cash flows from the selected mortgage pool components and interest-rate derivative components, and the received cash flows in combination are sufficient to pay the interest obligations under the plurality of prepayment scenarios; and
administering the set of structured securities issued under the plan.
9. The data processing system according to claim 8, wherein the processor is further adapted to perform operations comprising:
analyzing the proposed mortgage pool components using an asset pool prepayment model that projects cash flows of a mortgage asset account based on prepayment rate parameters and asset type data.
10. The data processing system according to claim 9, wherein the processor is further adapted to perform operations comprising:
analyzing the proposed mortgage pool components by processing the projected cash flows from the asset pool prepayment model to determine whether the projected cash flows are large enough to meet the interest obligations.
11. The data processing system according to claim 10, wherein the processor is further adapted to perform operations comprising:
evaluating the proposed interest-rate derivatives based on data from a derivatives model and the projected cash flows from the asset pool prepayment model to determine whether projected derivative cash flows are large enough to meet the interest obligations.
12. A computer-implemented method of adding value to mortgage-backed securities comprising:
identifying a plurality of mortgages underlying a mortgage-backed security;
calculating a range of potential cash flows from the plurality of mortgages based on risk elements and economic variables that affect cash flows generated by mortgages;
identifying an interest-rate derivative that generates a variable cash flow;
calculating a range of potential cash flows from the interest-rate derivative based on risk elements and economic variables that affect cash flows generated by interest-rate derivatives;
identifying proposed structured securities, including at least a floating-rate class and a related inverse floating-rate class, that receive cash flows from the plurality of mortgages and the interest-rate derivative;
determining interest obligations for the proposed structured securities, wherein at least one of the interest obligations overcomes an artificial leverage limitation;
determining whether the range of potential cash flows from the plurality of mortgages in combination with the range of potential cash flows from the interest-rate derivative are sufficient to pay the interest obligations of the proposed structured securities; and
if the cash flows are sufficient, creating a set of structured securities corresponding to the proposed structured securities, including at least a floating-rate class and a related inverse floating-rate class, wherein the set of structured securities is backed by cash flows from the plurality of mortgages and cash flows from the interest-rate derivative.
13. The computer-implemented method of claim 12 wherein the mortgage-backed security has a floating-rate (FLT) class and an inverse floating-rate (INV) class and at least one of the FLT class and the INV class is exchanged for cash flows from the interest-rate derivative.
14. The method of claim 12 wherein the interest-rate derivative comprises:
a derivative contract comprising an exchange of a fixed-rate cash flow from the plurality of mortgages for a variable-rate cash flow based on an interest rate index.
15. The method of claim 14 wherein cash flows move both to and from the FLT class and the INV class.
16. A data processing system for investment securities that are partially backed by a mortgage pool comprising:
a storage device, communicatively connected to the computer processor, that stores data related to the investment securities;
an input device, communicatively connected to the computer processor, that receives data identifying a mortgage pool, an interest-rate derivative, and proposed structured securities, backed by the mortgage pool and the interest-rate derivative, that include a floating-rate class and a related inverse floating-rate class and has interest obligations that overcome an artificial leverage limitation;
a risk analysis and planning module that performs operations comprising:
analyzing risk elements of the interest-rate derivative and the mortgage pool;
calculating expected cash flows from the mortgage pool based on the analyzed risk elements;
calculating net expected cash flows from the interest-rate derivative based on the analyzed risk elements; and
determining whether the expected cash flows from the mortgage pool combined with the net expected cash flows from the interest-rate derivative are sufficient to pay the interest obligations for the proposed structured securities;
a deal structure module that performs operations comprising:
validating the proposed structured securities under a variety of prepayment scenarios to confirm that the cash flows from the interest-rate derivative and the mortgage pool are sufficient to pay the interest obligations for the securities; and
causing structured securities corresponding to the proposed structured securities to be issued if validating confirms that the cash flows from the interest-rate derivative and the mortgage pool are sufficient; and
an administration module that performs operations comprising:
administering the issued structured securities.
17. The data processing system according to claim 16, wherein the risk analysis and planning module further comprises:
an asset pool prepayment model that calculates the expected cash flows from the mortgage pool based on prepayment rate parameters and asset type data.
18. The data processing system according to claim 17, wherein the risk analysis and planned module further comprises:
a pool planning and stress process module that processes the expected cash flows from the asset pool prepayment model and determines whether the expected cash flows are sufficient to meet predetermined payment obligations.
19. The data processing system according to claim 18, wherein the risk analysis and planning module further comprises:
a class structuring process module that evaluates the interest-rate derivative based on data from the pool planning and stress process module and a derivatives model.
Pursuant to 35 U.S.C. � 119(e)(1), this application claims priority based on provisional patent application Ser. No. 60/154,040 filed Sep. 16, 1999, the contents of which are relied on and fully incorporated herein by reference.
CHART 1 Principal Minimum Maximum balance Interest rate rate rate Mortgage $100,000,000 6.5% 6.5% 6.5% assets FLT $76,470,588 LIBOR + 0.35% 0.35% 8.5% INV $23,529,412 3.25 � (8.15% − 0.0% 26.4875% LIBOR) In this example, the FLT and INV interest rates vary at all levels of LIBOR from 0% through 8.15%; at 8.15% LIBOR and higher, the FLT rate is at its maximum and the INV rate is at its minimum. Their weighted average interest rate is 6.5% (the interest rate of the mortgage assets) at all levels of LIBOR.
CHART 2 Principal Minimum Maximum balance Interest rate rate rate Mortgage $100,000,000 6.5% 6.5% 6.5% assets FLT $92,857,143 LIBOR + 0.7% 0.7% 7.0% INV $7,142,857 13 � (6.3% − 0.0% 81.9% LIBOR) Now the FLT/INV interest rates vary at all levels of LIBOR from 0% through 6.3%. As in Chart 1, their weighted average interest rate is 6.5% at all levels of LIBOR.
CHART 3 Principal Minimum Maximum balance Interest rate rate rate Mortgage $100,000,000 6.5% 6.5% 6.5% assets FLT $92,857,143 LIBOR + 0.35% 0.35% 8.5% (i.e., LIBOR + (i.e., (i.e., 0.7% − 0.35%) 0.7% − 7.0% − 0.35%) 0.35% + 1.85%) INV $7,142,857 13 � (6.3% − 0.0% 81.9% LIBOR) The FLT interest rate varies at all levels of LIBOR from 0% through 8.15% (as in Chart 1), and the INV interest rate varies at all levels of LIBOR from 0% through 6.3% (as in Chart 2). Their weighted average interest rate varies from 6.175% (if LIBOR is 6.3% or lower) to approximately 7.893% (if LIBOR is 8.15% or higher).
At the time the REMIC (blocks 2-11 and 2-12) was formed, the price of 6.5% PCs was 99.70 (row 2-41). Industry practice is to quote prices in terms of the amount to be paid for $100 of principal. Thus, at a price of 99.70, the value of $600,000,000 principal amount 6.5% PCs is ($600,000,000�99.70)/100=$598,200,000 (row 2-41). In a normal interest rate environment, among Classes with the same interest rate, value increases as term decreases. The values of A, B and C Classes are 100.10, 100.00 and 99.90 respectively (rows 2-43, 2-44 and 2-45). The value of each of A, B and C Classes is greater than that of the PCs because the disproportionate allocation of principal has reduced prepayment uncertainty or risk on the PACs. Among the PACs, A Class shows the greatest increase in value because it has the shortest term or wal and has the greatest likelihood of paying according to schedule. B Class shows the next greatest increase and C Class the least increase in value.
At the time the REMIC (blocks 2-11 and 2-12) was created, F Class required a margin of 0.35% and a cap of 8.5% (row 2-61) in order to create the necessary par price (row 2-47). Thus, the interest rate formula for F Class is LIBOR+0.35% with a cap of 8.5%, and the interest rate formula for S Class (as explained below) is 3.25�(8.15%−LIBOR) with a minimum value (�min�) of 0.0% and a maximum value (�max�) of 26.4875% (row 2-62). The SUP principal cash flow is allocated $76,470,588 to F Class (row 2-47) and $23,529,412 to S Class (row 2-48). Since S Class absorbs additional prepayment risk allocated away from the PACs, and also absorbs additional interest-rate risk allocated away from F Class, the price of S Class is reduced to 97.00 (row 2-48). Nevertheless, the aggregate value of F Class and S Class is $99,294,117 which exceeds that of the SUP Class.
(coupon/max) allocated to the FLT Class;((max−coupon)/max) allocated to the INV Class.
In FIG. 2, the SUP principal amount is $100,000,000, its interest rate is 6.5% (row 2-46), and the F Class max is 8.5% (row 2-61). Thus, the SUP principal allocated to F Class is (6.5%/8.5%)�$100,000,000=$76,470,588 (row 2-47) and the SUP principal allocated to S Class is ((8.5%−6.5%) 8.5%) or (2.0%/8.5%)�$100,000,000=$23,529,412 (row 2-48).
where the fraction (FLT Class principal/INV Class principal), or (coupon/(max−coupon), sometimes is called the leverage of the FLT/INV combination. In FIG. 2, the leverage is $76,470,588/$23,529,412=3.25 and F Class max−F Class margin is 8.5%−0.35%=8.15%. Thus, the interest rate formula for S Class is 3.25�(8.15%−LIBOR) (row 2-62).
EF Class interest from IF Class from corridor total if LIBOR <= 6.3% LIBOR + 0.0% LIBOR + .35% .7% − .35% if 6.3% < 7.0% − .35% LIBOR − 6.3% LIBOR + .35% LIBOR <= 8.15% if 8.15% < LIBOR 7.0% − .35% 1.85% 8.5% Since the interest rate formula for IF Class is LIBOR+0.7%; min=0.7%, max=7.0% (row 3-61), the interest on the SUP cash flow that remains for the new INV Class, ES Class (line 3-32), is calculated to be payable according to the formula: 13�(6.3%−LIBOR); min=0.0%, max=81.9% (row 3-63).
The Asset Pool Prepayment Model has access to a data base of historical values of prepayments by kind of asset in the issuer's All Systems Data Base (FIG. 4, block 4-26). The All Systems Data Base is a central repository for corporate wide data. It is external to the EFC Series System, but is accessed by the EFC Series System for data entry and retrieval. Users of the EFC Series System can input asset type and prepayment rate parameters interactively, and receive output projecting expected cash flow and comparing projections to selected historical values. Industry standard rates referred to as �PSA� rates commonly are input as prepayment parameters. Users can input interest rate scenarios interactively and examine their impact on expected cash flows. FIGS. 6-1 through 6-4 illustrate part of an exemplary, projected cash flow of a Mortgage Asset Account calculated by the Asset Pool Prepayment Model. FIGS. 6-1 to 6-4 constitute a single table which is properly viewed by placing FIGS. 6-1 and 6-3 side by side and FIGS. 6-2 and 6-4 side by side, with FIGS. 6-2 beneath FIGS. 6-1. FIGS. 6-5 is a table explaining the notation and abbreviations used in the columnar headings of FIGS. 6-1 to 6-4.
The Derivatives Model (block 5-02) has functionality to calculate projected distributions of interest rates based on, for example, stochastic log normal, truncated log normal and dispersion skewed truncated log normal formulae and user input parameters regarding term, volatility, mean drift and reference forward rates. It can convert user input and benchmark rates into forward rates for the interest rate indexes planned for the EFC Series and from these conversions, can prepare interest rate scenarios to be used by the FLT/INV Class Structuring Process (block 5-04) to calculate expected values for the floater and inverse interest rate formulae planned to be used in the EFC Series. From the distributions, it can determine likelihood estimates of the values of the floater and inverse interest rate formulae. From its access to the All Systems Data Base (block 4-26), it can prepare comparisons of user based projected distributions with historical distributions of benchmark rates. FIGS. 7-1 though 7-4 illustrate part of an exemplary inverse cumulative distribution for LIBOR calculated by the Derivatives Model. FIGS. 7-1 to 6-4 constitute a single table which is properly viewed by placing FIGS. 7-1 and 7-3 side by side and FIGS. 7-2 and 7-4 side by side, with FIGS. 7-2 beneath FIGS. 7-1. FIGS. 7-5 and 7-6 are tables explaining the notation and abbreviations used in the columnar headings of FIGS. 7-1 to 7-4.
A derivative integrated into an EFC Series structure may be indexed to a notional amount that declines with the balance outstanding from time to time of a SUP cash flow or a target scheduled for a FLT Class. These notional amounts are determined by the REMIC Pool Planning and Stress Process (block 5-03) and transferred (line 5-24) to the FLT/INV Class Structuring Process (block 5-04). On the other hand, the derivative may be indexed to a notional amount that declines with the balance of the underlying Mortgage Asset Account, or to the balance of a reference PC Pool or other independent financial information. Schedules of projected outstanding balances of Mortgage Asset Accounts are calculated by the Asset Pool Prepayment Model (block 5-01) and uploaded (line 5-21) to the Derivatives Model (block 5-02) and from there are transferred (line 5-23) to the FLT/INV Class Structuring Process (block 5-04). Independent reference information is input by the user (line 5-12). FIGS. 10-1 through 10-4 illustrate part an exemplary table of notional principal amount schedules determined by the REMIC Pool Planning and Stress Process and uploaded to the FLT/INV Class Structuring Process for analysis of a derivative indexed to the cash flow supporting EF and ES Classes. FIGS. 10-1 to 10-4 constitute a single table which is properly viewed by placing each drawing sheet side by side in sequence. FIGS. 10-5 is a table explaining the notation and abbreviations used in the columnar headings of FIGS. 10-1 to 10-4.
The FLT/INV Class Structuring Process (block 5-04) also computes valuations for the INV Classes affected by the derivatives planned for the EFC Series. Usually, the market for EFC Series is driven by the cash flow requirements of PAC and FLT Class investors, and the EFC Series System generates FLT Classes to meet these requirements. Thus, the use of derivatives to fund FLT Classes usually leads to modifications in the interest rate formula of the related INV Class. The FLT/INV Class Structuring Process translates the proposed derivatives into appropriate inverse-rate formulae and calculates price adjustment tables for the INV Classes as a function of the adjusted inverse-rate formulae. FIGS. 11-1 through 11-4 illustrate part of an exemplary, determination by the FLT/INV Class Structuring Process of the value of a proposed inverse-rate formula when calculated against historical values of LIBOR. FIGS. 11-1 to 11-4 constitute a single table which is properly viewed by placing FIGS. 11-1 and 11-3 side by side and FIGS. 11-2 and 11-4 side by side, with FIGS. 11-2 beneath FIGS. 11-1. FIGS. 11-5 is a table explaining the notation and abbreviations used in the columnar headings of FIGS. 11-1 to 11-4.
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