Patent ID: 7853501

Claim:
A computer-implemented method for creating investment securities, the computer including a processor and memory and the method comprising steps performed by the computer of: receiving, by the processor, structuring constraints; defining, by the processor, one or more classes of securities; creating, by the processor, a securities structure backed by mortgage pool components in accordance with the structuring constraints, the securities structure having one or more classes of securities, at least one class being subject to an artificial leverage limitation under the structuring constraints because it is designated for absorbing prepayment risk; restructuring, by the processor, one of the at least one class designated for absorbing prepayment risk to overcome the artificial leverage limitation by combining it with at least one cash flow coming from interest-rate derivative components; generating, by the processor, one or more structured securities based on the securities structure and the one or more classes of securities; and issuing, by the processor, the one or more structured securities.