Patent ID: 8521644

Claim:
A method, implemented using a computer, for directing cash flows from existing mortgage-backed security collateral, comprising: analyzing, using the computer, a plurality of loans that back an existing mortgage-backed security to identify a first set of loans from the plurality of loans having a specific loan characteristic and a second set of loans from the plurality of loans not having the specific loan characteristic; grouping, using the computer, the plurality of loans into a first subgroup and a second subgroup according to an automated function that determines the number of loans from the first set of loans to place in the first subgroup without violating constraints from an optimization model; directing, using the computer, cash flows from the plurality of loans into the first subgroup according to the grouping, without collapsing the existing mortgage-backed security; directing, using the computer, cash flows from the plurality of loans into the second subgroup according to the grouping, without collapsing the existing mortgage-backed security; establishing, using the computer, a first new security backed by a cash flow of the first subgroup; and establishing, using the computer, a second new security backed by a cash flow of the second subgroup; wherein the existing mortgage-backed security remains intact after the establishing.