Patent ID: 8452700

Claim:
A computer-implemented apparatus for facilitating issuance of an interest-bearing instrument, comprising: a memory; and a computer processor in communication with the memory, the computer processor executing functions comprising: (a) receiving data corresponding to market factors; (b) storing the received market factors data in a database; (c) selecting an option model; (d) receiving data corresponding to a regression model; (e) receiving data corresponding to a prepayment model; (f) receiving data corresponding to an interest rate term structure model; (g) receiving data corresponding to a default term structure; (h) receiving data corresponding to transaction indicative details associated with the interest bearing instrument to be issued; (i) normalizing the received and stored data; (j) calculating prepayment probabilities based on an output of the regression model and an output of the prepayment model; (k) calculating a forward term structure of at least one benchmark rate based on the interest rate term structure model; (l) calculating discount factors to be applied to at least one cashflow associated with the interest bearing instrument to be issued; (m) calculating an option value from the option model using the prepayment probabilities, the forward term structure, the discount factors, and the default term structure; (n) calculating a principal modification value based on the option value, wherein the principal modification value modifies a principal amount associated with the interest bearing instrument to be issued; (o) calculating a risk capital savings using the following equation: R ⁢ ⁢ C ⁢ ⁢ S t = ( ∑ i = 1 i = T ⁢ ( ( ( L u a - L R ) i * R ⁢ ⁢ C ⁢ ⁢ W * R ⁢ ⁢ C ⁢ ⁢ P * R k i / F ) * ( 1 + R _ f i / F ) - i / L u a i ) ) * 10000 where: RCS is Risk Capital Savings; L u a is unamortized Loan Balance: Monthly; L R Loan: Rate Accrual Mortgage variant (which contains the principal modification value); RCW is Risk Capital Weight; RCP Risk Capital Percentage; R k is Contract Rate Discount Factor; R f t is Strike Rate Discount Factor; F is Periodicity; i is an incremental counter; t is an initial time; and T is a final time; and (p) displaying the calculated risk capital savings to facilitate issuance of the interest bearing instrument.