Method for mortgage and closed end loan portfolio management
First Claim
1. A process for predicting the performance of a loan portfolio, wherein each loan portfolio comprises a plurality of loan units, each of the loan units having a borrower, the process comprising:
- separating the loan units of the loan portfolio into a plurality of loan groups such that a date of origination of each of the loan units included in a loan group are all within a first time interval;
assigning a group date of origination to each of the loan groups;
selecting an analysis time interval;
selecting a plurality of analysis points in time within the analysis time interval;
determining historical bad performance by identifying the loan units in each loan group that have experienced bad performance at each analysis point in time, a bad performance is determined if payments are in arrears at the particular analysis point in time;
determining an age of each of the loan groups at each of the analysis points in time, the age being measured from the group date of origination of the loan group to the analysis point in time;
obtaining a credit score for each of the borrowers of the loan units; and
determining a projected bad rate for each loan unit by combining the historical bad performance for each loan unit and the credit score of the borrower of the at least one loan unit.
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Abstract
A method for mortgage and closed end loan portfolio management in the form of an analytic tool designed to improve analysis of past and future performance of loan portfolios. In accordance with one aspect thereof, the invention aggregates loan units into loan vintages, wherein the loans in each vintage originate within a predetermined time interval of one another. The invention compares different vintages to one another in a manner such that the ages of the loans in the different vintages are comparable to one another. An early warning component of the system predicts delinquency rates expected for a portfolio of loans during a forward looking time window. A matrix link component of the invention combines the loan vintage analysis with the early warning component of the invention and predicts the default rate of the loan portfolios at a selected future point in time. The results of the analysis are graphically depicted and/or automatically fedback to provide “yes” or “no” decisions regarding investments in various loan portfolios.
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Citations
23 Claims
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1. A process for predicting the performance of a loan portfolio, wherein each loan portfolio comprises a plurality of loan units, each of the loan units having a borrower, the process comprising:
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separating the loan units of the loan portfolio into a plurality of loan groups such that a date of origination of each of the loan units included in a loan group are all within a first time interval;
assigning a group date of origination to each of the loan groups;
selecting an analysis time interval;
selecting a plurality of analysis points in time within the analysis time interval;
determining historical bad performance by identifying the loan units in each loan group that have experienced bad performance at each analysis point in time, a bad performance is determined if payments are in arrears at the particular analysis point in time;
determining an age of each of the loan groups at each of the analysis points in time, the age being measured from the group date of origination of the loan group to the analysis point in time;
obtaining a credit score for each of the borrowers of the loan units; and
determining a projected bad rate for each loan unit by combining the historical bad performance for each loan unit and the credit score of the borrower of the at least one loan unit. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23)
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Specification