System and method for structured put auction rate combination structure

• US 20060282356A1
• Filed: 04/15/2005
• Published: 12/14/2006
• Est. Priority Date: 04/15/2004
• Status: Abandoned Application

• Current Assignee: Barclays Capital Incorporated (Barclays PLC)
• Original Assignee: Barclays Capital Incorporated (Barclays PLC)
• Inventors: Andres, Brad, O'Hara, Thomas J.
• Application Number:
  US11/107,720
• Publication Number:
  US 20060282356A1
• Time in Patent Office: Days
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A trust can issue notes based on pooled home equity lines of credit (HELOCs). During a predetermined period, interest and principal payments can be made in connection with the HELOCs can be used to make payments to noteholders, to further capitalize or enhance the underlying loans or certificates based on those loans, or can be placed in a reserve fund. In an embodiment, on a defined date, the notes can be offered for auction. Where market clearing bids are within preferred parameters, the noteholders can sell their notes at par value. Where market clearing bids are within acceptable, but not preferred parameters, the noteholders can sell their notes at a discount value, with a backstop amount paid to the noteholders by a guarantor. Where the auction fails, the noteholders can retain their notes, and can be paid a backstop amount by the guarantor, up to a maximum backstop amount.

Claims

1. A method for determining a coupon margin comprising:

establishing one or more collateralized notes each having a first coupon margin, said first coupon margin comprising one or more periodic distributions and one or more periodic payments for a predetermined time;

at the expiration of the predetermined time, holding an auction for the one or more collateralized notes, said auction comprising one or more auction bids from each of one or more parties;

calculating a second coupon margin based on at least one of the one or more auction bids;

transferring the one or more collateralized notes to at least one of the one or more parties; and

making a par payment.

2. The method of claim 1, wherein a portion of the par payment comprises an amount provided by a guarantor.

3. The method of claim 1, wherein the one or more collateralized notes are secured by a lot loan pool certificate.

4. The method of claim 1, wherein the one or more collateralized notes are secured by a lot loan pool.

5. The method of claim 1, wherein a portion of the par payment is calculated using a backstop amount.

6. The method of claim 1, wherein said one or more collateralized notes are secured by a HELOC loan pool certificate.

7. The method of claim 1, wherein said one or more collateralized notes are secured by a HELOC loan pool.

8. A method for determining a coupon margin comprising:

establishing one or more collateralized notes each having a first coupon margin, said first coupon margin comprising one or more periodic distributions and one or more periodic payments for a predetermined time;

at the expiration of the predetermined time, holding an auction for the one or more collateralized notes, said auction comprising one or more bids from each of one or more parties;

if no bid is within one or more parameters, setting a second coupon margin based on at least one of said one or more parameters; and

making a backstop payment.

9. A method for limiting guarantor exposure in a note auction comprising:

setting a preferred coupon margin, an acceptable coupon margin, and a maximum coupon margin in a note auction;

holding said note auction;

where the note auction results in the preferred coupon margin, paying a par value comprising proceeds from the note auction;

where the note auction results in the acceptable coupon margin, paying the par value comprising proceeds from the note auction and a backstop payment; and

where the note auction exceeds the maximum coupon margin, paying only a backstop payment.

10. A method for ensuring par payments to one or more note owners comprising:

setting a preferred coupon margin and an acceptable coupon margin in a note auction;

holding said note auction;

where the note auction results in the preferred coupon margin, paying a par value comprising proceeds from the note auction; and

where the note auction results in the acceptable coupon margin, paying the par value comprising proceeds from the note auction and a backstop payment.