Cash flow aggregation system and method
First Claim
1. A computer-implemented data processing system for creating and maintaining financial assets which accentuate different types of sub-loan level risk associated with a plurality of home mortgage loans and which are configured to operate as hedges against risks that oppose the different types of sub-loan level risk, the financial assets being sold to different investors in the capital markets, comprising:
- processing logic, the processing logic being configured to perform processing operations including (1) receive information concerning the plurality of home mortgage loans, each of the plurality of home mortgage loans being sensitive to the different types of sub-loan level risk, each of the plurality of home mortgage loans comprising a plurality of sub-loan level cash flows, wherein, for each of the plurality of home mortgage loans, individual sub-loan level cash flows exhibit heightened sensitivity to corresponding different types of sub-loan level risk relative to the sensitivity to the different types of sub-loan level risk exhibited by the respective home mortgage loan as a whole, (2) decompose each of the plurality of home mortgage loans into the plurality of sub-loan level cash flows, (3) repackage the plurality of sub-loan level cash flows to form the financial assets, including (a) select a sub-combination of the plurality of sub-loan level cash flows, the sub-combination of sub-loan level cash flows comprising sub-loan level cash flows from across the plurality of home mortgage loans, and the sub-combination of sub-loan level cash flows exhibiting heightened sensitivity to at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity to the at least one of the different types of sub-loan level risk exhibited by the sub-loan level cash flows that form the sub-combination of sub-loan level cash flows, (b) package the sub-combination of sub-loan level cash flows to create one of the financial assets, the financial asset that is created accentuating the at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity exhibited by the sub-combination of sub-loan level cash flows, thereby configuring the financial asset to operate as a hedge against a risk that opposes the at least one of the different types of sub-loan level risk, (c) repeat the select operation (a) and the package operation (b) to create additional financial assets, the additional financial assets including different financial assets which accentuate other different types of sub-loan level risk and which exhibit heightened sensitivity to the other different types of sub-loan level risk as compared to the sensitivity to the other different types of sub-loan level risk exhibited by the plurality of home mortgage loans as a whole, thereby configuring the additional financial assets to operate as hedges against other risks that oppose the other different types of sub-loan level risk, and (d) store information concerning the financial assets in a data storage system of the data processing system, the information being stored in the form of a plurality of data structures each of which represents a respective one of the financial assets, each of the plurality of data structures comprising (i) description data having creation, purpose, and transaction information data describing the data structure, (ii) a data map including information on cash flows that flow into the financial asset, the cash flows including the combination of sub-loan level cash flows packaged to create the financial asset, and (iii) computer process instructions including information on cash flow processing for the cash flows that flow into the financial asset, and (4) allocate payments for the financial assets to the different investors in the capital markets, thereby permitting the different investors to hedge against the risks that oppose the different types of sub-loan level risk.
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Abstract
A data construct represents a financial asset in a data processing system. The data construct comprises description data, a cash flow map, and process instructions. The description data further comprises creation, purpose, and transaction information data describing the financial asset. The cash flow map further comprises information on cash flows that flow into the financial asset. The process instructions include information on cash flow processing for the cash flows that flow into the financial asset.
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Citations
26 Claims
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1. A computer-implemented data processing system for creating and maintaining financial assets which accentuate different types of sub-loan level risk associated with a plurality of home mortgage loans and which are configured to operate as hedges against risks that oppose the different types of sub-loan level risk, the financial assets being sold to different investors in the capital markets, comprising:
processing logic, the processing logic being configured to perform processing operations including (1) receive information concerning the plurality of home mortgage loans, each of the plurality of home mortgage loans being sensitive to the different types of sub-loan level risk, each of the plurality of home mortgage loans comprising a plurality of sub-loan level cash flows, wherein, for each of the plurality of home mortgage loans, individual sub-loan level cash flows exhibit heightened sensitivity to corresponding different types of sub-loan level risk relative to the sensitivity to the different types of sub-loan level risk exhibited by the respective home mortgage loan as a whole, (2) decompose each of the plurality of home mortgage loans into the plurality of sub-loan level cash flows, (3) repackage the plurality of sub-loan level cash flows to form the financial assets, including (a) select a sub-combination of the plurality of sub-loan level cash flows, the sub-combination of sub-loan level cash flows comprising sub-loan level cash flows from across the plurality of home mortgage loans, and the sub-combination of sub-loan level cash flows exhibiting heightened sensitivity to at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity to the at least one of the different types of sub-loan level risk exhibited by the sub-loan level cash flows that form the sub-combination of sub-loan level cash flows, (b) package the sub-combination of sub-loan level cash flows to create one of the financial assets, the financial asset that is created accentuating the at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity exhibited by the sub-combination of sub-loan level cash flows, thereby configuring the financial asset to operate as a hedge against a risk that opposes the at least one of the different types of sub-loan level risk, (c) repeat the select operation (a) and the package operation (b) to create additional financial assets, the additional financial assets including different financial assets which accentuate other different types of sub-loan level risk and which exhibit heightened sensitivity to the other different types of sub-loan level risk as compared to the sensitivity to the other different types of sub-loan level risk exhibited by the plurality of home mortgage loans as a whole, thereby configuring the additional financial assets to operate as hedges against other risks that oppose the other different types of sub-loan level risk, and (d) store information concerning the financial assets in a data storage system of the data processing system, the information being stored in the form of a plurality of data structures each of which represents a respective one of the financial assets, each of the plurality of data structures comprising (i) description data having creation, purpose, and transaction information data describing the data structure, (ii) a data map including information on cash flows that flow into the financial asset, the cash flows including the combination of sub-loan level cash flows packaged to create the financial asset, and (iii) computer process instructions including information on cash flow processing for the cash flows that flow into the financial asset, and (4) allocate payments for the financial assets to the different investors in the capital markets, thereby permitting the different investors to hedge against the risks that oppose the different types of sub-loan level risk. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10)
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11. A computer implemented method of creating and maintaining financial assets which accentuate different types of sub-loan level risk associated with a plurality of home mortgage loans and which are configured to operate as hedges against risks that oppose the different types of sub-loan level risk, comprising:
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(A) receiving information in a computer system concerning the plurality of home mortgage loans, each of the plurality of home mortgage loans being sensitive to the different types of sub-loan level risk, each of the plurality of home mortgage loans comprising a plurality of sub-loan level cash flows, wherein, for each of the plurality of home mortgage loans, individual sub-loan level cash flows exhibit heightened sensitivity to corresponding different types of sub-loan level risk relative to the sensitivity to the different types of sub-loan level risk exhibited by the respective home mortgage loan as a whole;
(B) decomposing each of the plurality of home mortgage loans into the plurality of sub-loan level cash flows;
(C) repackaging the plurality of sub-loan level cash flows to form the financial assets, including (1) selecting a sub-combination of the plurality of sub-loan level cash flows, the sub-combination of sub-loan level cash flows comprising sub-loan level cash flows from across the plurality of home mortgage loans, and the sub-combination of sub-loan level cash flows exhibiting heightened sensitivity to at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity to the at least one of the different types of sub-loan level risk exhibited by the sub-loan level cash flows that form the sub-combination of sub-loan level cash flows, (2) packaging the sub-combination of sub-loan level cash flows to create one of the financial assets, the financial asset that is created accentuating the at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity exhibited by the sub-combination of sub-loan level cash flows, thereby configuring the financial asset to operate as a hedge against a risk that opposes the at least one of the different types of sub-loan level risk, and (3) repeating the selecting and packaging steps to create additional financial assets, the additional financial assets including different financial assets which accentuate other different types of sub-loan level risk and which exhibit heightened sensitivity to the other different types of sub-loan level risk as compared to the sensitivity to the other different types of sub-loan level risk exhibited by the plurality of home mortgage loans as a whole, thereby configuring the additional financial assets to operate as hedges against other risks that oppose the other different types of sub-loan level risk;
(D) storing information concerning the financial assets in a data storage system of a computer system, the information being stored in the form of a plurality of data structures, each of the plurality of data structures representing a respective one of the financial assets, the information stored for each of the plurality of data structures including (1) description data having creation, purpose, and transaction information data describing the financial asset, (2) a cash flow map including information on cash flows that flow into the financial asset, the cash flows including the combination of sub-loan level cash flows packaged to create the financial asset, and (3) process instructions including information on cash flow processing for the cash flows that flow into the financial asset; and
(E) selling the financial assets to different investors in the capital markets, thereby permitting the different investors to hedge against the risks that oppose the different types of sub-loan level risk.
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12. A computer-implemented method of creating financial assets which accentuate different types of sub-loan level risk associated with a plurality of home mortgage loans and which are configured to operate as hedges against risks that oppose the different types of sub-loan level risk, the financial assets being sold to different investors in the capital markets, comprising:
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(A) receiving information in a computer system concerning the plurality of home mortgage loans, each of the plurality of home mortgage loans being sensitive to the different types of sub-loan level risk, each of the plurality of home mortgage loans comprising a plurality of sub-loan level cash flows, wherein, for each of the plurality of home mortgage loans, individual sub-loan level cash flows exhibit heightened sensitivity to corresponding different types of sub-loan level risk relative to the sensitivity to the different types of sub-loan level risk exhibited by the respective home mortgage loan as a whole;
(B) decomposing each of the plurality of home mortgage loans into the plurality of sub-loan level cash flows;
(C) repackaging the plurality of sub-loan level cash flows to form the financial assets, including (1) selecting a sub-combination of the plurality of sub-loan level cash flows, the sub-combination of sub-loan level cash flows comprising sub-loan level cash flows from across the plurality of home mortgage loans, and the sub-combination of sub-loan level cash flows exhibiting heightened sensitivity to at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity to the at least one of the different types of sub-loan level risk exhibited by the sub-loan level cash flows that form the sub-combination of sub-loan level cash flows, (2) packaging the sub-combination of sub-loan level cash flows to create one of the financial assets, the financial asset that is created accentuating the at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity exhibited by the sub-combination of sub-loan level cash flows, thereby configuring the financial asset to operate as a hedge against a risk that opposes the at least one of the different types of sub-loan level risk, (3) repeating the selecting and packaging steps to create additional financial assets, the additional financial assets including different financial assets which accentuate other different types of sub-loan level risk and which exhibit heightened sensitivity to the other different types of sub-loan level risk as compared to the sensitivity to the other different types of sub-loan level risk exhibited by the plurality of home mortgage loans as a whole, thereby configuring the additional financial assets to operate as hedges against other risks that oppose the other different types of sub-loan level risk, and (4) storing information pertaining to a mapping relationship between the financial assets and the plurality of sub-loan level cash flows in a data storage system of the computer system, the mapping relationship reflecting performance of the decomposing and repackaging steps and describing a manner in which cash flows flowing into each of the financial assets are traceable back to the plurality of sub-loan level cash flows, the information pertaining to the mapping relationship being stored in the form of a plurality of data structures which respectively represent one of the financial assets, the plurality of data structures each comprising a data map which includes information on cash flows that flow into the data structure, the plurality of data structures each further comprising computer process instructions including information on cash flow processing for the cash flows that flow into the data structure;
(D) processing loan payment information in accordance with the stored information and generating information regarding investment proceeds due to the investors in the financial assets, the processing and generating steps being performed by the computer system, and the processing and generating steps including (1) receiving information regarding a plurality of loan payments in connection with the plurality of home mortgage loans, (2) accessing the stored information that describes the mapping relationship between the financial assets and the plurality of sub-loan level cash flows, and (3) allocating, for each of the plurality of home mortgage loans, portions of the loan payments corresponding to the plurality of sub-loan level cash flows to a respective one of the financial assets based on the mapping information; and
(E) allocating payments for the investors in the financial assets based on funds derived from the plurality of loan payments and in accordance with the allocation of the plurality of sub-loan level cash flows to the respective financial assets, thereby permitting the different investors to hedge against the risks that oppose the different types of sub-loan level risk, the allocating step being performed by the computer system. - View Dependent Claims (13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25)
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26. A computer-implemented data processing system for creating and maintaining financial assets which accentuate different types of sub-loan level risk associated with a plurality of home mortgage loans and which are configured to operate as hedges against risks that oppose the different types of sub-loan level risk, the financial assets being sold to different investors in the capital markets, comprising:
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(A) computer-implemented acquisition logic, the acquisition logic including logic configured to receive acquisition information concerning the plurality of home mortgage loans, each of the plurality of home mortgage loans being sensitive to the different types of sub-loan level risk, each of the plurality of home mortgage loans comprising a plurality of sub-loan level cash flows, wherein, for each respective one of the plurality of home mortgage loans, individual sub-loan level cash flows exhibit heightened sensitivity to corresponding individual sub-loan level risk relative to the sensitivity to the different types of sub-loan level risk exhibited by the respective home mortgage loan as a whole, the information including information pertaining to loan term, interest rate, principal owed and other parameters for each of the plurality of home mortgage loans;
(B) computer-implemented financial asset generation logic, the financial asset generation logic including logic configured to facilitate creation and maintenance of a financial assets backed by the plurality of home mortgage loans, the creation and maintenance of the financial assets resulting in the generation of investment information, the financial asset generation logic including (1) a computer-implemented cash flow decomposition/repackaging tool, the cash flow decomposition/repackaging tool being configured to (a) decompose each of the plurality of home mortgage loans into a plurality of sub-loan level cash flows, (b) repackage the plurality of sub-loan level cash flows into the financial assets, including (i) select a sub-combination of the plurality of sub-loan level cash flows, the sub-combination of sub-loan level cash flows comprising sub-loan level cash flows from across the plurality of home mortgage loans, and the sub-combination of sub-loan level cash flows exhibiting heightened sensitivity to at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity to the at least one of the different types of sub-loan level risk exhibited by the sub-loan level cash flows that form the sub-combination of sub-loan level cash flows, (ii) package the sub-combination of sub-loan level cash flows to create one of the financial assets, the financial asset that is created accentuating the at least one of the different types of sub-loan level risk in accordance with the heightened sensitivity exhibited by the sub-combination of sub-loan level cash flows, thereby configuring the financial asset to operate as a hedge against a risk that opposes the at least one of the different types of sub-loan level risk, (iii) repeat the select operation (i) and the package operation (ii) to create additional financial assets, the additional financial assets including different financial assets which accentuate other different types of sub-loan level risk and which exhibit heightened sensitivity to the other different types of sub-loan level risk as compared to the sensitivity to the other different types of sub-loan level risk exhibited by the plurality of home mortgage loans as a whole, thereby configuring the additional financial assets to operate as hedges against other risks that oppose the other different types of sub-loan level risk, and wherein the financial assets include financial assets that are backed only by cash flows other than principal or interest cash flows for the plurality of home mortgage loans, wherein the decomposition/repackaging tool is configured to generate different types of financial assets which are backed only by the cash flows other than the principal or interest cash flows, including debt instruments, options, and swaps, wherein the decomposition/repackaging tool is configured to store information pertaining to a mapping relationship between the financial assets and the plurality of sub-loan level cash flows, the mapping relationship reflecting performance of the decomposing and repackaging steps and describing a manner in which cash flows flowing into each of the financial assets are traceable back to the plurality of sub-loan level cash flows, wherein the information pertaining to the mapping relationship is stored in the form of a plurality of data structures which each represent a respective one of the financial assets including the options, and the swaps, the plurality of data structures each comprising a data map which includes information on cash flows that flow into the data structure, the plurality of data structures each further comprising computer process instructions including information on cash flow processing for the cash flows that flow into the data structure, and (2) a plurality of computer-implemented financial engineering tools, the financial engineering tools being configured to assess financial risk associated with the financial assets and to display a graphical representation of the financial risk to a human operator, including the financial assets that are backed only by cash flows other than the principal or interest cash flows, and including the debt instruments, the options, and the swaps;
(C) computer-implemented reporting logic, the reporting logic including logic configured to (1)(a) receive payment information regarding a loan payment for a first one of the plurality of home mortgage loans, (b) allocate the loan payment between the plurality of sub-loan level cash flows, (c) access the stored mapping information including the data structures pertaining to the mapping relationship between the financial assets and the plurality of sub-loan level cash flows, and (d) allocate each of the plurality of sub-loan level cash flows to different financial assets in accordance with the stored mapping information, and (e) repeat the foregoing for remaining home mortgage loans, and (2)(a) aggregate the plurality of sub-loan level cash flows from each of the plurality of home mortgage loans for each of the financial assets, and (b) generate payment information for the investors in the financial assets based on the aggregated sub-loan level cash flows; and
wherein the payment information for the investors in the financial assets includes payment information for the financial assets that are backed only by cash flows other than the principal or interest cash flows, including the debt instruments, the options, and the swaps.
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Specification