System and method for improved rating and modeling of asset backed securities

• US 20100211494A1
• Filed: 02/13/2009
• Published: 08/19/2010
• Est. Priority Date: 02/13/2009
• Status: Active Grant

• Current Assignee: Refinitiv US Organization, LLC (Refinitiv US Holdings, Inc.)
• Original Assignee: Thomson Financial LLC (Refinitiv US Holdings, Inc.)
• Inventors: CLEMENTS, Richard F.
• Granted Patent: US 8,452,681 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• 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

The present invention provides a computer-based system for evaluating risk in asset backed securities (ABS) comprising: a database containing data associated with an asset pool of an ABS; a computer having a processor for executing software and being adapted to establish a communication link with an external provider of electronic data and to receive a first data set associated with an asset pool of an ABS, the first data set including credit score data related to the asset pool; and a migratory pattern predictive model application executed by the processor and adapted to analyze at least a part of the first data set, including the credit score data, and to determine a rating concerning the relative risk associated with the ABS.

Claims

1. A computer-implemented method comprising:

(a) identifying an asset backed security (ABS);

(b) assigning a first score to the ABS at a first time;

(c) based upon a migratory pattern associated with the ABS, assigning a second score to the ABS at a second time; and

(d) storing the second score.

2. The method of claim 1 wherein the migratory pattern is based upon at least one factor selected from the group consisting of:

(a) a set of credit scores;

(b) a set of credit capacity indices;

(c) a set of loan-to=value (LTV) ratios;

(d) a set of information relating to home sales;

(e) a set of information relating to home foreclosures; and

(f) a set of information relating to HELOCs.

3. The method of claim 1 further comprising assigning a monetary value to the ABS based upon the second score.

4. The method of claim 3 further comprising entering into a transaction associated to the ABS wherein the transaction is related to the monetary value.

5. The method of claim 4 wherein the transaction is a sale.

6. The method of claim 4 wherein the transaction is a purchase.

7. A computerized method for evaluating risk in asset backed securities, the method comprising:

receiving a first data set associated with an asset pool of an asset backed security (ABS), the first data set including credit score data related to the asset pool;

applying a migratory pattern predictive model to at least a part of the first data set, including the credit score data, and determining a rating concerning the relative risk associated with the ABS.

8. The method of claim 7, wherein the first data set includes default data associated with the asset pool.

9. The method of claim 7, wherein the migratory pattern predictive model includes as a factor data related to the exiting of assets from an asset pool.

10. The method of claim 7, wherein the first data set includes data related to the exiting of assets from the asset pool.

11. The method of claim 7, further comprising the step of repeating the applying step on a periodic basis to generate an updated rating concerning the relative risk associated with the ABS.

12. The method of claim 7, wherein the first data set includes one or more of:

FICO;

VantageScore;

WAM;

WAC;

WALA;

upgrades;

downgrades; and

exits.

13. A computer-based system for evaluating risk in asset backed securities (ABS) comprising:

a database containing data associated with an asset pool of an ABS;

a computer having a processor for executing software and being adapted to establish a communication link with an external provider of electronic data and to receive a first data set associated with an asset pool of an ABS, the first data set including credit score data related to the asset pool; and

a migratory pattern predictive model application executed by the processor and adapted to analyze at least a part of the first data set, including the credit score data, and to determine a rating concerning the relative risk associated with the ABS.

14. The system of claim 13, wherein the first data set includes default data associated with the asset pool.

15. The system of claim 13, wherein the migratory pattern predictive model application includes code that applies as a factor data related to the exiting of assets from an asset pool.

16. The system of claim 13, wherein the first data set includes data related to the exiting of assets from the asset pool.

17. The system of claim 13, wherein the migratory pattern predictive model application is applied on a periodic basis to successive updated data sets associated with the asset pool to generate updated ratings concerning the relative risk associated with the ABS.

18. The system of claim 13, wherein the first data set includes one or more of:

FICO;

VantageScore;

WAM;

WAC;

WALA;

upgrades;

downgrades; and

exits.