CASH FLOW RATING SYSTEM

• US 20130166473A1
• Filed: 08/13/2012
• Published: 06/27/2013
• Est. Priority Date: 04/20/2009
• Status: Abandoned Application

• Current Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Original Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Inventors: Lutnick, Howard W., Alderucci, Dean P., Bradshaw, Thomas D., Sweeting, Michael
• Application Number:
  US13/584,455
• Publication Number:
  US 20130166473A1
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Methods and systems are provided herewith for rating a likelihood of payment of one or more cash flows. A computing device determines a probability of payment for one or more scheduled payments for each of one or more debt instruments in a debt instrument portfolio. The computing device may also determine a portfolio cash flow rating of the debt instrument portfolio based on the quantity and purchase price associated with each of the one or more debt instruments, the probability of payment for the one or more payments, a current market price of each of the one or more debt instruments, a net present expected value of the one or more payments in the payment schedule for each of the one or more debt instruments, and/or a credit rating of one or more issuers associated with the debt instruments.

Claims

1. An apparatus, comprising:

at least one processor; and

a memory that stores instructions which, when executed by the at least one processor, directs the at least one processor to;

receive information about a debt instrument portfolio comprising one or more debt instruments, the information comprising, for each debt instrument, a price associated with the debt instrument in a database electronically coupled to the at least one processor;

determine a current value for each of the one or more debt instruments;

determine a payment schedule for each of the one or more debt instruments, each payment schedule comprising one or more payments, each payment schedule correlating a series of payment amounts with respective scheduled times of payment;

determine a probability of payment for the one or more payments for each of the one or more debt instruments;

after determining a probability of payment for the one or more payments for each of the one or more debt instruments, determine a portfolio cash flow rating of the debt instrument portfolio based on;

(1) the current value of each of the one or more debt instruments; and

(2) the probability of payment for the one or more payments of each debt instrument; and

output the portfolio cash flow rating to an output device electronically coupled to the at least one processor.

2. The apparatus of claim 1,

in which the one or more debt instruments comprises a plurality of debt instruments,

in which the information comprises, for each debt instrument, a quantity of the debt instrument, and

in which the act of determining a portfolio cash flow rating of the debt instrument portfolio comprises determining a portfolio cash flow rating of the debt instrument portfolio further based on the quantity of each of the one or more debt instruments, and

in which the instructions, when executed by the at least one processor, further direct the at least one processor to determine an expected net present value of the one or more payments, and

in which the act of determining a portfolio cash flow rating of the debt instrument portfolio comprises determining a portfolio cash flow rating of the debt instrument portfolio based on the expected net present value of the one or more payments of each debt instrument.

4. The apparatus of claim 1, in which the current value of each respective debt instrument comprises a net investment amount, the net investment amount comprising an amount determined based on one or more amounts paid for the debt instrument by a current owner of the debt instrument less an amount based on any payments received on the debt instrument.

5. The apparatus of claim 4, in which the net investment amount comprises an amount based on the net present value of any amounts paid by the current owner for the one or more debt instruments less an amount based on the net present value of any payments received on the one or more debt instruments.

6. The apparatus of claim 1, in which the information about a debt instrument portfolio comprises, for each debt instrument, a par value of the debt instrument, in which the act of determining by the at least one processor a portfolio cash flow rating of the debt instrument portfolio is further based on the par value of each debt instrument.

8. The apparatus of claim 1, in which the act of determining a probability of payment for the one or more payments based on a determined market price for at least one of the one or more payments comprises:

determining a market price for a specific one of the one or more debt instruments;

determining a futures price for the specific one of the one or more debt instruments, the futures price corresponding to a price after a specific payment on the specific debt instrument; and

determining a current value for the specific payment based on the market price for the specific debt instrument and the futures price for the specific debt instrument.

9. The apparatus of claim 1, in which the act of determining a portfolio cash flow rating of the debt instrument portfolio comprises determining the portfolio cash flow rating of the debt instrument portfolio based on an initial credit rating for each of the one or more debt instruments, each initial credit rating being determined for an issuer of the corresponding debt instrument before an issuance of the corresponding debt instrument.

10. The apparatus of claim 1, in which the act of determining a portfolio cash flow rating of the debt instrument portfolio comprises determining the portfolio cash flow rating of the debt instrument portfolio based on a current credit rating for each of the one or more debt instruments, each current credit rating being determined for an issuer of the corresponding debt instrument.

11. The apparatus of claim 1, in which the current value associated with each of the one or more debt instruments comprises a value determined based on a price at which a current owner purchased each respective debt instrument.

14. The apparatus of claim 1, in which the current value for each debt instrument comprises a current market price for each respective debt instrument.

17. The apparatus of claim 1, in which the instructions, when executed by the at least one processor, further direct the at least one processor to determine one or more hedge securities that would improve the cash flow rating of the debt instrument portfolio if the one or more hedge securities were added to the debt instrument portfolio.

18. The apparatus of claim 17, in which the instructions, when executed by the at least one processor, further direct the at least one processor to:

purchase the one or more hedge securities in one or more quantities determined by the at least one processor,

prompt a user to identify one or more discretionary assets in the debt instrument portfolio;

sell at least one of the discretionary assets in exchange for an amount of proceeds; and

purchase at least one of the hedge securities using at least a portion of the amount of proceeds.

22. The apparatus of claim 1, in which the act of determining a portfolio cash flow rating of the debt instrument portfolio comprises determining a portfolio cash flow rating of the debt instrument portfolio further based on a net present value of a market price for each debt instrument.

3. (canceled)

7. (canceled)

12-13. -13. (canceled)

15-16. -16. (canceled)

19-21. -21. (canceled)

23-32. -32. (canceled)

33. A method, comprising:

receiving by at least one processor a request to determine a cash flow rating of a debt instrument;

determining by the at least one processor a purchase price of the debt instrument;

determining by the at least one processor a current market price of the debt instrument and a payment schedule comprising one or more payments on the debt instrument;

determining by the at least one processor a probability of payment of the one or more payments based on one or more financial conditions associated with an issuer of the debt instrument; and

causing by the at least one processor a display of (1) a plurality of amounts between zero and a total net present value of the one or more payments, in sequential order, and (2) a rating indicating a probability that each of the plurality of amounts will be received in connection with the debt instrument.

34. The method of claim 33, in which the display comprises a display in grid format, in which the rating indicating the probability that each of the plurality of amounts will be received is displayed in sequential order of the corresponding scheduled payment.

35-37. -37. (canceled)

38. An apparatus, comprising:

at least one processor; and

a memory that stores instructions which, when executed by the at least one processor, directs the at least one processor to;

receive information about a debt instrument portfolio comprising one or more debt instruments, the information comprising, for each debt instrument, a price associated with the debt instrument in a database electronically coupled to the at least one processor;

determine a payment schedule for each of the one or more debt instruments, each payment schedule comprising one or more payments, each payment schedule correlating a series of payment amounts with respective scheduled times of payment;

determine a probability of payment for the one or more payments for each of the one or more debt instruments;

determine a portfolio cash flow rating of the debt instrument portfolio based on;

(1) the price of each debt instrument; and

(2) the probability of payment for the one or more payments of each debt instrument; and

output the portfolio cash flow rating to an output device electronically coupled to the at least one processor.

39. The apparatus of claim 38, in which the act of determining a probability of payment for the one or more payments comprises determining a probability of payment for the one or more payments based on a determined market price for at least one of the one or more payments.

40. The apparatus of claim 39, in which the act of determining a probability of payment for the one or more payments based on a determined market price for at least one of the one or more payments comprises:

determining a market price for a specific one of the one or more debt instruments;

determining a futures price for the specific one of the one or more debt instruments, the futures price corresponding to a price after a specific payment on the specific debt instrument; and

determining a current market price for the specific payment based on the market price for the specific debt instrument and the futures price for the specific debt instrument.

41. An apparatus, comprising:

at least one processor; and

a memory that stores instructions which, when executed by the processor, directs the at least one processor to;

receive a price of a debt instrument;

store the price in a database electronically coupled to the at least one processor;

determine a payment schedule for each of the one or more debt instruments, each payment schedule comprising one or more payments, each payment schedule correlating a series of payment amounts with respective scheduled times of payment;

determine a probability of payment for the one or more payments for each of the one or more debt instruments;

determine a portfolio cash flow rating of the debt instrument portfolio based on at least;

(1) the price of the debt instrument;

(2) the probability of payment of the debt instrument; and

output the portfolio cash flow rating to an output device.

42. The apparatus of claim 41, in which the act of determining a probability of payment for the one or more payments comprises determining a probability of payment for the one or more payments based on a determined market price for one or more of the one or more payments.