System for the creation and collateralization of real estate mortgage investment conduit securities

• US 6,070,151 A
• Filed: 11/29/1995
• Issued: 05/30/2000
• Est. Priority Date: 04/22/1993
• Status: Expired due to Term

• Current Assignee: Fibonacci Corporation
• Original Assignee: Fibonacci Corporation
• Inventors: Frankel, Judah M.
• Primary Examiner(s): Poinvil, Frantzy
• Application Number:
  US08/563,856
• Time in Patent Office: 1,644 Days
• Field of Search: 364/400, 364/401, 364/406, 364/408, 705/35, 705/36, 235/379, 283/56, 283/57, 340/825.26
• US Class Current: 705/36.00R
• 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

A system for creating and managing securities that evaluates the cash flows of mortgage securities that are to be restructured into new securities. The securities to be restructured can be either mortgage securities that qualify as collateral for a CMO/REMIC or securities that were issued by an existing CMO/REMIC. Based upon the original mortgage securities, the system may create four new securities: two each that have principal-only cash flows and two each that have interest-only cash flows.

Claims

1. An apparatus for creating new securities from underlying securities collateralized by mortgage obligations, comprising:

means for creating a plurality of first securities collateralized by the underlying securities and having total principal payments equal to an allocated amount of the principal payments from the underlying securities based upon a preselected interest rate and total interest payments equal to total payments of a first interest-only security;

means for creating a plurality of second securities collateralized by the underlying securities and having total principal payments equal to a remainder of the principal payments from the underlying securities and total interest payments equal to the interest payments on a second interest-only security;

means for creating said first interest-only security collateralized by said plurality of first securities and having payments equal to the total interest payments from said plurality of first securities;

means for creating said second interest-only security collateralized by said plurality of second securities and having payments equal to the total interest payments from said plurality of second securities; and

means for printing at least one securities document for the new securities;

wherein an interest rate on each of said first and second securities varies linearly subject to a minimum and a maximum.

2. An apparatus according to claim 1, further comprising means for creating at least one principal-only security collateralized by said plurality of first securities and said plurality of second securities and having total payments equal to the total principal payments from said plurality of first securities and said plurality of second securities.

3. An apparatus according to claim 1, wherein principal payments from the underlying securities are allocated equally among said first and second securities.

4. An apparatus according to claim 1, wherein principal payments from the underlying securities are allocated unequally among said first and second securities.

5. An apparatus according to claim 3 or 4, wherein principal payments from the underlying securities are distributed to each of said first and second securities in proportion to a stated principal amount.

6. An apparatus according to claim 1, wherein each of said first and second securities is a single segment variable rate security.

7. An apparatus according to claim 1, wherein said first and second interest-only securities are monotonic variable rate securities.

8. An apparatus according to claim 2, further comprising means for combining at least two of said first and second interest-only securities and said first and second principal-only securities into a combination security.

9. An apparatus according to claim 8, wherein said combination security increases in value as interest rates decline.

10. An apparatus according to claim 8, wherein said combination security increases in value as interest rates rise.

11. An apparatus for creating new securities from underlying securities collateralized by mortgage obligations, comprising:

means for creating a plurality of first securities collateralized by the underlying securities and having total principal payments equal to an allocated amount of the principal payments from the underlying securities based upon a preselected interest rate and total interest payments equal to total payments of a first interest-only security;

means for creating a plurality of second securities collateralized by the underlying securities and having total principal payments equal to a remainder of the principal payments from the underlying securities and total interest payments equal to the interest payments on a second interest-only security;

means for creating a third security collateralized by said plurality of first securities and having principal payments equal to an allocated amount of the principal payments from the underlying securities and interest payments equal to the total interest payments from said plurality of first securities;

means for creating a fourth security collateralized by said plurality of second securities and principal payments equal to a remainder of the principal payments from the underlying securities and interest payments equal to the total interest payments from said plurality of second securities; and

means for creating said first interest-only security collateralized by said third security and having payments equal to the interest payments from said third security;

means for creating said second interest-only security collateralized by said fourth security and having payments equal to the interest payments from said fourth security;

means for printing at least one securities document for the new securities;

wherein an interest rate on each of said first and second securities varies linearly subject to a minimum and a maximum.

12. An apparatus according to claim 11, further comprising means for creating at least one principal-only security collateralized by said third and fourth securities and having total payments equal to the total principal payments from said third and fourth securities.

13. An apparatus according to claim 11, wherein principal payments from the underlying securities are allocated equally among said first and second securities.

14. An apparatus according to claim 11, wherein principal payments from the underlying securities are allocated unequally among said first and second securities.

15. An apparatus according to claim 13 or 14, wherein principal payments from the underlying securities are distributed to each of said first and second securities in proportion to a stated principal amount.

16. An apparatus according to claim 11, wherein each of said first and second securities is a single segment variable rate security.

17. An apparatus according to claim 11, wherein said first and second interest-only securities are monotonic variable rate securities.

18. An apparatus according to claim 12, further comprising means for combining at least two of said first and second interest-only securities and said first and second principal-only securities into a combination security.

19. An apparatus according to claim 18, wherein said combination security increases in value as interest rates decline.

20. An apparatus according to claim 18, wherein said combination security increases in value as interest rates rise.

21. A method for creating new securities from underlying securities collateralized by mortgage obligations, comprising the steps of:

creating a plurality of first securities collateralized by the underlying securities and having total principal payments equal to an allocated amount of the principal payments from the underlying securities based upon a preselected interest rate and total interest payments equal to total payments of a first interest-only security;

creating a plurality of second securities collateralized by the underlying securities and having total principal payments equal to a remainder of the principal payments from the underlying securities and total interest payments equal to the interest payments on a second interest-only security;

setting an interest rate on each of said first and second securities to vary linearly subject to a minimum and a maximum;

creating said first interest-only security collateralized by said plurality of first securities and having payments equal to the total interest payments from said plurality of first securities;

creating said second interest-only security collateralized by said plurality of second securities and having payments equal to the total interest payments from said plurality of second securities; and

printing at least one securities document for the new securities.

22. A method according to claim 21, further comprising the step of creating at least one principal-only security collateralized by said plurality of first securities and said plurality of second securities and having total payments equal to the total principal payments from said plurality of first securities and said plurality of second securities.

23. A method according to claim 21, further comprising the step of allocating principal payments from the underlying securities equally among said first and second securities.

24. A method according to claim 21, further comprising the step of allocating principal payments from the underlying securities unequally among said first and second securities.

25. A method according to claim 23 or 24, further comprising the step of distributing principal payments from the underlying securities to each of said first and second securities in proportion to a stated principal amount.

26. A method according to claim 21, further comprising the step of combining at least two of said first and second interest-only securities and said first and second principal-only securities into a combination security.

27. A method according to claim 26, further comprising the step of designing said combination security to increase in value as interest rates decline.

28. A method according to claim 26, further comprising the step of designing said combination security to increase in value as interest rates rise.

29. An apparatus for creating new securities from underlying securities collateralized by mortgage obligations, comprising:

a memory for recallably storing information;

a keyboard for entering information to be stored in said memory describing the underlying securities and the new securities to be created;

a processing unit utilizing the information stored in said memory for;

(i) defining a plurality of first securities collateralized by the underlying securities and having total principal payments equal to an allocated amount of the principal payments from the underlying securities based upon a preselected interest rate and total interest payments equal to total payments of a first interest-only security, wherein an interest rate on each of said first securities varies linearly subject to a minimum and a maximum;

(ii) defining a plurality of second securities collateralized by the underlying securities and having total principal payments equal to a remainder of the principal payments from the underlying securities and total interest payments equal to the interest payments on a second interest-only security, wherein an interest rate on each of said second securities varies;

linearly subject to a minimum and a maximum;

(iii) defining said first interest-only security collateralized by said plurality of first securities and having payments equal to the total interest payments from said plurality of first securities; and

(iv) defining said second interest-only security collateralized by said plurality of second securities and having payments equal to the total interest payments from said plurality of second securities;

a display for displaying information on each of the securities defined by said processor; and

a printer for printing at least one securities document for the new securities.

30. An apparatus according to claim 29, wherein said processor utilizes the information stored in said memory for defining at least one principal-only security collateralized by said plurality of first securities and said plurality of second securities and having total payments equal to the total principal payments from said plurality of first securities and said plurality of second securities.

31. An apparatus according to claim 29, further comprising means associated with said keyboard to allow interactive access to the apparatus by a user.

32. An apparatus according to claim 31, further comprising means associated with said keyboard for allowing the user to alter information on either the underlying securities or the new securities.

33. An apparatus according to claim 29, further comprising a printer for printing reports on securities defined by said processor.

34. An apparatus according to claim 29, further comprising a printer for printing drafts of securities to be issued.

35. An apparatus according to claim 29, further comprising a printer for printing payment checks to holders of issued securities.

36. An apparatus according to claim 29, further comprising means associated with said display for displaying structure and financial performance of the new securities.

37. An apparatus according to claim 29, further comprising means associated with said display for displaying a distibution of cash flows to the new securities.

38. An apparatus according to claim 29, further comprising means associated with said display for displaying timing on cash flows to security holders under a plurality of interest rate and prepayment conditions.