User interface system and method for configuring cash flow processing

• US 6,999,942 B2
• Filed: 12/30/2002
• Issued: 02/14/2006
• Est. Priority Date: 12/30/2002
• Status: Active Grant

• Current Assignee: Fannie Mae
• Original Assignee: Fannie Mae
• Inventors: Kemper, John L., McLuckie, Timothy M., Whipple, F. Scott
• Primary Examiner(s): Colbert, Ella
• Application Number:
  US10/331,848
• Publication Number:
  US 20040128149A1
• Time in Patent Office: 1,142 Days
• Field of Search: 705/1, 705 35- 40, 705/44, 345/594, 345/650, 345/676
• US Class Current: 705/38
• 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 40/03 Credit; Loans; Processing thereof

Abstract

A computer-implemented cash flow decomposition and repackaging system comprises processing logic and a graphical user interface which is coupled to the processing logic. The processing logic decomposes each of a plurality of home mortgage loans into a plurality of sub-loan level cash flows and repackages the plurality of sub-loan level cash flows to form a plurality of financial assets backed by the plurality of sub-loan level cash flows in accordance with operator inputs. The user interface displays indicia representative of the sub-loan level cash flows, the financial assets, and a relationship between the plurality of sub-loan level cash flows and the plurality of financial assets, including a manner in which at least some cash flows are traceable back to one or more of the plurality of home mortgage loans.

Claims

1. A computer-implemented cash flow decomposition and repackaging 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:

(A) 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 respective one of the plurality of home mortgage loans, individual ones of the plurality of sub-loan level cash flows exhibit heightened sensitivity to corresponding individual ones of the different types of sub-loan level risk relative to the sensitivity to the individual ones of 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 like-ones of the plurality of 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 like-ones of 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 ones of the different types of sub-loan level risk and which exhibit heightened sensitivity to the other ones of the different types of sub-loan level risk as compared to the sensitivity to the other ones of the 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 ones of the different types of sub-loan level risk, and

(4) allocate payments for the financial assets to the different investors in the financial assets in the capital markets, thereby permitting the different investors to hedge against the risks that oppose the different types of sub-loan level risk; and

(B) a graphical user interface coupled to the processing logic, the graphical user interface further comprising

(1) an operator input interface configured to receive operator inputs, wherein the processing logic performs the decompose operation (A)(2) and the repackage operation (A)(3) in accordance with the operator inputs, and

(2) a display interface, the display interface displaying

(a) indicia representative of the plurality of sub-loan level cash flows,

(b) indicia representative of the financial assets, and

(c) indicia representative of a relationship between the plurality of sub-loan level cash flows and the financial assets, including a manner in which at least some of the plurality of sub-loan level cash flows that flow into the financial assets are traceable back to one or more of the plurality of home mortgage loans.

2. A system according to claim 1,

wherein the plurality of sub-loan level cash flows include a first plurality of sub-loan level cash flows derived from principal payments of a borrower, a second plurality of sub-loan level cash flows derived from interest payments of a borrower, and a third plurality of sub-loan level cash flows derived from borrower-paid fees;

and

wherein the display interface displays indicia representative of each of the first, second, and third pluralities of sub-loan level cash flows.

3. A system according to claim 2,

wherein the plurality of sub-loan level cash flows include a sub-loan level cash flow that is a negative cash flow from a perspective of one or more of the investors in the financial assets, the negative sub-loan level cash flow being associated with expenses incurred in connection with the respective loan;

wherein the display interface further displays indicia representative of the negative cash flow; and

wherein the financial assets include a financial asset which accentuates the sub-loan level risk associated with the negative cash flow.

4. A system according to claim 3, wherein the processing logic comprises financial engineering tools configured to perform a financial analysis of the plurality of sub-loan level cash flows, and wherein the display interface further displays a graphical representation of a predicted financial performance of the negative sub-loan level cash flow based on the financial analysis performed by the financial engineering tools.

5. A system according to claim 2,

wherein the second plurality of sub-loan level cash flows derived from interest payments include a cash flow associated with servicing fees, a cash flow associated with guarantee fees, and a cash flow associated with pass through interest;

wherein the display interface further displays indicia representative of the cash flow associated with servicing fees, indicia representative of the cash flow associated with guarantee fees, and indicia representative of the cash flow associated with pass through interest; and

wherein the financial assets include a financial asset which accentuates the sub-loan level risks associated with the cash flow associated with the servicing fees, a financial asset which accentuates the sub-loan level risks associated with the cash flow associated with the guarantee fees, and a financial asset which accentuates the sub-loan level risks associated with the cash flow associated with the pass through interest.

6. A system according to claim 2,

wherein the third plurality of sub-loan level cash flows derived from borrower-paid fees include a cash flow associated with late fees and a cash flow associated with prepayment penalty fees;

wherein the display interface further displays indicia representative of the cash flow associated with late fees and indicia representative of the cash flow associated with prepayment penalty fees; and

wherein the financial assets include a financial asset which accentuates the sub-loan level risks associated with the cash flow associated with the late fees and a financial asset which accentuates the sub-loan level risks associated with the cash flow associated with the prepayment penalty fees.

7. A system according to claim 6, wherein the processing logic comprises financial engineering tools configured to perform a financial analysis of the plurality of sub-loan level cash flows, and wherein the display interface further displays a graphical representation of a predicted financial performance of the cash flow associated with prepayment penalty fees and the cash flow associated with late fees based on the financial analysis performed by the financial engineering tools.

8. A system according to claim 1, wherein the display interface further displays indicia representative of an extent to which individual ones of the plurality of sub-loan level cash flows have been allocated to the financial assets.

9. A system according to claim 1,

wherein the processing logic decomposes and repackages the sub-loan level cash flows so as to create multiple layers of financial assets with cash flows therebetween,

wherein the display interface further displays information pertaining to the multiple layers of financial assets.

10. A system according to claim 1, wherein the processing logic comprises financial engineering tools configured to perform a financial analysis of the plurality of sub-loan level cash flows, and wherein the display interface further displays a graphical representation of a predicted financial performance of at least one of the plurality of sub-loan level cash flows based on the financial analysis performed by the financial engineering tools.

11. A system according to claim 1, wherein the processing logic comprises financial engineering tools configured to perform a financial analysis of the plurality of sub-loan level cash flows, and wherein the display interface further displays a graphical representation of financial risk associated with at least one of the plurality of sub-loan level cash flows based on the financial analysis performed by the financial engineering tools.

12. A system according to claim 1, wherein the processing logic comprises financial engineering tools, and wherein the display interface further displays a graphical representation of a predicted financial performance of at least one of the financial assets.

13. A system according to claim 1, wherein the processing logic comprises financial engineering tools, and wherein the display interface further displays a graphical representation of financial risk associated with at least one of the financial assets.

14. A system according to claim 1, wherein the processing logic comprises financial engineering tools, and wherein the display interface further displays financial values of the financial assets.

15. A system according to claim 1, wherein the indicia representative of the financial assets are displayed simultaneously.

16. A system according to claim 1, wherein the display interface further displays indicia including a first plurality of icons representative of the plurality of home mortgage loans, wherein the indicia representative of the financial assets include a second plurality of icons, and wherein the indicia representative of the relationship between the plurality of sub-loan level cash flows and the financial assets include lines extending between the first plurality of icons and the second plurality of icons.

17. A system according to claim 16, wherein each of the second plurality of icons includes indica indicating a type of financial asset that the respective one of the second plurality of icons represents.

18. A system according to claim 1, wherein at least some of the financial assets are securities.

19. A system according to claim 1, wherein at least some of the financial assets are debt instruments.

20. A system according to claim 1, wherein the processing logic includes logic configured to process loan payment information in accordance with the manner in which the at least some cash flows that flow into the financial assets are traceable back to one or more of the plurality of home mortgage loans, and to generate information regarding investment proceeds due to one or more of the investors in the financial assets.

21. A system according to claim 1, wherein the plurality of sub-loan level cash flows include a plurality of sub-loan level cash flows derived from borrower-paid fees which do not vary as a function of interest paid by the borrower, and wherein the financial assets include a financial asset backed only by the cash flows derived from the borrower paid fees which do not vary as a function of the interest paid by the borrower.

22. A system according to claim 1, wherein the financial assets include financial assets that are backed only by borrower-paid fees and not by principal or interest cash flows for the plurality of home mortgage loans.

23. A system according to claim 1, 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, and wherein the processing logic is configured to generate different types of financial assets backed by the cash flows other than the principal or interest cash flows, including debt instruments, options, and swaps.

24. A system according to claim 23, wherein the processing logic further comprises a plurality of financial engineering tools, the plurality of 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.

25. 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:

(A) receiving operator inputs at a computer;

(B) receiving information at the computer 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 ones of the plurality of sub-loan level cash flows exhibit heightened sensitivity to corresponding individual ones of the different types of sub-loan level risk relative to the sensitivity to the individual ones of the different types of sub-loan level risk exhibited by the respective home mortgage loan as a whole;

(C) decomposing each of the plurality of home mortgage loans into the plurality of sub-loan level cash flows;

(D) repackaging the plurality of sub-loan level cash flows to form the financial assets, the repackaging 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 like-ones of the plurality of 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 like-ones of 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 ones of the different types of sub-loan level risk and which exhibit heightened sensitivity to the other ones of the different types of sub-loan level risk as compared to the sensitivity to the other ones of the 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 ones of the different types of sub-loan level risk;

(E) displaying indicia representative of the plurality of sub-loan level cash flows;

(F) displaying indicia representative of the financial assets;

(G) displaying indicia representative of a relationship between the plurality of sub-loan level cash flows and the financial assets, including a manner in which at least some cash flows that flow into the financial assets are traceable back to the plurality of home mortgage loans; and

(H) selling the financial assets to different investors in the financial assets in the capital markets, thereby permitting the different investors to hedge against the risks that oppose the different types of sub-loan level risk.

26. A method according to claim 25, further comprising displaying information that describes an extent to which the one or more home mortgage loans has been allocated to the financial assets.

27. A method according to claim 25, further comprising displaying indicia including a first plurality of icons representative of the one or more plurality of home mortgage loans, wherein the indicia representative of the financial assets include a second plurality of icons, and wherein the indicia representative of the relationship between the plurality of sub-loan level cash flows and the financial assets include lines extending between the first plurality of icons and the second plurality of icons.

28. A method according to claim 25, further comprising

receiving operator inputs defining sift and sort criteria,

sifting and sorting the plurality of home mortgage loans in accordance with the sift and sort criteria, the sifting step comprising examining the plurality of home mortgage loans for selected attributes defined by the sift criteria and grouping the home mortgage loans based on the selected attributes, and the sorting step comprising prioritizing results from the sifting step;

and

wherein the decomposing and repackaging steps are performed based on the results of the sifting and sorting steps.

29. A method according to claim 25,

wherein the decomposing and repackaging steps define a first layer of cash flow decomposition/repackaging;

wherein the decomposing and repackaging steps are repeated to define at least one additional layer of cash flow decomposition/repackaging; and

wherein, during the displaying step (G), information pertaining to the first layer and the at least one additional layer of cash flow decomposition/repackaging is displayed.

30. A method according to claim 25, further comprising adding an additional sub-loan level cash flow to a respective one of the home mortgage loans during a term of the respective home mortgage loan, the additional sub-loan level cash flow corresponding to an additional line of credit extended to a borrower associated with the respective home mortgage loan.

31. 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, the financial assets being sold to different investors in the capital markets, comprising:

(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 respective one of the plurality of home mortgage loans, individual ones of the plurality of sub-loan level cash flows exhibit heightened sensitivity to corresponding individual ones of the different types of sub-loan level risk relative to the sensitivity to the individual ones of the different types of sub-loan level risk exhibited by the respective home mortgage loan as a whole;

(B) creating the financial assets based on the plurality of home mortgage loans, including

(1) receiving operator inputs at a computer,

(2) decomposing each of a plurality of home mortgage loans into the plurality of sub-loan level cash flows,

(3) repackaging the plurality of sub-loan level cash flows to form the financial assets, the decomposing and repackaging steps being performed in accordance with the operator inputs, the plurality of sub-loan level cash flows for each of the plurality of home mortgage loans including a first plurality of positive sub-loan level cash flows derived from principal payments of a borrower, a second plurality of positive sub-loan level cash flows derived from interest payments of a borrower, a third plurality of positive sub-loan level cash flows derived from borrower-paid fees, and a negative sub-loan level cash flow derived from expenses incurred in connection with the plurality of home mortgage loans, the repackaging step including

(a) selecting a sub-combination of the plurality of sub-loan level cash flows, the sub-combination of sub-loan level cash flows comprising like-ones of the plurality of 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 like-ones of the sub-loan level cash flows that form the sub-combination of sub-loan level cash flows,

(b) 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,

(c) repeating the selecting and packaging steps to create additional financial assets, the additional financial assets including different financial assets which accentuate other ones of the different types of sub-loan level risk and which exhibit heightened sensitivity to the other ones of the different types of sub-loan level risk as compared to the sensitivity to the other ones of the 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 ones of the different types of sub-loan level risk, and

(4) displaying indicia representative of the first, second, and third pluralities of sub-loan level cash flows and the negative sub-loan level cash flow,

(5) displaying indicia representative of the financial assets,

(6) displaying indicia representative of a mapping relationship between the plurality of sub-loan level cash flows and the financial assets, including a manner in which at least some cash flows that flow into the financial assets are traceable back to the plurality of home mortgage loans, and

(7) storing information pertaining to the mapping relationship;

(C) processing loan payment information in accordance with the stored information and generating information regarding investment proceeds due to the investors in the financial assets, 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 loans, corresponding ones of the plurality of sub-loan level cash flows to a respective one of the financial assets based on the stored information; and

(D) allocating payments for the investors in the financial assets with 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 ones of the financial assets, thereby permitting the different investors to hedge against the risks that oppose the different types of sub-loan level risk.

32. A method according to claim 31, wherein the indicia representative of the first, second, and third pluralities of sub-loan level cash flows and the negative sub-loan level cash flow are displayed simultaneously.

33. 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:

(A) acquisition logic stored on a computer-readable medium, 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 ones of the plurality of sub-loan level cash flows exhibit heightened sensitivity to corresponding individual ones of the different types of sub-loan level risk relative to the sensitivity to the individual ones of 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 the plurality of home mortgage loans;

(B) reporting logic stored on a computer-readable medium, the reporting logic including logic configured to receive payment reporting information regarding borrower payments in connection with the plurality of home mortgage loans, perform loan accounting in connection with the borrower payments, and generate accounting output, the reporting information being received on an ongoing basis throughout at least a portion of a term of each of the plurality of home mortgage loans;

(C) financial asset generation logic stored on a computer-readable medium, the financial asset generation logic being configured to perform processing operations including

(1) decompose each of the plurality of home mortgage loans into the plurality of sub-loan level cash flows,

(2) 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 like-ones of the plurality of 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 like-ones of 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 selected operation (a) and the package operation (b) to create additional financial assets, the additional financial assets including different financial assets which accentuate other ones of the different types of sub-loan level risk and which exhibit heightened sensitivity to the other ones of the different types of sub-loan level risk as compared to the sensitivity to the other ones of the 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 ones of the different types of sub-loan level risk, and

(3) 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;

and

wherein the financial asset generation logic decomposes the plurality of home mortgage loans using a plurality of transaction templates, the plurality of transaction templates each having an associated transaction type, the transaction type describing a type of business event that is associated with the respective transaction template and corresponding to a type of financial instrument that is being created in the business event, and the transaction templates storing default cash flow decomposition information based on the transaction type to permit default decomposition of the plurality of home mortgage loans to be performed based on the transaction type.