Credit risk managing loan pools

• US 7,783,562 B1
• Filed: 11/21/2001
• Issued: 08/24/2010
• Est. Priority Date: 11/21/2001
• Status: Expired due to Fees

• Current Assignee: Clayton Fixed Income Services LLC
• Original Assignee: Clayton Fixed Income Services, Inc.
• Inventors: Ellis, Margaret Sue
• Primary Examiner(s): Trammell; James P
• Assistant Examiner(s): LIU, I JUNG
• Application Number:
  US09/992,348
• Time in Patent Office: 3,198 Days
• Field of Search: 705 1- 60, 715 1-750, 111100-105
• US Class Current: 705/38
• CPC Class Codes: G06Q 20/042 characterized in that the payment protocol involves at least one cheque
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system providing a comprehensive tool useful in credit risk managing a set of loans. The system includes a method for obtaining an estimated financial outcome, i.e., a gain or a loss, for a particular loan, and applying the estimated loss for to the set. The system also includes a method for obtaining a probability of a loss for a particular loan, and applying the probability of loss to the set. The system further includes the generation of a list of loans from the set of loans with a heightened risk of loss.

Claims

1. A computer implemented method for obtaining an estimated financial outcome for a pool of loans comprising:

using at least one computing device configured to run executable code, the at least one computing device in communication with a memory storage including the executable code, the executable code comprising instructions for performing the method of;

obtaining an estimated value for a property associated with a loan from the pool;

obtaining an estimated net proceeds amount from a sale of the property associated with the loan;

obtaining an estimated liquidation time between a last interest paid date for the loan and a receipt of the estimated net proceeds from the sale of the property after a foreclosure of the loan, the last interest paid date being the last date that a payment was received on the loan before entering foreclosure, wherein the operation of obtaining the estimated liquidation time includes applying a liquidation time value decision tree, wherein the liquidation time value decision tree includes a plurality of time factors that account for the time associated with events that effect the liquidation time for the loan, the application of the liquidation time value decision tree including summing each time factor applicable to the loan;

obtaining an estimated total debt amount for the loan, the estimated total debt including adding an outstanding balance on the loan with an interest advance total since the last interest paid date, the interest advance total being an interest rate for the loan multiplied by an outstanding principle balance on the loan multiplied by the estimated liquidation time;

deriving a difference between the estimated net proceeds and the estimated total debt to yield an estimated financial outcome from the sale of the property associated with the loan;

executing the preceding operations of obtaining an estimated value, obtaining an estimated net proceeds, obtaining an estimated liquidation time, obtaining an estimated total debt, and deriving the difference for a plurality of additional loans from the pool of loans; and

applying the estimated financial outcome from the sale of the property associated with the loan and the plurality of additional loans to yield the estimated financial outcome for the pool.

2. The computer implemented method of claim 1 wherein the operation of obtaining an estimated value for the property includes applying a property value decision tree to obtain the estimated value for the property.

3. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining an actual sales price for the property; and

setting the estimated value for the property at the actual sales price for the property.

4. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining a contract price for the property; and

setting the estimated value for the property at the contract price for the property.

5. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining a list price for the property;

obtaining an appraisal for the property; and

setting the estimated value for property at the lesser of the list price and the appraisal.

6. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining a list price for the property;

obtaining a first broker price opinion for the property;

obtaining a second broker price opinion for the property;

averaging the first broker price opinion and the second broker price opinion; and

setting the estimated value for the property at the lesser of the list price and the average of the first broker price opinion and the second broker price opinion.

7. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining a list price for the property;

obtaining a first broker price opinion for the property; and

setting the estimated value for property at the lesser of the list price and the first broker price opinion.

8. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining a list price for the property; and

setting the estimated value for the property at the list price for the property.

9. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining an appraisal for the property; and

setting the estimated value for the property as the appraisal of the property.

10. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining a first broker price opinion for the property; and

setting the estimated value for the property as the first broker price opinion for the property.

11. The computer implemented method of claim 10 wherein the operation of obtaining an estimated value for the property includes:

obtaining a second broker price opinion for the property;

averaging the first broker price opinion with the second broker price opinion; and

setting the estimated value for the property as the average of the first broker price opinion and the second broker price opinion.

12. The computer implemented method of claim 2 wherein the operation of applying the property value decision tree includes:

obtaining an original appraised value of the property;

obtaining a quarterly housing price index factor for each quarter since an origination of the loan;

summing the quarterly HPI factors;

adding one to the result of the operation of summing;

multiplying the original appraised value by the result of the operation of adding; and

setting the value for the property as the result of the multiplying operation.

13. The computer implemented method of claim 1 wherein the operation of applying a liquidation time value decision tree includes:

obtaining a first time factor to account for a payment plan associated with the loan; and

adding the first time factor to the last interest paid date.

14. The computer implemented method of claim 13 wherein the operation of obtaining a first time factor to account for a payment plan includes:

determining an end date for the payment plan;

determining a current date;

subtracting the current date from the end date for the payment plan; and

wherein the operation of subtracting generates the first time factor to account for a payment plan.

15. The computer implemented method of claim 1 wherein the operation of applying a liquidation time value decision tree includes:

obtaining a second time factor to account for a bankruptcy proceeding associated with the loan; and

adding the second time factor to the last interest paid date.

16. The computer implemented method of claim 15 wherein the operation of obtaining a second time factor to account for a bankruptcy proceeding associated with the loan includes:

determining whether a chapter thirteen bankruptcy proceeding, a chapter seven bankruptcy proceeding, a chapter twelve bankruptcy proceeding, or another chapter bankruptcy proceeding is associated with the loan;

setting the second time factor to three months if the chapter thirteen bankruptcy proceeding is associated with the loan;

setting the second time factor to six months if the chapter seven bankruptcy proceeding is associated with the loan;

setting the second time factor to twelve months if the chapter eleven bankruptcy proceeding is associated with the loan; and

setting the second time factor to three months if another bankruptcy proceeding or an unidentified bankruptcy proceeding is associated with the loan.

17. The computer implemented method of claim 1 wherein the operation of applying a liquidation time value decision tree includes:

obtaining a third time factor to account for litigation associated with the loan; and

adding the third time factor to the last interest paid date.

18. The computer implemented method of claim 17 wherein the operation of obtaining a third time factor to account for litigation associated with the loan includes:

determining if there is litigation associated with the loan; and

setting the third time factor to twelve months if there is litigation associated with the loan.

19. The computer implemented method of claim 1 wherein the operation of applying a liquidation time value decision tree includes:

obtaining a fourth time factor to account for foreclosure proceedings associated with the loan; and

adding the fourth time factor to the last interest paid date.

20. The computer implemented method of claim 19 wherein the operation of obtaining a fourth time factor to account for foreclosure proceedings associated with the loan includes:

determining a foreclosure start date;

determining a current date;

subtracting the foreclosure start date from the current date; and

wherein the operation of subtracting yields the fourth time factor.

21. The computer implemented method of claim 1 wherein the operation of applying a liquidation time value decision tree includes:

obtaining a fifth time factor to account for a delinquency status associated with the loan; and

adding the fifth time factor to the last interest paid date.

22. The computer implemented method of claim 21 wherein the operation of determining a fifth time factor to account for a delinquency status associated with the loan includes:

determining whether the loan has a delinquency status of current, 30 days delinquent, 60 days delinquent, or 90 days delinquent;

setting the fifth time factor to two months if the delinquency status is 30 days delinquent;

setting the fifth time factor to one month if the delinquency status is 60 days delinquent;

setting the fifth time factor to zero months if the delinquency status is 90 days delinquent; and

setting the fifth time factor to three months if the delinquency status is current.

23. The computer implemented method of claim 1 wherein the operation of applying a liquidation time value decision tree includes:

obtaining a sixth time factor to account for a marketing period to sell the property; and

adding the sixth time factor to the last interest paid date.

24. The computer implemented method of claim 23 wherein the operation of obtaining a sixth time factor to account for a marketing period to sell the property includes:

determining if an eviction is required;

adding two months to the sixth time factor if the eviction is required;

determining if the property is a co-op;

adding three months to the sixth time factor if the property is a co-op;

determining if the property is located in a depressed region;

adding twelve months to the sixth time factor if the property is in a depressed region;

determining if the property is in bad condition;

adding six months to the sixth time factor if the property is in bad condition;

determining if the property has a value that exceeds a specified value; and

adding two months to the sixth time factor if the property value exceeds the specified value.

25. The computer implemented method of claim 1 wherein the estimated net proceeds is a function of the estimated value for the property.

26. The computer implemented method of claim 25 wherein the operation of obtaining an estimated net proceeds from the sale of the property includes:

obtaining a commission value associated with the sale of the property; and

subtracting the commission value from the estimated value for the property to obtain the estimated net proceeds.

27. The computer implemented method of claim 25 wherein the operation of estimating a net proceeds from the sale of the property includes:

obtaining an unpaid taxes value associated with the sale of the property; and

subtracting the unpaid taxes value from the estimated value for the property to obtain the estimated net proceeds.

28. The computer implemented method of claim 25 wherein the operation of estimating a net proceeds from the sale of the property includes:

obtaining a closing costs value associated with the sale of the property; and

subtracting the closing costs value from the estimated value for the property to obtain the estimated net proceeds.

29. The computer implemented method of claim 25 wherein the operation of estimating a net proceeds from the sale of the property includes:

obtaining a lien payoff value associated with the sale of the property; and

subtracting the lien payoff value from the estimated value for the property to obtain the estimated net proceeds.

30. The computer implemented method of claim 25 wherein the operation of estimating a net proceeds from the sale of the property includes:

obtaining a title fee value associated with the sale of the property; and

subtracting the title fee value from the estimated value for the property to obtain the estimated net proceeds.

31. The computer implemented method of claim 1 wherein the operation of estimating a total debt for the loan further includes:

obtaining a foreclosure cost;

summing the foreclosure cost with the interest to yield a first result;

obtaining a real estate owned marketing cost;

summing the first result with the real estate owned marketing cost to yield a second result;

obtaining a credit; and

subtracting the credit from the second result to yield the total debt for the loan.

32. The computer implemented method of claim 1 wherein the operation of applying includes determining an estimated financial outcome for each loan in the pool, and summing the estimated financial outcome for each loan to yield the estimated financial outcome for the pool.

33. A computer readable medium containing instructions which, when executed, perform the method of claim 1.