Cash flow aggregation system and method

• US 7,797,213 B2
• Filed: 04/11/2007
• Issued: 09/14/2010
• 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): Trammell; James P
• Assistant Examiner(s): Anderson; John A
• Application Number:
  US11/786,552
• Publication Number:
  US 20070255655A1
• Time in Patent Office: 1,252 Days
• Field of Search: 705/35
• US Class Current: 705/35
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• 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
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A data construct represents a financial asset in a data processing system. The data construct comprises description data, a cash flow map, and process instructions. The description data further comprises creation, purpose, and transaction information data describing the financial asset. The cash flow map further comprises information on cash flows that flow into the financial asset. The process instructions include information on cash flow processing for the cash flows that flow into the financial asset.

Claims

1. A computer-implemented method of creating 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 of the plurality of home mortgage loans, individual sub-loan level cash flows exhibit heightened sensitivity to corresponding different types of sub-loan level risk relative to the sensitivity to the different types of sub-loan level risk exhibited by the respective home mortgage loan as a whole;

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

(C) repackaging the plurality of sub-loan level cash flows to form the financial assets, 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 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 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,

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

(4) storing information pertaining to a mapping relationship between the financial assets and the plurality of sub-loan level cash flows in a data storage system of the computer system, the mapping relationship reflecting performance of the decomposing and repackaging steps and describing a manner in which cash flows flowing into each of the financial assets are traceable back to the plurality of sub-loan level cash flows, the information pertaining to the mapping relationship being stored in the form of a plurality of data structures which respectively represent one of the financial assets, the plurality of data structures each comprising a data map which includes information on cash flows that flow into the data structure, the plurality of data structures each further comprising computer process instructions including information on cash flow processing for the cash flows that flow into the data structure;

(D) processing loan payment information in accordance with the stored information and generating information regarding investment proceeds due to the investors in the financial assets, the processing and generating steps being performed by the computer system, and the processing and generating steps 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 home mortgage loans, portions of the loan payments corresponding to the plurality of sub-loan level cash flows to a respective one of the financial assets based on the mapping information; and

(E) allocating payments for the investors in the financial assets based on 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 financial assets, thereby permitting the different investors to hedge against the risks that oppose the different types of sub-loan level risk, the allocating step being performed by the computer system.

2. The method of claim 1, wherein the data structure further comprises data structure description data which is stored as part of the data structure.

3. The method of claim 2, wherein the data structure description data further comprises a unique identifier for the data structure.

4. The method of claim 2,

wherein the plurality of data structures include data structures that represent respective registered securities, and

wherein, for the data structures that represent the securities, the data structure description data further comprises a Committee on Uniform Security Identification Procedures (CUSIP) number for the security.

5. The method of claim 4 wherein, for the data structures that represent the securities, the data structure description data further comprises a trade date and a settlement date for the security.

6. The method of claim 4, wherein the data structures that represent securities include data structures that represent mortgage-backed securities (MBS).

7. The method of claim 4, wherein the data structures that represent securities include data structures that represent real estate mortgage investment conduits (REMIC).

8. The method of claim 1, wherein some of the plurality of data structures represent securities with Committee on Uniform Security Identification Procedures (CUSIP) numbers and other data structures are configured for use only for internal data tracking purposes with the computer system.

9. The method of claim 1,

wherein the plurality of home mortgage loans are each decomposed into the following sub-loan level cash flows:

sub-loan level cash flows derived from principal payments, sub-loan level cash flows derived from interest payments, sub-loan level cash flows derived from servicing fees, sub-loan level cash flows derived from guarantee fees, sub-loan level cash flows derived from mortgage insurance, sub-loan level cash flows derived from prepayment penalties, sub-loan level cash flows derived from borrower-paid fees, sub-loan level cash flows derived from seller advances, sub-loan level cash flows derived from servicer recoveries, sub-loan level cash flows derived from default activities, and sub-loan level cash flows derived from bank-owned properties; and

wherein the financial assets include financial assets that are backed only by cash flows other than the sub-loan level cash flows derived from principal payments and the sub-loan level cash flows derived from interest payments.

10. The method of claim 1, further comprising applying computer-implemented accounting rules to the plurality of data structures to determine accounting treatment for the plurality of data structures.

11. The method of claim 10, further comprising applying the computer-implemented accounting rules to the plurality of sub-loan level cash flows to determine eligibility of the plurality of sub-loan level cash flows for inclusion in particular types of assets represented by the data structures based on accounting regulations.

12. The method of claim 1, further comprising applying computer-implemented transaction templates to determine the mapping relationship between the financial assets and the plurality of sub-loan level cash flows, the 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, the transaction templates storing default mapping information based on the transaction type, and the transaction templates each being associated with default disclosure reports which include information to facilitate accounting for the data structure based on accounting information received for the plurality of sub-loan level cash flows that flow into the data structure.

13. The method of claim 1, wherein the data structure represents a registered security, and wherein the data structure description data further comprises a Committee on Uniform Security Identification Procedures (CUSIP) number for the security.

14. The method of claim 1, further comprising creating the data structures, wherein, for at least some of the data structures, creating the data structure further comprises

designating a status of the data structure as pending, wherein the pending status indicates that cash flows associated with the data structure are to be locked pending approval of the data structure, and

changing the status of the data structure from pending to production, wherein the production status of the data structure indicates that the data structure represents an asset which has been securitized.

16. The method of claim 2, wherein the description data, data map, and computer process instructions decouple inbound cash flows from outbound cash flows, thereby accommodating transactions with indirect segregation of cash flows.

17. The method of claim 16, wherein the transactions with indirect segregation of cash flows include structured transactions.

18. The method of claim 16, wherein the transactions with indirect segregation of cash flows include transactions having cash flows in a non-fixed format.

19. The method of claim 2, wherein the description data includes information indicating the type of cash flow associated with the financial asset.

20. The method of claim 1, wherein the data structure is created in accordance with computer-implemented business rules.

21. The method of claim 1, further comprising providing a state indicator.

22. The method of claim 21, wherein the state indicator is capable of being any of the following states:

preliminary, pending, and production.

23. The method of claim 1, wherein sources of sub-loan level cash flows include loan remittances, percentages of loan remittances, pool distributions, and securities.

24. The method of claim 2, wherein the description data includes creation and purpose data describing the data structure.

25. The method of claim 24, wherein the creation information comprises information indicating when the data structure was created and a current state of the data structure, and wherein the purpose information includes a type of data structure and indicates a source of the one or more sub-loan level cash flows associated with the data structure.

15. 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) computer-implemented acquisition logic, 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 sub-loan level cash flows exhibit heightened sensitivity to corresponding individual sub-loan level risk relative to the sensitivity to 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 each of the plurality of home mortgage loans;

(B) computer-implemented financial asset generation logic, the financial asset generation logic including logic configured to facilitate creation and maintenance of a financial assets backed by the plurality of home mortgage loans, the creation and maintenance of the financial assets resulting in the generation of investment information, the financial asset generation logic including

(1) a computer-implemented cash flow decomposition/repackaging tool, the cash flow decomposition/repackaging tool being configured to

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

(b) repackage the plurality of sub-loan level cash flows into the financial assets, including

(i) select a sub-combination of the plurality of sub-loan level cash flows, the sub-combination of sub-loan level cash flows comprising 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 sub-loan level cash flows that form the sub-combination of sub-loan level cash flows,

(ii) 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,

(iii) repeat the select operation (i) and the package operation (ii) to create additional financial assets, the additional financial assets including different financial assets which accentuate other different types of sub-loan level risk and which exhibit heightened sensitivity to the other different types of sub-loan level risk as compared to the sensitivity to the other 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 different types of sub-loan level risk, and

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, wherein the decomposition/repackaging tool is configured to generate different types of financial assets which are backed only by the cash flows other than the principal or interest cash flows, including debt instruments, options, and swaps, wherein the decomposition/repackaging tool is configured to store information pertaining to a mapping relationship between the financial assets and the plurality of sub-loan level cash flows, the mapping relationship reflecting performance of the decomposing and repackaging steps and describing a manner in which cash flows flowing into each of the financial assets are traceable back to the plurality of sub-loan level cash flows, wherein the information pertaining to the mapping relationship is stored in the form of a plurality of data structures which each represent a respective one of the financial assets including the options, and the swaps, the plurality of data structures each comprising a data map which includes information on cash flows that flow into the data structure, the plurality of data structures each further comprising computer process instructions including information on cash flow processing for the cash flows that flow into the data structure, and

(2) a plurality of computer-implemented financial engineering tools, the 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;

(C) computer-implemented reporting logic, the reporting logic including logic configured to

(1)(a) receive payment information regarding a loan payment for a first one of the plurality of home mortgage loans, (b) allocate the loan payment between the plurality of sub-loan level cash flows, (c) access the stored mapping information including the data structures pertaining to the mapping relationship between the financial assets and the plurality of sub-loan level cash flows, and (d) allocate each of the plurality of sub-loan level cash flows to different financial assets in accordance with the stored mapping information, and (e) repeat the foregoing for remaining home mortgage loans, and

(2)(a) aggregate the plurality of sub-loan level cash flows from each of the plurality of home mortgage loans for each of the financial assets, and (b) generate payment information for the investors in the financial assets based on the aggregated sub-loan level cash flows; and

wherein the payment information for the investors in the financial assets includes payment information for the financial assets that are backed only by cash flows other than the principal or interest cash flows, including the debt instruments, the options, and the swaps.