System and method for improved rating and modeling of asset backed securities

• US 8,452,681 B2
• Filed: 02/13/2009
• Issued: 05/28/2013
• Est. Priority Date: 02/13/2009
• Status: Active Grant

• Current Assignee: Refinitiv US Organization, LLC (Refinitiv US Holdings, Inc.)
• Original Assignee: Thomson Financial LLC (Refinitiv US Holdings, Inc.)
• Inventors: Clements, Richard F.
• Primary Examiner(s): JOHNSON, GREGORY L
• Application Number:
  US12/378,483
• Publication Number:
  US 20100211494A1
• Time in Patent Office: 1,565 Days
• Field of Search: None
• 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 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

The present invention provides a computer-based system for evaluating risk in asset backed securities (ABS) comprising: a database containing data associated with an asset pool of an ABS; a computer having a processor for executing software and being adapted to establish a communication link with an external provider of electronic data and to receive a first data set associated with an asset pool of an ABS, the first data set including credit score data related to the asset pool; and a migratory pattern predictive model application executed by the processor and adapted to analyze at least a part of the first data set, including the credit score data, and to determine a rating concerning the relative risk associated with the ABS.

Claims

1. A computerized method for evaluating risk in asset backed securities, the method comprising:

receiving by a processor a first data set associated with an asset pool of an asset backed security (ABS), the first data set including at least a set of actual data collected over a period of time and derived from the asset pool and credit score data related to the asset pool;

applying a migratory pattern predictive model to at least a part of the first data set, including the set of actual data and the credit score data, and based upon the application of the migratory pattern predictive model, determining by the processor a rating concerning a relative risk associated with the ABS.

2. The method of claim 1, wherein the first data set includes default data associated with the asset pool.

3. The method of claim 1, wherein the migratory pattern predictive model includes as a factor data related to an exiting of assets from an asset pool.

4. The method of claim 1, wherein the first data set includes data related to a exiting of assets from the asset pool.

5. The method of claim 1, further comprising the step of repeating the applying step on a periodic basis to generate an updated rating concerning a relative risk associated with the ABS.

6. The method of claim 1, wherein the first data set includes one or more of:

Fair Isaac Corporation (FICO) score;

VantageScore;

weighted average maturity (WAM);

weighted average coupon (WAC);

weighted average loan age (WALA);

upgrades;

downgrades; and

exits.

7. The method of claim 1, wherein the migratory pattern predictive model includes as a factor a stability factor related to a comparison of credit scores derived from the asset pool.

8. The method of claim 7, wherein the stability factor includes a payment history associated with the asset pool and includes changes in credit score related to the asset pool over a period of time.

9. A computer-based system for evaluating risk in asset backed securities (ABS) comprising:

a database containing data associated with an asset pool of an ABS;

a computer having a processor for executing software and being adapted to establish a communication link with an external provider of electronic data and to receive a first data set associated with an asset pool of an ABS, the first data set including at least a set of actual data collected over a period of time and derived from the asset pool and credit score data related to the asset pool; and

a migratory pattern predictive model application executed by the processor and adapted to analyze at least a part of the first data set, including the set of actual data and the credit score data, and to determine a rating concerning a relative risk associated with the ABS.

10. The system of claim 9, wherein the first data set includes default data associated with the asset pool.

11. The system of claim 9, wherein the migratory pattern predictive model application includes code that applies as a factor data related to a exiting of assets from an asset pool.

12. The system of claim 9, wherein the first data set includes data related to a exiting of assets from the asset pool.

13. The system of claim 9, wherein the migratory pattern predictive model application is applied on a periodic basis to successive updated data sets associated with the asset pool to generate updated ratings concerning a relative risk associated with the ABS.

14. The system of claim 9, wherein the first data set includes one or more of:

Fair Isaac Corporation (FICO) score;

VantageScore;

weighted average maturity (WAM);

weighted average coupon (WAC);

weighted average loan age (WALA);

upgrades;

downgrades; and

exits.

15. The system of claim 9, wherein the migratory pattern predictive model includes as a factor a stability factor related to a comparison of credit scores derived from the asset pool.

16. The method of claim 15, wherein the migratory pattern predictive model includes as a factor a stability factor related to a comparison of credit scores derived from the asset pool.

17. A computer-implemented method for evaluating risk over time in asset backed securities, the method comprising:

receiving by a processor a first data set associated with an asset pool of an asset backed security (ABS), the first data set the first data set including at least a set of actual data collected over a period of time and derived from the asset pool and credit score data related to the asset pool;

based at least in part on the first data set, determining by the processor a rating concerning a relative risk associated with the ABS and assigning a first score to the ABS at a first time;

storing in a memory the first score;

updating the first data set at a time subsequent to the first time;

applying a migratory pattern predictive model to at least a part of the updated first data set;

based upon the application of the migratory pattern predictive model, determining by the processor an updated rating concerning a relative risk associated with the ABS and assigning a second score to the ABS at a second time; and

storing in the memory the second score.

18. The method of claim 17, wherein the migratory pattern predictive model is based upon at least one factor selected from the group consisting of:

(a) a set of credit scores;

(b) a set of credit capacity indices;

(c) a set of loan-to-value (LTV) ratios;

(d) a set of information relating to home sales;

(e) a set of information relating to home foreclosures; and

(f) a set of information relating to home equity line of credits (HELOCs).

19. The method of claim 17 further comprising assigning a monetary value to the ABS based upon the second score.

20. The method of claim 17, wherein the migratory pattern predictive model includes as a factor a stability factor related to a comparison of credit scores derived from the asset pool.

21. The method of claim 20, wherein the migratory pattern predictive model includes as a factor a stability factor related to a comparison of credit scores derived from the asset pool.