Method, system, and computer program product for grading a collateralized mortgage obligation or other asset-backed security
First Claim
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1. A computer-implemented method for assessing a pre-payment risk for an asset-backed security, comprising the steps of:
- determining a weighted average life of the asset-backed security,determining a weighted average life of the asset-backed security at a moderate shift in the yield curve;
determining a weighted average life of the asset-backed security at a stressed shift in the yield curve; and
ranking the asset-backed security against other asset-backed security to obtain a relative rank of prepayment risk based on weighted average life, weighted average life at a moderate shift in the yield curve, and weighted average life at a stressed shift in the yield curve;
wherein at least one of the determining steps and the ranking step is performed on a processor of a computer.
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Abstract
The invention relates to a method, system and computer program product for grading asset-backed securities by assigning a relative grade, including one or more of a prepayment risk component and a complexity component, which may take into account one or more of weighted average life, volatility of weighted average life at moderate and stressed yield curve shifts, and complexity, in the absence of price information.
7 Citations
18 Claims
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1. A computer-implemented method for assessing a pre-payment risk for an asset-backed security, comprising the steps of:
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determining a weighted average life of the asset-backed security, determining a weighted average life of the asset-backed security at a moderate shift in the yield curve; determining a weighted average life of the asset-backed security at a stressed shift in the yield curve; and ranking the asset-backed security against other asset-backed security to obtain a relative rank of prepayment risk based on weighted average life, weighted average life at a moderate shift in the yield curve, and weighted average life at a stressed shift in the yield curve; wherein at least one of the determining steps and the ranking step is performed on a processor of a computer. - View Dependent Claims (2, 3, 4, 5)
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6. A computer program product including instructions encoded on a computer-readable medium and configured to enable a processor to perform a method for assessing prepayment risk for an asset-backed security, comprising the steps of:
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determining a weighted average life of the asset-backed security, determining a weighted average life of the asset-backed security at a moderate shift in the yield curve; determining a weighted average life of the asset-backed security at a stressed shift in the yield curve; and ranking the asset-backed security against other asset-backed security to obtain a relative rank of prepayment risk based on weighted average life, weighted average life at a moderate shift in the yield curve, and weighted average life at a stressed shift in the yield curve. - View Dependent Claims (7, 8, 9)
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10. A system for assessing a prepayment risk for an asset-backed security, comprising:
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means for determining a weighted average life of the asset-backed security; means for determining a weighted average life of the asset-backed security at a moderate shift in the yield curve; and means for determining a weighted average life of the asset-backed security at a stressed shift in the yield curve. - View Dependent Claims (11)
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12. A system for assessing a prepayment risk for an asset-backed security, comprising:
- a calculation mechanism configured to determine a weighted average life of the asset-backed security;
a calculation mechanism configured to determine a weighted average life of the asset-backed security at a moderate shift in the yield curve; and a calculation mechanism configured to determine a weighted average life of the asset-backed security at a stressed shift in the yield curve.
- a calculation mechanism configured to determine a weighted average life of the asset-backed security;
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13. A method for assessing a prepayment risk for an asset-backed security, comprising:
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determining a weighted average life of the asset-backed security, determining a weighted average life of the asset-backed security at a moderate shift in the yield curve; and determining a weighted average life of the asset-backed security at a stressed shift in the yield curve; wherein at least one of the determining steps is carried out on a processor of a computer. - View Dependent Claims (14, 15)
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16. A system for assessing a prepayment risk for an asset-backed security, comprising:
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means for determining a weighted average life of the asset-backed security; means for determining a weighted average life of the asset-backed security at a moderate shift in the yield curve; and means for determining a weighted average life of the asset-backed security at a stressed shift in the yield curve; and means for ranking the asset-backed security against another asset-backed security to obtain a relative rank of prepayment risk based on weighted average life, weighted average life at a moderate shift in the yield curve, and a weighted average life at a stressed shift in the yield curve. - View Dependent Claims (17)
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18. A system for assessing a prepayment risk for an asset-backed security, comprising:
- a calculation mechanism configured to determine a weighted average life of the asset-backed security;
a calculation mechanism configured to determine a weighted average life of the asset-backed security at a moderate shift in the yield curve; and a calculation mechanism configured to determine a weighted average life of the asset-backed security at a stressed shift in the yield curve; and a calculation mechanism configured to rank the asset-backed security against another asset-backed security to obtain a relative rank of prepayment risk based on weighted average life, weighted average life at a moderate shift in the yield curve, and a weighted average life at a stressed shift in the yield curve.
- a calculation mechanism configured to determine a weighted average life of the asset-backed security;
Specification