×

Cash flow aggregation system and method

  • US 20070255655A1
  • Filed: 04/11/2007
  • Published: 11/01/2007
  • Est. Priority Date: 12/30/2002
  • Status: Active Grant
First Claim
Patent Images

1. 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:

  • 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 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, (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 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, (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 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 (d) store information concerning the financial assets in a data storage system of the data processing system, the information being stored in the form of a plurality of data structures each of which represents a respective one of the financial assets, each of the plurality of data structures comprising (i) description data having creation, purpose, and transaction information data describing the data structure, (ii) a data map including information on cash flows that flow into the financial asset, the cash flows including the combination of sub-loan level cash flows packaged to create the financial asset, and (iii) computer process instructions including information on cash flow processing for the cash flows that flow into the financial asset, and (4) 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.

View all claims
  • 1 Assignment
Timeline View
Assignment View
    ×
    ×