Abstract: A method for creating investment securities structured from interest-rate derivative and mortgage pool components is described. The method includes analyzing the risk elements of the derivative and mortgage pool components, structuring one or more classes of securities, at least one of which is backed by these components in combination, and issuing the structured securities. A computer program product and data processing system for practicing the method are also described. A novel investment security is disclosed which incorporates cash flows from mortgage pool components and cash flows coming from derivative components. Finally, a method of adding value to mortgage-backed securities is described.

Abstract: A system, method, and computer program product for increasing security of grid enabled computing environments. The system, method, and computer program product include: scheduling execution of a computing job; determining if an edge policy exists for the computing job; tracking said execution of the computing job; dividing the computing job into portions; assigning the portions of the computing job according to the edge policy; determining if there is an attempt to violate the edge policy; and prohibiting a violation of the edge policy.

Abstract: Systems and methods consistent with the present invention generate a model for providing one or more scores indicating a likelihood that a stated income is faulty. In one embodiment, the method includes, for example, receiving information representative of at least one borrower; receiving a first income value for the at least one borrower; and receiving a second value for the at least one borrower, such that the second income value verifies the first income value. Moreover, the method includes determining one or more parameters for the model based on the received information, the received first income value, and the received second income value, such that the one or more parameters enable the model to provide the one or more scores.

Abstract: Embodiments consistent with the present invention provide a credit enhancement structure for risk allocation between parties that minimizes the regulatory capital reserve requirement impact to an institution subject to capital reserve requirement. A subject pool of assets held by the institution, such as a pool of loans, is rated to determine its risk levels. Based on the rated risk levels, a guarantor party agrees to be responsible for a portion of the risk associated with the pool of assets, which may define the maximum risk exposure of the institution holding the asset pool. The risk-rated capital reserve requirements are applied to the asset pool based on the risk level rating and the guarantor's agreed upon risk responsibility such that the institution holds a reduced amount of reserve capital compared to what it would otherwise be required to hold.

Abstract: A current mortgage price indicator futures contract (“Mortgage Futures Contract”) that can be traded on a futures exchange is described. The contracts add value over existing hedging and speculating alternatives by meeting the needs of a wide range of mortgage and mortgage-backed securities (MBS) market participants such as portfolio managers, dealers, hedgers, originators, speculators and arbitrageurs. The Mortgage Futures Contract is based upon conventional MBS and has a relatively current coupon composition, thereby resulting in risk properties that appeal to market participants more so than prior contracts based on non-conventional MBS that were not correlated to current MBS production. The Mortgage Futures Contract has a cash settlement feature designed to eliminate complicated and largely uneconomic physical delivery of the underlying security. A options contract corresponding to the Mortgage Futures Contract and that can be traded on a futures exchange is also described.

Abstract: Systems and method are provided for testing an infrastructure. The infrastructure may include one or more computers connected by a network. Moreover, each of the computers may include an agent. In one embodiment, the method includes receiving, at a controller, a test request to perform at least one of a plurality of predetermined tests, the predetermined test including one or more parameters associated with performing the predetermined test and one or more expected results from performing the predetermined test. The method further includes determining whether the predetermined test is available at one of the computers. The method also includes sending, by the controller, the predetermined test to one of the computers based on the results of the determining step, such that the agent at the computer performs the predetermined test sent by the controller. Furthermore, the method includes receiving, at the controller, one or more results of the predetermined test performed by the agent at the computer.

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.

Abstract: Systems, methods, and computer-readable storage media are described for normalizing HMDA data. In one exemplary embodiment, a computer-implemented method of normalizing HMDA data comprises receiving HMDA data including at least one of HMDA data reports and loan-level public HMDA data, the HMDA data having information that varies as a function of time; correcting errors in the HMDA data; normalizing the HMDA data across any variation in the information; summarizing the normalized HMDA data; and outputting the summarized and normalized HMDA data to an application for analysis.

Abstract: Systems and methods are provided for providing, based on a model, an indication that an appraisal value for a property is likely to be faulty. In one embodiment, a method includes receiving information representative of at least one of a borrower, a property, or one or more demographics, such that the received information corresponds to a date. The method determines a score based on the received information and the model, such that the score provides the indication of the likelihood that the appraisal value was faulty on the date.

Abstract: A method, system, and computer-program product for determining one or more decision steps of a programming logic set executed by a computer. The method comprises steps of: receiving at least one data set; receiving conditional information; tagging one of said one or more data sets to indicate qualification under the conditional information. The tagging includes determining, for each tagging condition element, if the tagging condition element passes or fails, and combining, in accordance with a predefined logic scheme, the results of the individual tagging condition elements from the determining step to further determine whether said data set meets the conditions.

Abstract: A method for creating investment securities structured from interest-rate derivative and mortgage pool components is described. The method includes analyzing the risk elements of the derivative and mortgage pool components, structuring one or more classes of securities, at least one of which is backed by these components in combination, and issuing the structured securities. A computer program product and data processing system for practicing the method are also described. A novel investment security is disclosed which incorporates cash flows from mortgage pool components and cash flows coming from derivative components. Finally, a method of adding value to mortgage-backed securities is described.

Abstract: Systems and methods consistent with the present invention provide an indication of whether a mortgage loan is likely to involve property value fraud, such as a property involved in mortgage flipping. In one embodiment, a method includes receiving information representative of the property, the information including foreclosure information on the property and a rate of foreclosures corresponding to a region in which the property is located; and determining an indication based on one or more rules and the received information, the indication representative of a likelihood that the mortgage loan application involves property value fraud.

Abstract: Systems and methods are described for processing mortgage payments. In one embodiment, the method includes receiving a fixed payment for the mortgage, such fixed payment being based on an initial interest rate, with the initial interest rate serving as a maximum interest rate; determining a principal and interest payment amount based on a revised interest rate, the revised interest rate not exceeding the maximum interest rate; determining a difference between the fixed payment and the determined principal and interest amount, so that any difference may prepay the mortgage.

Abstract: A system, method, and computer program product is used to associate an account template representing the distributees and/or accounts having an ownership interest, entitlement or right to a portion of a cash flow or asset interest stream. The account template is applied to an electronic record of a payment representing a cash flow stream. The template may be rapidly and quickly exchanged for a new template or updated responsive to changes in the attributes of the cash flow stream or to events in the environment of the cash flow stream.

Abstract: A system and method for forecasting a price of a property in a first housing sub-market based on data related to a second housing sub-market are described. A price index is derived for the second housing sub-market, and an error correcting function is calculated for the first housing sub-market. A price index for the first housing sub-market is derived from the second sub-market price index and the error correcting function. An estimate of the price of the price of the property in the first housing sub-market is then provided. The estimate of the price can be used as the basis for an economic decision.

Abstract: A method and computer program product for structuring a credit guarantee contract, comprising identifying a pool of assets, identifying parameters for the assets, identifying a manner of securing a guarantee fee for the credit guarantee contract, issuing a security clearly articulating the parameters of the assets, and resetting the guarantee fee each period based on realized performance of the assets.

Abstract: Systems and methods are provided for providing asynchronous communication between a source processor and a destination processor. In one embodiment, a method includes receiving an information request; making a first call to the destination processor, such that the first call includes the information request; and ending the first call while the destination processor determines an information response, such that said ending terminates a synchronous communication between the source processor and the destination processor. Furthermore, the method includes making a second call to the source processor, such that the second call includes the information response; ending the second call, such that said ending terminates a synchronous communication between the destination processor and the source processor; and providing asynchronously the information response.

Abstract: Methods and systems are provided for processing information associated with a loan, such as a mortgage. In one embodiment, a method for processing loan information using a financial system includes, for example, receiving loan information from one or more source systems; storing the loan information in one or more staging tables; evaluating the loan information stored in the one or more staging tables using one or more triggers such that any one of the one or more triggers is satisfied based on one or more predetermined conditions; identifying one or more rules, when at least one of the one or more triggers is satisfied; retrieving stored loan information from at least one of the one or more staging tables to form retrieved information, when at least one of the one or more triggers is satisfied; and transforming the retrieved information into one or more outputs based on at least one of the one or more rules.

Abstract: Systems and methods are provided for analyzing a set of assets. Generally, a distribution is computed for a characteristic of assets, setting a range in a tail of the distribution and partitioning the range into at least one partition. Subsequently, a multiplier is assigned to each partition, wherein the multiplier represents how the characteristics affect the risk associated with an asset. These multipliers can be used in a risk analysis.

Abstract: A method for creating investment securities structured from interest-rate derivative and mortgage pool components is described. The method includes analyzing the risk elements of the derivative and mortgage pool components, structuring one or more classes of securities, at least one of which is backed by these components in combination, and issuing the structured securities. A computer program product and data processing system for practicing the method are also described. A novel investment security is disclosed which incorporates cash flows from mortgage pool components and cash flows coming from derivative components. Finally, a method of adding value to mortgage-backed securities is described.