Performance Evaluation Of Mortgage Portfolios
OwnerJames D. Campbellinventor
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Abstract
Systems and methods for mortgage portfolio evaluation are provided. Some embodiments of the present invention use a synthetic pool model as part of the process for evaluating and pricing mortgage servicing rights (MSR). In some embodiments, the synthetic pool model can identify a static pool of loans from the servicing portfolio (e.g., portfolio of residential mortgages) with collateral characteristics similar to the loans in the bid pool. Performance reports can then be created from the synthetic pool in order to estimate the performance of the loan servicer based on actual historical performance of a portfolio with similar characteristics. In addition, these reports can quantify performance assumptions for use in an MSR pricing model.
Claims21
A method comprising:
- receiving a request to analyze a mortgage portfolio having a plurality of mortgages serviced by a first loan servicer;
- identifying, using a processor, a set of loan characteristics of the mortgage portfolio;
- creating, using the processor, a synthetic pool of mortgages based on the set of loan characteristics, wherein the synthetic pool of mortgages is created from mortgages being serviced by a second loan servicer;
- and
- generating, using the processor, a performance analysis of the synthetic pool of mortgages.
A system comprising:
- a processor;
- a historical servicing database having stored thereon a plurality information regarding servicing of a first plurality of loan mortgages serviced by a loan servicer, wherein the plurality of information includes mortgage characteristics;
- an importation module configured to receive bid data regarding a second plurality of loan mortgages;
- a characteristics module configured to access the bid data and identify a set of loan characteristics using the processor, wherein the loan characteristics are descriptive of the second plurality of loan mortgages;
- a synthetic pool selection module configured to receive the set of loan characteristics and create, using the processor, a synthetic pool of loan mortgages by selecting a subset of the first plurality of loan mortgages similar to the second plurality of loan mortgages as defined by the loan characteristics identified by the characteristics module;
- and
- a report module to generate an analysis of the synthetic pool.
A computer-implemented method comprising:
- receiving a request to analyze a first residential mortgage portfolio having a plurality of residential mortgages;
- importing, from a memory device, data related to the first residential mortgage portfolio into a synthetic pool model;
- identifying, using a processor, cohorts material to the first residential mortgage portfolio and to a second residential mortgage portfolio;
- creating, using the processor, a synthetic pool of mortgages by matching the cohorts of the first residential mortgage portfolio and the second residential mortgage portfolio;
- and
- generating a performance analysis of the synthetic pool of mortgages.
Dependencies are inferred from the claim text.