Systems, methods, and computer products for optimizing the selection of collateral

A computer-readable medium including program instructions for performing, when executed by a processor, a method for increasing a return on investment from a first pool of loans for a company, the method comprising:

• creating a first sub-pool in which to place loans from the first pool, the credit risk dependent return of which is guaranteed by the company at a first level;
• creating a second sub-pool in which to place loans from the first pool, the credit risk dependent return of which is guaranteed by the company at a second level, the second level being lower than the first level;
• determining, using one or more processors, an external value assessment for one or more loans from the first pool;
• determining, using one or more processors, an internal value assessment for the one or more loans;
• identifying a difference between the external and internal value assessments;
• and
• selecting the first sub-pool or the second sub-pool to place the one or more loans based upon the identified difference.

A system for creating a plurality of sub-pools from a first pool of loans for a company involved in the guarantee and securitization of the loans, the system comprising:

• data storage devices for storing collateral data, market credit risk data, and internal credit risk data;
• a rules repository for storing market models, internal models, and optimization models;
• and
• a computer, including an optimization tool, communicatively connected to the data storage devices and the rules repository, the optimization tool receives collateral data, market credit risk data, internal credit risk data, market models, internal models, and optimization models and executes an optimization selection process to create a plurality of sub-pools in which to place loans from the first pool of loans,
• wherein the plurality of sub-pools comprise a first sub-pool in which to place loans, the credit risk dependent return of which is guaranteed by the company at a first predetermined level, and a second sub-pool in which to place loans, the credit risk dependent return of which is guaranteed by the company at a second predetermined level.

A computer-implemented method of increasing a return on investment from a first pool of loans for a company, the method comprising:

• creating, by a processor, a plurality of sub-pools in which to place cash flow associated with particular loans from the pool;
• determining, using the processor, an external value assessment for the timing of the cash flow associated with one or more loans from the first pool;
• determining, using the processor, an internal value assessment for the timing of the cash flow associated with the one or more loans from the first pool;
• identifying, by the processor, a difference between the external and internal value assessments;
• and
• selecting, by the processor, a sub-pool from the plurality of sub-pools to place the cash flow associated with the one or more loans based upon the identified difference.

A computer-implemented method of increasing a return on investment from a first pool of loans for a company, the method comprising:

• receiving, by a processor, a plurality of loans through a flow delivery process over a predefined term;
• periodically determining, by the processor, an external value assessment for one or more of the plurality of loans;
• periodically determining, by the processor, an internal value assessment for the one or more loans;
• periodically identifying, by the processor, a difference between the external and internal value assessments;
• and
• calculating, by the processor an historical average of the identified differences over the term of the flow delivery process.

A computer-implemented method for optimizing selection of collateral, the collateral comprising a pool of loans, the method comprising:

• retrieving, by a processor, collateral data for the loans, market credit risk data, internal credit risk data, a market model, and an internal model;
• creating, by a processor, a market model input file from the retrieved market credit risk data and market model and creating an internal model input file from the retrieved internal credit risk data and internal model;
• entering, by the processor, the market model input file into the market model to generate a market model output file and entering the internal model input file into the internal model to generate an internal model output file;
• creating, the processor, an optimization model input file from the market model input file, internal model input file, market model output file, and internal model output file;
• executing, by the processor, an optimization selection process by entering the optimization model input file into an optimization model;
• and
• generating, by the processor, an optimization model output, the optimization model output including a plurality of sub-pools in which to place one or more loans from the pool of loans and an indication of which of the plurality of sub-pools to place the one or more loans.