Method of securitizing a portfolio of at least 30% distressed commercial loans

Abstract

A platform and a securitization methodology that provides lenders with an opportunity to maximize the returns on their distressed commercial credit facilities and overcomes the obstacles that have historically precluded the securitization of distressed commercial loans. The present invention is based upon an underlying portfolio of at least 30% distressed commercial loans for securitization that emulates the predictability and regularity of the cash flow and recovery characteristics of a portfolio of generally performing commercial loans, thus eliminating crucial historical barriers to securitization of such distressed commercial loans, such as the absence of predictable and regular cash flows and predictable recoveries. The methodology of the present invention takes a specific mix of distinct classifications of distressed commercial loans with specified characteristics in confluence with structural specifications, such as specific reserves and safeguards, to create a synthetic asset class that emulates the characteristics of a portfolio of performing loans.

What is claimed is: 
     
         1 . Apparatus for assembling a commercial loan portfolio, comprising:
 at least one computer configured to select a plurality of commercial loans from among a group of commercial loans to create a loan portfolio in which loans comprising at least thirty percent (30%) of at least one of: (i) the portfolio market value, (ii) the portfolio outstanding principal balance, and (iii) the portfolio commitment amount, are distressed loans which: (i) have a payment default, or (ii) where payment default is considered likely;   said at least one computer populating, in at least one database memory, at least one loan database model from a plurality of lender due diligence documents;   said at least one computer determining prices of the selected plurality of commercial loans;   said at least one computer determining anticipated cash flows from each commercial loan in the selected plurality of commercial; and   said at least one computer generating at least one portfolio purchase invoice for the portfolio.