Ranking Engine
In a universe of more than 20,000 ABS/MBS deals, the process of selecting a potentially interesting deal is like looking for a needle in a haystack. R&R has developed a very powerful Ranking Engine to track and rank securities of interest that match a particular risk and value profile.
Using a unique and innovative scoring algorithm, up to 26 parameters may be entered to compute the final score for each deal. Search parameters come from a wide variety of sources, from raw pool or tranche data to advanced computations from the R&R world, like remaining expected loss, expected impairment time and expected liquidity event.
Ranking Engine Items
| Item | Importance | Section |
|---|---|---|
| Number of periods | M | Deal |
| Combined LTV | H | Pool |
| Percentage of loans that have first liens on real estate. | M | Pool |
| Percentage of fixed-rate loans. | M | Pool |
| Weighted Average Maturity | L | Pool |
| Percentage of loans to owner occupied houses. | H | Pool |
| Percentage of full-documentation loans | H | Pool |
| Percentage of stated-income loans | H | Pool |
| Credit measure linked to FICO scores. | L | Pool |
| Weighted average FICO score at closing. | M | Pool |
| Initial percentage of loans on detached houses. | M | Pool |
| Initial percentage of loans made for investment properties. | M | Pool |
| Current total delinquency percentage. | H | Pool |
| Cumulative defaults divided by original balance. | H | Pool |
| Average prepayment run rate since closing. | M | Pool |
| Weighted Average Pool Seasoning | L | Pool |
| Percentage of non-fully amortizing loans in the pool. | H | Pool |
| Subordination below target CUSIP divided by current pool balance. | H | Tranche |
| Expected impairment time (Dollars of current OC divided by average realized loss run rate) | M | Tranche |
| Remaining expected loss on the tranche divided by current tranche balance. | H | Tranche |
| Expected liquidity event. | L | Tranche |
| Number of originators contributing assets to pool | M | Deal |
| Number of groups in the combined pool. | M | Deal |
| Name of the Underwriter | M | Deal |
| Name of the Issuer Counsel | M | Deal |
| Name of the Servicer | M | Deal |
By uploading a simple CSV file containing the CUSIP codes of the securities of interested, the Ranking Engine downloads the required performance data files automatically from the data provider and sorts the securities in a very timely manner.
Please contact R&R by email (info@creditspectrum.com) or by phone (+1-212-867-5693) if you want more details about the Ranking Engine.
