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Ranking Engine


In a universe of more than 50,000 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 ( or by phone (+1-212-867-5693) if you want more details about the Ranking Engine.