RBA Securitisations Industry Forum

Consistent with the second paragraph of section 8 of the the Cash Flow Waterfall Reporting Template for Repo-Eligible Asset Backed Securities: Information Providers (IPs) may aggregate all fee and expense items that are senior to the most senior coupon as one entry. This applies to both the publicly reported template and the version reported to the Reserve Bank. IPs may also aggregate all fee and expense items that are junior or rank equally with the most junior coupon as one entry. This applies to both the publicly reported template and the version reported to the Reserve Bank. For the public version of the cash flow waterfall IPs may redact these aggregated entries. Therefore, depending on the seniority of the Senior Expenses, they may be aggregated with the Senior Fees as a single entry, and be redacted from the publicly reported template. In addition, if there are commercially sensitive senior or junior fee and expense items that rank equally at any point in the cash flow waterfall, the equally ranked fee and expense items may be aggregated as a single entry and redacted for public release. Please note each aggregation must be reported in the version submitted to the Reserve Bank of Australia.

Where an RMBS trust distributes on a quarterly basis (as an example), the IP should update the Cash Flow Waterfall on a quarterly basis. In other words, each line in the Cash Flow Waterfall would cover a quarter's worth of collections and distributions (with the report dates in the spreadsheet being a quarter apart). Notwithstanding this, a Cash Flow Waterfall needs to be included with every securitisation data submission. On dates with no distributions, the IP should submit the latest unchanged Cash Flow Waterfall from the prior month. When submitting for a date with distributions, the Cash Flow Waterfall to be reported would need to be updated with a new line of data covering the inflows, outflows, balances, triggers and so on for that date (or relevant period). The same approach should apply for any other RMBS where the most frequent distribution is less frequent than monthly. Please note that the Cash Flow Waterfall model must be set up to report data for each date with a distribution, so that if there is a monthly paying note and a quarterly paying note in the structure the Cash Flow Waterfall model would be updated with data each month. An RMBS trust that distributes on a quarterly basis will report larger values than a similar RMBS trust that distributes monthly, and may therefore have larger corresponding values of discrepancies. However, this difference would not be present when the discrepancies are measured as a percentage of the actual – the metric on which the tolerance rule is evaluated against.

No. Accrued Interest Adjustment is not a senior fee.

In Section 8 of the Cash Flow Waterfall Reporting Template for Repo-Eligible Asset Backed Securities, we specified that (i) For self-securitisations, Information Providers should redact from the publicly reported template the margin on all notes, (ii) For self-securitisations, Information Providers are not required to report the interest distributions on any of the notes in the publicly reported template. For distributions whose actual values are not reported, the values should be reported as ‘NR’ in the Waterfall worksheet. When a variable's value is not reported, this should be made clear in the Metadata section, where the reported value type should be reported as ‘NR’ (not reported) and the description field should include the following text: ‘This variable's value is redacted/not reported for reasons of commercial sensitivity. The investor/user of the waterfall template is responsible for replacing it with his or her estimate’.

Excel divide by zero (div/0) errors are acceptable in the cells reporting calculations of averages of discrepancies. However, should an IP wish to provide more information we would suggest the following approach:

• If the actual value is zero and the modelled value is non-zero (or vice versa), a discrepancy of ±100 (positive or negative 100 depending on the sign of the discrepancy).
• If the actual value is zero and the modelled value is zero, a discrepancy of zero. In some respects 100 is an arbitrary number but selecting a high number such as 100 will flag any discrepancies that should be examined further.

For an example where the values in column C are the actual values and the values in column D are the discrepancies, and data are in rows 7 to 13, we suggest the following array formulae:

For the simple average of discrepancies:
{=AVERAGE(IF(C7:C13=0,IF(D7:D13=0,0,SIGN(D7:D13)*100), D7:D13/C7:C13*100))}

For the average of absolute discrepancies:
{=AVERAGE(IF(C7:C13=0,IF(D7:D13=0,0,100), ABS(D7:D13/C7:C13)*100))}

The CFW model no longer requires the inclusion of a standalone Metadata worksheet. However, metadata pertaining to the model is still required to be reported as part of the Waterfall worksheet by populating rows 31 to 35 following the requirements set out in section 4(b)(vii) of the Cash Flow Waterfall Template for Repo-Eligible Asset Backed Securities. CFW models already prepared with a standalone Metadata worksheet will be accepted (although the data reported there will no longer be used by the RBA) provided that they otherwise conform to the CFW template, including conforming to the new requirements on reporting metadata detailed in section 4(b)(vii) of the Cash Flow Waterfall Template for Repo-Eligible Asset Backed Securities.

No. The order of output columns in the ‘Waterfall’ worksheet does not need to exactly match the order of payments made by the RMBS trust manager. The RBA expects, however, that the output columns are grouped in a logical way. For example, the columns containing the closing balance of each note should be grouped together, and the columns detailing the flows and balances of each structural reserve facility should be grouped together. Please see the ‘Shell Excel File for the Cash Flow Waterfall Template’ on the RBA website for an example of how RBA expects the model output columns to be grouped.

Please note that although the Cash Flow Waterfall model is Excel and Visual Basic based, it will be submitted to the RBA in XML format. Instructions will be provided on how to do this from the Excel model.

The purpose of comments within the CFW program is to explain how the program maps the ABS Information Memorandum to VBA code. Standard terms and structural features should already be explained sufficiently within the ABS Information Memorandum or other equivalent deal documents. As such these features need not be explained in the CFW program comments, however each part of the program code should include a comment referencing the section(s) of the ABS Information Memorandum (page numbers, and where available section and paragraph numbers) that are being modelled in that part of the program. See section 5 of the CFW template for further details.

No. Each CFW model describes the CFW of a single deal and should contain only the code that is required to model that particular deal.

Using aggregate note balances instead of minimum note denominations to calculate coupon payments should not result in material errors in note coupon distributions. Therefore the RBA anticipates note coupons to be calculated using aggregate note balances so as to allow simpler waterfall program code.

No. Waterfall models should calculate note coupon distributions using an accurate day-count basis for each note. The RBA anticipates that the day count for each distribution period will be input to the waterfall model.

No. The Cash Flow Waterfall Template guidelines allow only the referencing of the built-in VBA library.

Yes. Custom data types can be defined and used as long as their use conforms to the requirements of the Cash Flow Waterfall Template. In particular, the declaration of any custom data type must occur in the same module as the waterfall function.