MX Structured Finance Cashflow and Waterfall Engine. Automate Collateral Modelling, Tranche Waterfalls, and Scenarios

Description
The MX Structured Finance Cashflow and Waterfall Engine is a complete modelling system for ABS, RMBS, CMBS, CLOs, and bespoke structured credit deals. It transforms loan‑level or pool‑level data into accurate, transparent, and audit ready cashflow outputs.

It is designed to:

• Centralise collateral data, tranche terms, triggers, fees, and structural features in one structured system.
• Automate collateral cashflows including interest, principal, defaults, recoveries, and prepayments.
• Run full tranche waterfalls with interest, principal, sequential or pro‑rata pay, OC and IC tests, and cash diversion.
• Model triggers, turbo features, step‑ups, call options, and structural variations.
• Produce consistent, transparent, and investor ready analytics for every scenario.
• Replace slow, error prone manual spreadsheets with fast, reliable, structured automation.
• Provide a clear, defensible methodology suitable for investors, arrangers, and rating agencies.

Whether you structure deals, invest in structured credit, or analyse securitisations, this system gives you a professional and dependable modelling workflow.

2. Who It’s For
This tool is ideal for professionals responsible for structured finance modelling, valuation, and analysis, including:

• Structured finance analysts
• CLO and ABS investors
• Banks and arrangers
• Credit funds
• Rating agency analysts
• Consultants
• Corporate treasury teams
• Anyone who needs accurate, repeatable structured finance cashflow modelling

If you work with securitised products, this tool will significantly improve your workflow.

Why It Is Better Than Manual Work
Manual structured finance models are slow, fragile, and highly prone to formula errors. This system solves that problem.

With the MX Structured Finance Engine, you get:

• Zero repetitive admin
• Guaranteed accuracy through automated waterfall logic
• Consistent results across all scenarios
• No formula maintenance
• Instant outputs
• A transparent audit trail for every assumption
• Professional grade modelling normally found only in specialist platforms

It is like having a structured finance quant working inside Excel.

4. What’s Included
You receive a complete, ready to use structured finance modelling system:
Collateral Engine

• Loan‑level or pool‑level modelling
• Interest and principal calculations
• Defaults and recoveries
• Prepayments and CPR vectors
• Loss severity modelling

Waterfall Engine

• Tranche interest and principal
• Sequential and pro‑rata pay
• Fees, expenses, and senior costs
• OC and IC tests
• Cash diversion logic
• Step‑ups, call options, and triggers

Scenario and Sensitivity Engine

• Multi scenario runs
• Default and recovery curves
• Prepayment vectors
• Interest rate shocks
• Structural variations

Analytics and Reporting

• WAL, yield, IRR
• Loss allocation
• Trigger breach reporting
• Tranche summaries
• Portfolio and deal dashboards
• Diagnostics and exception checks
• Audit trail and version tracking
• Step by step instructions (included in the download and inside the workbook)

Everything is pre built, structured, and ready to run.

5. Time & Cost Savings
This tool delivers real, measurable value for organisations that model securitised products.
Time Savings

• Reduce modelling time by 60 to 95 percent
• Save 20 to 100 hours per deal
• Eliminate manual waterfall and trigger logic
• Produce dashboards and summaries in minutes

Cost Savings

• Improve investment decisions through accurate modelling
• Save 1,000 to 20,000 pounds per deal depending on complexity
• Prevent costly errors in tranche valuation and cashflow allocation
• Reduce labour costs by 5,000 to 50,000 pounds per year
• Achieve a 5x to 30x return on investment within the first quarter

For banks, CLO managers, and credit funds, the savings are even higher.

IMPORTANT - ONLY WORKS on WINDOWS (not on Macintosh iOS)