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CLO Domain

The CLO (Collateralized Loan Obligation) domain provides specialized analytics for structured credit portfolios.

Overview

CLO portfolio management requires:

  • Holdings Normalization: Standardize data from multiple providers
  • Compliance Testing: Automated covenant test execution
  • Portfolio Metrics: WARF, WAS, WAL, diversity score, concentration analysis
  • Rating Management: Cross-agency rating normalization and WARF mapping

Alias Profiles

CalcBridge includes 15 CLO alias profiles for normalizing holdings data from different sources:

Profile Description Size
default Generic CLO alias map Standard
everest_extended Extended Everest dump support Extended
ratings_export Ratings export specific Standard
reference Reference data profile Standard
stockanalysis_clox_holdings CLOX ETF holdings Minimal
blackrock_cloa_holdings BlackRock CLOA Compact
invesco_clo_holdings Invesco CLO Compact
hartford_trpa_holdings Hartford TRPA Compact
ft_tearsheet_holdings Financial Times tearsheet Compact
etfcom_clo_holdings ETF.com format Compact
etfdb_clo_holdings ETFdb format Minimal
vaneck_cloi_holdings VanEck CLOI Compact

Profile Structure

Each profile defines:

{
  "profile": "profile_name",
  "description": "Profile description",
  "sheet_name_hints": ["Holdings", "Portfolio"],
  "required_fields": ["company", "quantity"],
  "required_any_of": [["cusip", "isin", "loanx_id"]],
  "aliases": {
    "canonical_field": ["variation1", "variation2"]
  },
  "rating_crosswalk": {
    "sp_to_moodys": {"AAA": "Aaa", "AA+": "Aa1"},
    "fitch_to_moodys": {"AAA": "Aaa", "AA+": "Aa1"}
  },
  "rating_scale": {
    "moodys_warf": {"Aaa": 1, "Aa1": 10, "Aa2": 20}
  }
}

Canonical Fields

Key fields normalized across all profiles:

Canonical Field Description Common Aliases
cusip CUSIP identifier CUSIP, cusip_id
isin ISIN identifier ISIN, isin_code
company Borrower/issuer name Issuer, Borrower, Company Name
par_value Par amount Par, Face Value, Notional
price Current price Price, Mark, Bid Price
spread Spread (bps) Spread, DM, Discount Margin
rating_moodys Moody's rating Moody's, Moodys, MDY
rating_sp S&P rating S&P, SP, Standard & Poor's
maturity_date Maturity Maturity, Mat Date
wal Weighted avg life WAL, Avg Life
was Weighted avg spread WAS, Avg Spread

Compliance Calculations

The CLO domain provides compliance test calculations:

Coverage Tests

Test Description Formula
OC Test Overcollateralization (Collateral Par + Cash) / Tranche Par
IC Test Interest Coverage Interest Proceeds / Interest Due

Quality Tests

Metric Description
WARF Weighted Average Rating Factor (Moody's scale)
WAS Weighted Average Spread
WAL Weighted Average Life
Diversity Score Moody's diversity score
CCC Bucket Exposure to CCC/Caa and below

Concentration Tests

Test Description
Single Obligor Maximum exposure to any single borrower
Top N Obligor Combined exposure of top N borrowers
Industry Maximum exposure to any single industry

Rating Mappings

WARF Scale (Moody's)

Rating WARF
Aaa 1
Aa1 10
Aa2 20
A1 120
Baa1 260
Ba1 940
B1 2220
Caa1 6500
C 10000

CCC Thresholds

Agency CCC Threshold
Moody's Caa1 (WARF 17+)
S&P CCC+ (score 17+)
Fitch CCC+ (score 17+)