Product Requirements Document¶
Executive Summary¶
CalcBridge is an enterprise-grade, multi-tenant platform that transforms complex Excel-based financial calculations into a scalable, auditable, and collaborative SaaS solution. Designed specifically for CLO (Collateralized Loan Obligation) portfolio management, CalcBridge addresses the critical pain points of compliance testing, trade simulation, data reconciliation, and audit readiness that plague traditional Excel-based workflows.
The Problem¶
Financial institutions managing CLO portfolios face five interconnected challenges:
- Compliance Testing Complexity - Manual verification of 50+ compliance tests before each trustee report, consuming 4-8 analyst hours per portfolio
- Trade Decision Uncertainty - No reliable way to simulate trade impacts on portfolio metrics before execution
- Data Reconciliation Burden - Trustee data discrepancies require hours of manual investigation with no audit trail
- Audit Trail Gaps - Lack of version history and change tracking creates SOC 2 compliance risks
- Operational Fragility - Failed processes go undetected, calculations are silently incorrect, and data quality degrades over time
The Solution¶
CalcBridge provides:
- Automated Compliance Engine - Real-time monitoring of all covenant tests with instant pass/fail visibility
- What-If Scenario Analysis - Simulate any trade, market movement, or rating migration before committing
- Trustee Reconciliation - Automated variance detection and exception management with full audit trail
- Complete Audit History - Every calculation, change, and decision tracked with full provenance
- Intelligent Monitoring - Anomaly detection, data quality alerts, and predictive compliance warnings
- Resilient Operations - Dead letter queue processing, circuit breakers, and graceful degradation
Document Navigation¶
| Document | Description | Last Updated |
|---|---|---|
| Vision & Roadmap | Product vision, strategic direction, and feature roadmap | 2026-02-01 |
| Requirements | Functional and non-functional requirements specification | 2026-02-01 |
| Technical Specifications | API contracts, data models, and performance benchmarks | 2026-02-01 |
Core Capability Documents¶
| Document | Description |
|---|---|
| Compliance Testing | Automated covenant testing framework and test catalog |
| What-If Analysis | Trade simulation and scenario comparison capabilities |
| Data Reconciliation | Trustee reconciliation and variance analysis |
| Data Intelligence | Anomaly detection, insights, and predictive analytics |
| Operational Resilience | Error handling, recovery, and system reliability |
Related Documentation¶
| Resource | Location | Purpose |
|---|---|---|
| Architecture Overview | /architecture/ | System design and component relationships |
| API Reference | /api-reference/ | Complete API documentation |
| User Guide | /user-guide/ | End-user operational guides |
| Compliance Guide | /compliance/ | Compliance testing documentation |
| What-If Guide | /what-if/ | Scenario analysis documentation |
| Developer Guide | /developer-guide/ | Developer integration guides |
Platform Capabilities Overview¶
Core Platform (Phase 1) - Complete¶
| Capability | Description | Status |
|---|---|---|
| Multi-tenant Architecture | Isolated tenant environments with Row-Level Security | Complete |
| Workbook Management | Excel file upload, parsing, and JSONB storage | Complete |
| Formula Engine | AST-based parser with 50+ Excel functions, safe evaluation | Complete |
| Calculation Services | Domain-specific calculators (ABC, Atlys, PME, Credit) | Complete |
| Column Alias Profiles | Servicer-agnostic header normalization | Complete |
| RESTful API | 170+ endpoints with comprehensive CRUD operations | Complete |
| JWT Authentication | Token-based auth with refresh and API key support | Complete |
| Audit Trail | Complete change logging with user attribution | Complete |
Advanced Analytics (Phase 2) - Complete¶
| Capability | Description | Status |
|---|---|---|
| Compliance Test Engine | 50+ automated covenant tests with real-time results | Complete |
| What-If Scenarios | Trade simulation, rating changes, price movements | Complete |
| Scenario Comparison | Side-by-side metrics with compliance impact analysis | Complete |
| Trustee Reconciliation | Variance detection and exception management | Complete |
| Data Insights | Anomaly detection and pattern analysis | Complete |
| Real-time Dashboards | Live compliance monitoring | Complete |
| Report Generation | Automated trustee report preparation | Complete |
| Alert System | Threshold-based notifications | Complete |
Collaboration & Real-time (Phase 3) - 20% Complete¶
| Capability | Description | Status |
|---|---|---|
| WebSocket Infrastructure | Real-time data streaming | Complete |
| Notification System | Pub/sub notification infrastructure | Complete |
| Shared Scenarios | Team scenario collaboration | Planned |
| Comments & Annotations | Discussion on specific cells | Planned |
| Workflow Automation | Approval flows for changes | Planned |
AI-Powered Insights (Phase 4) - Planned¶
| Capability | Description | Status |
|---|---|---|
| Predictive Compliance | ML-based early warning system | Planned |
| Trade Recommendations | AI-suggested portfolio optimizations | Planned |
| Natural Language Queries | Ask questions in plain English | Planned |
| Smart Mapping | Auto-suggest column mappings with ML | Planned |
Version History¶
| Version | Date | Author | Changes |
|---|---|---|---|
| 2.0.0 | 2026-02-01 | Product Team | Major expansion: reconciliation, intelligence, resilience |
| 1.0.0 | 2026-01-25 | Product Team | Initial PRD release |
| 0.9.0 | 2025-12-15 | Product Team | Beta requirements finalization |
| 0.8.0 | 2025-11-01 | Product Team | What-if scenario requirements |
| 0.7.0 | 2025-09-20 | Product Team | Compliance testing requirements |
| 0.6.0 | 2025-08-01 | Product Team | Multi-tenant architecture requirements |
| 0.5.0 | 2025-06-15 | Product Team | Core calculation engine requirements |
| 0.1.0 | 2025-03-01 | Product Team | Initial draft |
Stakeholders¶
Product Ownership¶
| Role | Name | Responsibility |
|---|---|---|
| Product Owner | Product Team | Feature prioritization, roadmap decisions |
| Technical Lead | Engineering Team | Architecture decisions, technical feasibility |
| UX Lead | Design Team | User experience, interface design |
Target Users¶
| Persona | Role | Primary Use Cases |
|---|---|---|
| CLO Analyst | Portfolio analysis and reporting | Daily compliance checks, ad-hoc analysis, reconciliation review |
| Portfolio Manager | Investment decisions | Trade simulation, portfolio optimization, what-if analysis |
| Compliance Officer | Regulatory oversight | Audit review, covenant monitoring, exception management |
| Data Operations | Data pipeline management | Workbook uploads, mapping configuration, data quality monitoring |
| Risk Manager | Risk assessment | Concentration analysis, exposure monitoring, stress testing |
| System Administrator | Platform management | Tenant setup, user administration, system monitoring |
| Developer | Integration development | API integration, custom workflows, automation |
Business Stakeholders¶
| Stakeholder | Interest | Communication Frequency |
|---|---|---|
| Executive Leadership | ROI, strategic alignment | Monthly |
| Sales Team | Feature positioning, competitive analysis | Bi-weekly |
| Customer Success | User adoption, feedback | Weekly |
| Legal/Compliance | Regulatory requirements | As needed |
| Operations | System reliability, incident management | Daily |
Document Status¶
Current Status: Approved
This PRD has been reviewed and approved by all stakeholders. Phase 2 features are complete and ready for Phase 3 planning.
Approval Matrix¶
| Stakeholder | Status | Date |
|---|---|---|
| Product Owner | Approved | 2026-01-30 |
| Technical Lead | Approved | 2026-01-28 |
| UX Lead | Approved | 2026-01-29 |
| Executive Sponsor | Approved | 2026-02-01 |
Scope Definition¶
In Scope¶
Core Capabilities: - CLO portfolio calculation and analytics - Multi-tenant workbook management - Compliance test automation - What-if scenario simulation - Trustee data reconciliation - Data quality monitoring and insights - Audit trail and version history - RESTful API for integrations - Role-based access control - Report generation and export
Operational Capabilities: - Dead letter queue processing and recovery - Circuit breaker and graceful degradation - Real-time health monitoring - Prometheus metrics and alerting - Distributed tracing with OpenTelemetry
Data Processing: - Formula engine with 50+ Excel functions - Vectorized calculation services - Cross-sheet dependency resolution - Column alias normalization - JSONB-based flexible storage
Out of Scope (Current Release)¶
- Real-time market data feeds (Phase 3)
- Mobile application (Future consideration)
- Trading execution integration (Future consideration)
- AI-powered recommendations (Phase 4)
- Multi-language localization (Future consideration)
- Blockchain-based audit ledger (Future consideration)
Success Criteria¶
Phase 1 - Core Platform (Completed)¶
| Criterion | Target | Actual | Status |
|---|---|---|---|
| Workbook upload success rate | > 99% | 99.7% | Met |
| Calculation accuracy | 100% | 100% | Met |
| API response time (P95) | < 500ms | 180ms | Exceeded |
| Multi-tenant isolation | Zero cross-tenant access | Zero incidents | Met |
Phase 2 - Advanced Analytics (Complete)¶
| Criterion | Target | Current | Status |
|---|---|---|---|
| Compliance test coverage | 50+ tests | 52 tests | Met |
| Scenario comparison accuracy | 100% | 100% | Met |
| What-if calculation time | < 3s | 2.1s | Met |
| Reconciliation variance detection | 99%+ accuracy | 99.5% | Met |
| User adoption rate | 80% | 78% | In Progress |
Phase 3 - Collaboration (Planned)¶
| Criterion | Target | Status |
|---|---|---|
| Real-time update latency | < 500ms | Planned |
| Scenario sharing adoption | 60% of teams | Planned |
| Workflow automation adoption | 40% of processes | Planned |
Quick Links¶
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Vision & Roadmap
Strategic direction, personas, and feature planning
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Requirements
100+ functional and non-functional requirements
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Technical Specifications
API contracts, data models, and benchmarks
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Compliance Testing
Automated covenant testing framework
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What-If Analysis
Trade simulation and scenario comparison
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Data Reconciliation
Trustee reconciliation and variance analysis
Glossary¶
| Term | Definition |
|---|---|
| CLO | Collateralized Loan Obligation - a structured credit product backed by a pool of loans |
| Covenant | Contractual requirement that must be maintained (e.g., OC test, IC test) |
| OC Test | Overcollateralization Test - measures asset coverage ratio for debt tranches |
| IC Test | Interest Coverage Test - measures interest payment capability |
| WAL | Weighted Average Life - average time to principal repayment |
| WAS | Weighted Average Spread - average yield spread over benchmark rate |
| WARF | Weighted Average Rating Factor - credit quality metric (Moody's scale) |
| Trustee Report | Monthly/quarterly report submitted to deal trustee |
| What-If Scenario | Hypothetical analysis of proposed changes to portfolio |
| Compliance Test | Automated verification of covenant requirements |
| Reconciliation | Process of comparing internal data against trustee data |
| Variance | Discrepancy between internal and external data sources |
| Dead Letter Queue | Storage for failed tasks awaiting manual intervention |
| Circuit Breaker | Pattern to prevent cascade failures in distributed systems |
| RLS | Row-Level Security - database-level tenant isolation |
| CUSIP | Committee on Uniform Securities Identification Procedures identifier |
| ISIN | International Securities Identification Number |
| Par Amount | Face value of a security |
| Market Value | Current trading value of a security |
| Spread | Difference between yield and benchmark rate (basis points) |
| Diversity Score | Moody's measure of portfolio concentration risk |
| CCC Bucket | Exposure to CCC/Caa rated (high risk) securities |
Last Updated: 2026-02-01 | Version 2.0.0