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Compliance Testing

This document specifies the requirements for CalcBridge's automated compliance testing framework.

Overview

CLO portfolios must maintain compliance with covenant tests defined in their indentures. CalcBridge automates the execution, monitoring, and reporting of these tests.

Requirements

Functional Requirements

ID Requirement Priority Status
CT-001 System shall execute 50+ covenant tests automatically Must Have Implemented
CT-002 Test results shall include current value, threshold, cushion, and status Must Have Implemented
CT-003 Tests shall run against uploaded workbook data Must Have Implemented
CT-004 Historical test results shall be stored for audit Must Have Implemented
CT-005 Users shall receive alerts when tests approach failure thresholds Should Have Implemented
CT-006 Tests shall be configurable per deal/indenture Should Have In Progress

Test Categories

Coverage Tests

Test Description Formula
OC Test (Senior) Senior overcollateralization (Collateral Par + Cash) / Senior Tranche Par
OC Test (Mezzanine) Mezzanine overcollateralization (Collateral Par + Cash) / (Senior + Mezz) Par
IC Test (Senior) Senior interest coverage Interest Proceeds / Senior Interest Due
IC Test (Mezzanine) Mezzanine interest coverage Interest Proceeds / (Senior + Mezz) Interest Due

Quality Tests

Test Description
WARF Weighted Average Rating Factor must not exceed limit
WAS Weighted Average Spread must meet minimum
WAL Weighted Average Life must not exceed limit
Diversity Score Moody's diversity score must meet minimum
CCC Bucket CCC/Caa exposure must not exceed limit

Concentration Tests

Test Description
Single Obligor Maximum exposure to any single borrower
Top N Obligor Combined exposure of largest N positions
Industry Maximum exposure to any single industry
Country Maximum exposure to any single country

Test Status Logic

Status Condition
Pass Current value within threshold
Warning Current value within 90% of threshold
Fail Current value breaches threshold

User Stories

US-CT-001: Run Compliance Tests

As a CLO Analyst I want to run all compliance tests against my portfolio So that I can verify covenant compliance before the trustee report

Acceptance Criteria:

  • All configured tests execute within 3 seconds
  • Results show pass/fail/warning status
  • Cushion values are calculated accurately
  • Historical results are stored for comparison

As a Compliance Officer I want to view compliance test trends over time So that I can identify deteriorating metrics before they breach