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Data Reconciliation

This document specifies the requirements for CalcBridge's trustee data reconciliation capabilities.

Overview

CLO managers must reconcile their internal portfolio data against trustee tapes to identify and resolve discrepancies before trustee reporting.

Requirements

Functional Requirements

ID Requirement Priority Status
RC-001 System shall accept trustee tapes from US Bank, Deutsche, and Wilmington Must Have Implemented
RC-002 Loan matching shall use CUSIP as primary identifier Must Have Implemented
RC-003 Discrepancies shall be classified by severity Must Have Implemented
RC-004 Issues shall follow a resolution workflow Must Have Implemented
RC-005 Severity thresholds shall be configurable Should Have Implemented
RC-006 Multi-source reconciliation (Bloomberg, Markit) Could Have Planned

Discrepancy Rules

Category Rules Description
Completeness Missing loans Loans in one source but not the other
Calculation Value mismatches Par, accrued interest, market value differences
Timing Date mismatches Maturity, settlement date differences
Reference Data mismatches Rating, spread, industry differences
Business Logic violations Default status, concentration, distribution anomalies

Severity Classification

Severity Criteria
Critical Par value differs >5%, missing loan >$1M
Error Par value differs 1-5%, missing loan \(100K-\)1M
Warning Rating differs, spread >10bps difference
Info Minor field differences

Tolerance Defaults

Field Warning Error Critical
Price 0.5% 1% 2%
Spread 10bps 25bps 50bps
Par Value - 1% 5%

User Stories

US-RC-001: Upload Trustee Tape

As a Data Operations Analyst I want to upload a trustee tape for reconciliation So that I can compare it against internal data

US-RC-002: Resolve Discrepancies

As a CLO Analyst I want to review and resolve reconciliation issues So that I can ensure data accuracy before trustee reporting