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Reconciliation

CalcBridge's reconciliation engine automates the comparison of internal portfolio data against trustee tapes, detecting discrepancies and managing exception workflows.

Overview

Trustee reconciliation is a critical CLO management process. CalcBridge automates:

  • Tape Upload & Parsing: Upload trustee tapes from US Bank, Deutsche, or Wilmington
  • Loan Matching: Match loans by CUSIP with vectorized operations
  • Discrepancy Detection: Identify value mismatches, missing loans, and timing differences
  • Issue Management: Track, acknowledge, resolve, and dismiss discrepancies
  • Severity Classification: Automatic severity based on materiality thresholds
flowchart TD
    UPLOAD["Upload\nTrustee Tape"] --> PARSE["Parse &\nNormalize"]
    PARSE --> MATCH["Match Loans\nby CUSIP"]
    MATCH --> RULES["Run\nDiscrepancy Rules"]

    RULES --> COMPLETE["Completeness\nRules"]
    RULES --> CALC["Calculation\nRules"]
    RULES --> TIMING["Timing\nRules"]
    RULES --> REF["Reference\nRules"]
    RULES --> BIZ["Business\nRules"]

    COMPLETE --> ISSUES["Generate\nIssues"]
    CALC --> ISSUES
    TIMING --> ISSUES
    REF --> ISSUES
    BIZ --> ISSUES

    ISSUES --> REVIEW["Review &\nResolve"]

    style MATCH fill:#DBEAFE,stroke:#3B82F6
    style ISSUES fill:#FEF3C7,stroke:#F59E0B

Supported Trustees

Trustee Enum Value Format
US Bank us_bank Excel (.xlsx)
Deutsche Bank deutsche Excel (.xlsx)
Wilmington Trust wilmington Excel (.xlsx)

Reconciliation Workflow

1. Upload Trustee Tape

Upload the trustee's periodic statement file. The system parses and normalizes the data, extracting loan-level information.

2. Run Reconciliation

Compare the trustee tape against an internal workbook. The engine:

  • Matches loans by CUSIP identifier
  • Runs configurable discrepancy rules
  • Calculates severity based on materiality thresholds

3. Review Issues

Review detected discrepancies with severity-based prioritization:

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

4. Resolve Issues

Each issue follows a resolution workflow:

open -> acknowledged -> resolved or false_positive

Discrepancy Rule Categories

Category Rules Description
Completeness MissingInInternal, MissingInTrustee Loans present in one source but not the other
Calculation ParValueMismatch, AccruedInterestMismatch, MarketValueMismatch Numeric value differences
Timing MaturityDateMismatch, SettlementDateMismatch Date differences
Reference RatingMismatch, SpreadMismatch, IndustryMismatch Reference data differences
Business DefaultStatus, Concentration, RatingDistribution Business rule violations
Page Description
Trustee Tapes Upload, parsing, and loan extraction
Discrepancies Rule types, severity, and issue management

API Reference