CLO Analyst Guide¶

Role Overview¶

As a CLO Analyst, you are responsible for:

• Analyzing CLO portfolios to assess performance and risk
• Running compliance tests to ensure regulatory and covenant adherence
• Monitoring thresholds to identify potential breaches before they occur
• Generating reports for trustees and stakeholders

CalcBridge automates the tedious parts of your workflow, allowing you to focus on analysis and decision-making rather than manual Excel calculations.

Daily Workflow¶

flowchart LR
    A[Upload Latest Data] --> B[Run Compliance Tests]
    B --> C[Review Breaches & Warnings]
    C --> D[Generate Reports]
    D --> E[Monitor Alerts]

    style A fill:#DBEAFE,stroke:#3B82F6
    style B fill:#DCFCE7,stroke:#22C55E
    style C fill:#FEF3C7,stroke:#F59E0B
    style D fill:#EDE9FE,stroke:#8B5CF6
    style E fill:#FEE2E2,stroke:#EF4444

Step 1: Upload Latest Data¶

Start your day by uploading the latest portfolio data from your servicer or custodian.

# Via API
curl -X POST https://api.calcbridge.io/api/v1/workbooks/upload \
  -H "Authorization: Bearer $TOKEN" \
  -F "file=@portfolio_data.xlsx" \
  -F "name=Q1 2024 Holdings"

Or use the web interface to drag-and-drop your Excel file.

Step 2: Run Compliance Tests¶

Execute automated compliance tests against your uploaded data.

# Run standard compliance suite
curl -X POST https://api.calcbridge.io/api/v1/compliance/run \
  -H "Authorization: Bearer $TOKEN" \
  -d '{
    "workbook_id": "wb_abc123",
    "test_suite": "standard",
    "include_cushion_analysis": true
  }'

Step 3: Review Breaches and Warnings¶

Analyze test results, focusing on:

• Breaches: Tests that have failed and require immediate attention
• Warnings: Tests approaching threshold limits
• Cushion Values: How much headroom exists before a breach

Step 4: Generate Reports¶

Create trustee-ready reports summarizing compliance status.

# Generate compliance report
curl -X POST https://api.calcbridge.io/api/v1/reports/compliance \
  -H "Authorization: Bearer $TOKEN" \
  -d '{
    "workbook_id": "wb_abc123",
    "format": "pdf",
    "include_details": true
  }'

Key Features¶

Compliance Testing¶

CalcBridge automates compliance testing with support for:

Cushion Analysis¶

Understanding your cushion values is critical for proactive risk management.

Cushion = Threshold Limit - Current Value

Example:
- Max Single Obligor: 5.00%
- Current Largest Position: 3.75%
- Cushion: 5.00% - 3.75% = 1.25% (PASS)

Portfolio Metrics¶

Track key CLO metrics automatically:

• WAL (Weighted Average Life): Time-weighted principal repayment
• WAS (Weighted Average Spread): Yield over reference rate
• WARF (Weighted Average Rating Factor): Credit quality score
• Diversity Score: Portfolio concentration measure

Alert Configuration¶

Set up proactive alerts for:

• Approaching threshold limits (warning at 90% of limit)
• Test failures (immediate notification)
• Data upload completion
• Report generation status

Step-by-Step Tutorials¶

Running Your First Compliance Test¶

Follow these steps to run your first automated compliance test suite.

Prerequisites¶

• CalcBridge account with Analyst role
• Portfolio data in Excel format (.xlsx, .xls, or .xlsm)
• Compliance thresholds configured for your CLO

Tutorial¶

1. Navigate to the Compliance Dashboard

Log in to CalcBridge and select "Compliance Testing" from the main navigation.

2. Select Your Workbook

Choose the workbook containing your portfolio data. If you haven't uploaded one yet, click "Upload New" and select your Excel file.

3. Choose Test Suite

Select the appropriate test suite for your CLO:

• Standard: Common compliance tests (concentration, quality, coverage)
• Indenture-Specific: Tests matching your specific deal documentation
• Custom: User-defined test configurations

4. Configure Options

Test Options:
  include_cushion_analysis: true
  historical_comparison: true
  generate_report: true
  notification_email: analyst@example.com

5. Run Tests

Click "Run Tests" and wait for results (typically 5-30 seconds depending on portfolio size).

6. Review Results

Test Results Summary
====================
Total Tests: 25
Passed: 23
Warnings: 1
Failed: 1

Failed Tests:
- Single Obligor Concentration: 5.25% (Limit: 5.00%)

Warnings:
- Industry Concentration (Healthcare): 14.2% (Limit: 15.0%)

Interpreting Cushion Analysis¶

Learn how to read and act on cushion analysis results.

Understanding the Cushion Report¶

Cushion Analysis Report
=======================

Test                          Current   Limit    Cushion   Status
-------------------------------------------------------------------
Single Obligor Concentration   3.75%    5.00%    1.25%     PASS
Industry Concentration (Tech)  12.50%   15.00%   2.50%     PASS
OC Ratio (Class A)            125.5%   120.0%   5.50%     PASS
IC Ratio (Class A)            145.2%   120.0%   25.20%    PASS
WARF                          2,450    3,000    550       PASS
WAL                           4.2 yrs  5.5 yrs  1.3 yrs   PASS

Color-Coded Status¶

Actionable Insights¶

Setting Up Compliance Alerts¶

Configure proactive notifications for compliance events.

Alert Types¶

Configuration Steps¶

1. Access Alert Settings

Navigate to Settings > Alerts > Compliance Alerts

2. Create New Alert Rule

{
  "name": "Single Obligor Warning",
  "test_type": "single_obligor_concentration",
  "trigger": "threshold_percentage",
  "threshold_percent": 90,
  "notification_channels": ["email", "slack"],
  "recipients": ["analyst@example.com"],
  "frequency": "immediate"
}

3. Configure Notification Channels

• Email: Direct notifications to your inbox
• Slack: Post to designated channels
• Webhook: Integrate with custom systems

4. Test the Alert

Use the "Send Test Notification" feature to verify configuration.

Tips and Best Practices¶

Data Quality¶

• Validate dates: Ensure pricing dates are current
• Check for blanks: Missing data can skew calculations
• Verify mappings: Confirm column headers match expected format

Efficient Workflows¶

1. Schedule uploads: Set up automated data ingestion from custodians
2. Use templates: Save test configurations for repeated use
3. Batch reports: Generate all required reports in a single run
4. Archive results: Maintain historical test results for trend analysis

Collaboration¶

• Share dashboards: Grant view access to stakeholders
• Export data: Provide raw results for external analysis
• Document exceptions: Add notes to explain unusual results

Troubleshooting Common Issues¶

Quick Reference¶

Keyboard Shortcuts¶

API Endpoints for Analysts¶

# List available test suites
GET /api/v1/compliance/test-suites

# Run compliance tests
POST /api/v1/compliance/run

# Get test results
GET /api/v1/compliance/results/{run_id}

# Get cushion analysis
GET /api/v1/compliance/cushion/{workbook_id}

# Generate report
POST /api/v1/reports/compliance

Next Steps¶

• Complete this guide
• Upload your first workbook
• Run a compliance test
• Set up your first alert
• Generate a compliance report

Start Compliance Testing View API Reference