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What-If Scenarios

What-if scenarios allow you to simulate the impact of trades on your CLO portfolio before making actual decisions. Test buy and sell transactions, analyze compliance impact, and compare multiple scenarios side by side.

Overview

Scenarios help you answer questions like:

  • "What happens to OC test cushion if I sell this loan?"
  • "Will buying this asset push me over the CCC bucket limit?"
  • "How does this trade affect my weighted average spread?"

Creating a Scenario

Step 1: Create a New Scenario

  1. Navigate to Scenarios in the main menu
  2. Click New Scenario
  3. Select the base workbook containing your current portfolio
  4. Give the scenario a descriptive name

Step 2: Add Trades

Add one or more hypothetical trades:

Field Description
Type Buy or Sell
CUSIP Loan identifier
Borrower Borrower name
Par Value Trade par amount
Price Trade price
Spread Loan spread (bps)
Rating Credit rating (Moody's, S&P, Fitch)
Industry Industry classification
Maturity Maturity date

Step 3: Run Simulation

Click Simulate to run the scenario. CalcBridge will:

  1. Take your current portfolio as the baseline
  2. Apply all trades (add buys, remove/reduce sells)
  3. Run compliance tests on both baseline and projected portfolios
  4. Compare results and highlight changes

Understanding Results

Compliance Impact

Each compliance test shows:

Column Description
Current Current test value
Projected Value after trades
Threshold Pass/fail threshold
Cushion Distance from threshold
Impact Improve, worsen, or neutral

Impact Summary

The summary shows overall portfolio changes:

  • Total par change
  • Number of trades applied
  • Tests that improve or worsen
  • New compliance violations (if any)

Comparing Scenarios

Create multiple scenarios to compare different trade strategies:

  1. Create two or more scenarios with different trade combinations
  2. View results side by side
  3. Compare compliance impacts

Best Practice

Name scenarios descriptively (e.g., "Sell High Yield + Buy IG" vs "Reduce CCC Exposure") for easy comparison.

Trade Validation

CalcBridge validates trades before simulation:

  • No overselling: Cannot sell more par than you hold
  • Required fields: CUSIP and par value are mandatory
  • Positive amounts: Par values must be positive