2 files changed, 12 insertions, 13 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py
index 3804638b..ce064051 100644
--- a/python/risk/bonds.py
+++ b/python/risk/bonds.py
@@ -228,16 +228,17 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"):
     return df.set_index("cusip")
 
 
-def crt_risk(date, dawn_conn, engine, model_version="hpi5_ir3_btm", fund="SERCGMAST"):
+def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"):
     df = get_portfolio(date, dawn_conn, AssetClass.CRT, fund)
     df_model = pd.read_sql_query(
         "SELECT * from priced_at_market WHERE "
-        "timestamp BETWEEN %s AND date_add(%s, INTERVAL 1 DAY) "
-        "AND model_des = %s",
-        engine,
+        "timestamp BETWEEN %s AND date_add(%s, INTERVAL 1 DAY) ",
+        crt_engine,
         "cusip",
-        params=(date, date, model_version),
+        params=(date, date),
     )
+    if any(~df_model["delta.ir"].isna()):
+        df_model = df_model[~df_model["delta.ir"].isna()]
     df = df.join(df_model)
     df["curr_ntl"] = df.notional * df.factor
     df["hy_equiv"] = (
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py
index 2f4fb538..1e4a2f55 100644
--- a/python/risk/portfolio.py
+++ b/python/risk/portfolio.py
@@ -50,16 +50,14 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"):
     syn_portf += curve_portf + nocurve_portf
     # get bond risks:
     rmbs_pos = subprime_risk(position_date, conn, dbengine("rmbs_model"), fund=fund)
-    crt_pos = crt_risk(
-        position_date, conn, dbengine("crt"), fund=fund, model_version="hpi5_ir3_btm"
-    )
-    # CRT model version changes with time, need to check
-    rmbs_notional = (
-        rmbs_pos.get("hy_equiv", np.zeros(1)).sum()
-        + crt_pos.get("hy_equiv", np.zeros(1)).sum()
+    crt_pos = crt_risk(position_date, conn, dbengine("crt"), fund=fund)
+    portf.add_trade(
+        hy_equiv_trade(value_date, -rmbs_pos.get("hy_equiv", np.zeros(1)).sum()),
+        ("rmbs_bonds", "rmbs_bonds"),
     )
     portf.add_trade(
-        hy_equiv_trade(value_date, -rmbs_notional), ("rmbs_bonds", "rmbs_bonds")
+        hy_equiv_trade(value_date, -crt_pos.get("hy_equiv", np.zeros(1)).sum()),
+        ("crt_bonds", "crt_bonds"),
     )
     with dbconn("etdb") as etconn:
         clo_pos = clo_risk(position_date, conn, etconn, fund=fund)