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from serenitas.utils.exchange import ExchangeMessage, FileAttachment
from io import BytesIO
from serenitas.utils.db import serenitas_pool, dbconn
import datetime
import pandas as pd
from pandas.tseries.offsets import BDay
from psycopg2.extras import execute_values
from pyisda.date import cds_accrued, default_accrual, previous_twentieth
from serenitas.analytics.index import CreditIndex
from copy import copy
def get_outstanding_positions(conn, trade_date, fcm, fund="SERCGMAST"):
with conn.cursor() as c:
c.execute(
"SELECT security_id, notional, folder, b.redindexcode, currency, "
"maturity, b.indexfactor "
"FROM list_cds_positions_by_strat_fcm(%s, %s, %s) a "
"LEFT JOIN index_version_markit b "
"ON a.security_id=b.prevredindexcode "
"LEFT JOIN index_version_markit c "
"ON a.security_id=c.redindexcode "
"WHERE b.redindexcode IS NOT NULL AND b.activeversion",
(trade_date, fcm, fund),
)
yield from c
def new_version_quotes(
conn, auction_date: datetime.date, recovery, accrual_days, coupon=0.05
):
adj_recovery = 100 * (
recovery + accrual_days * coupon / 360 - cds_accrued(auction_date, coupon)
)
with conn.cursor() as c1, conn.cursor() as c2:
c1.execute(
"SELECT index, series, old.version, old.indexfactor AS oldfactor, "
"new.indexfactor AS newfactor FROM index_version old "
"LEFT JOIN index_version new USING (index, series) "
"WHERE old.lastdate=%s AND new.version=old.version+1",
(auction_date,),
)
for index, series, version, oldfactor, newfactor in c1:
c2.execute(
"SELECT tenor, close_price FROM index_quotes_pre "
"WHERE index=%s AND series=%s AND version=%s AND date=%s AND source='MKIT'",
(index, series, version, auction_date),
)
w = oldfactor / newfactor
to_insert = []
for tenor, closeprice in c2:
new_price = w * closeprice + (1 - w) * adj_recovery
ind = CreditIndex(
index,
series,
tenor,
version + 1,
value_date=auction_date,
freeze_version=True,
)
try:
ind.price = new_price
except ValueError:
continue
to_insert.append((tenor, new_price, ind.spread))
c2.executemany(
"INSERT INTO index_quotes_pre(date, index, series, version, "
"tenor, close_price, close_spread, source) "
"VALUES (%s, %s, %s, %s, %s, %s, %s, %s)",
[
(auction_date, index, series, version + 1, *t, "SRNTAS")
for t in to_insert
],
)
conn.commit()
def default_adjustment(conn, company_id, seniority, end_date):
with conn.cursor() as c:
c.execute(
"SELECT recovery, event_date, auction_date FROM defaulted WHERE id=%s "
"AND seniority=%s",
(company_id, seniority),
)
recovery, event_date, auction_date = c.fetchone()
fee = 1 - recovery
start_date = previous_twentieth(event_date)
accrual_days, _ = default_accrual(
auction_date, event_date, start_date, end_date, 1.0, 1.0, "NONE"
)
return accrual_days, fee
PORTFOLIO = {
"HYOPTDEL": "OPTIONS",
"HEDGE_MBS": "MORTGAGES",
"HYINX": "TRANCHE",
"SER_IGCURVE": "CURVE",
"HEDGE_CLO": "CLO",
"HEDGE_MAC": "HEDGE_MAC",
"XOINX": "TRANCHE",
"SER_HYCURVE": "CURVE",
"CASH_BASIS": "HEDGE_MAC",
}
def desc_str(index_type, series):
if index_type in ("IG", "HY", "HYBB"):
return f"CDX {index_type} CDSI S{series} 5Y"
elif index_type == "XO":
return f"ITRX XOVER CDSI S{series} 5Y"
elif index_type == "EU":
return f"ITRX EUR CDSI S{series} 5Y"
def rebook(conn, trade_date, company_id, seniority, fcm, fund="SERCGMAST"):
dawndb = dbconn("dawndb")
upfront_settle_date = trade_date + 3 * BDay()
effective_date = trade_date + datetime.timedelta(days=1)
for r in get_outstanding_positions(dawndb, trade_date, fcm, fund):
accrual_days, fee = default_adjustment(conn, company_id, seniority, r.maturity)
index_old = CreditIndex(
redcode=r.security_id,
maturity=r.maturity,
value_date=trade_date,
notional=-r.notional,
freeze_version=True,
)
adj = (
(fee - accrual_days * index_old.fixed_rate * 1e-4 / 360)
* r.notional
* (r.indexfactor - index_old.factor)
)
index_old.mark()
trade_old = {
"fund": fund,
"action": "NEW",
"portfolio": PORTFOLIO[r.folder],
"folder": r.folder,
"cp_code": "CONTRA",
"custodian": "NONE",
"trade_date": trade_date,
"effective_date": effective_date,
"maturity": r.maturity,
"currency": r.currency,
"payment_rolldate": "Following",
"notional": abs(r.notional),
"fixed_rate": index_old.fixed_rate / 100,
"day_count": "ACT/360",
"frequency": 4,
"protection": index_old.direction,
"security_id": r.security_id,
"security_desc": desc_str(index_old.index_type, index_old.series),
"upfront": index_old.pv,
"upfront_settle_date": upfront_settle_date,
"swap_type": "CD_INDEX",
"account_code": fcm,
}
trade_new = copy(trade_old)
trade_new["protection"] = (
"Seller" if trade_old["protection"] == "Buyer" else "Buyer"
)
trade_new["upfront"] = -adj - index_old.pv
trade_new["security_id"] = r.redindexcode
sql_str = f"INSERT INTO cds({','.join(trade_new.keys())}) VALUES %s"
with dawndb.cursor() as c:
execute_values(
c, sql_str, [tuple(trade_old.values()), tuple(trade_new.values())]
)
dawndb.commit()
dawndb.close()
def insert_newids(dawndb, d: datetime.date, df: pd.DataFrame):
with dawndb.cursor() as c:
c.execute(
"INSERT INTO id_mapping ( "
" SELECT %s, 'CDS', serenitas_id, new_id FROM ( "
" SELECT * FROM unnest(%s, %s) AS t(globeop_id, new_id) "
" LEFT JOIN id_mapping USING (globeop_id)) a"
")",
(d, df.old_ids.tolist(), df.new_ids.to_list()),
)
dawndb.commit()
def send_csv(dawndb, d: datetime.date, ticker):
columns = [
"dealid",
"folder",
"cp_code",
"trade_date",
"effective_date",
"maturity",
"currency",
"payment_rolldate",
"notional",
"fixed_rate",
"day_count",
"frequency",
"protection",
"security_id",
"security_desc",
"upfront",
"upfront_settle_date",
"swap_type",
"account_code",
"portfolio",
"fund",
"indexfactor",
"version",
]
buf = BytesIO()
with dawndb.cursor() as c:
sql_str = (
f"COPY (SELECT {','.join(columns)} "
"FROM cds "
"JOIN index_version "
"ON security_id=redindexcode "
f"WHERE fund='BOWDST' AND cp_code='CONTRA' AND trade_date='{d}')"
" TO STDOUT WITH (FORMAT CSV, HEADER)"
)
c.copy_expert(sql_str, buf)
dawndb.commit()
buf = buf.getvalue()
em = ExchangeMessage()
body = f"""Hello,
These are the the rebookings due to {ticker} credit event on {d:%m/%d}. Let me know if you have any questions.
Thanks,
Guillaume"""
em.send_email(
f"{ticker} credit event",
body,
to_recipients=(
"caagtradecapture@bnymellon.com",
"hm-operations@bnymellon.com",
"julie.picariello@bnymellon.com",
),
cc_recipients=(
"sa1futures.optionsprocessing@bnymellon.com",
"bowdoin-ops@lmcg.com",
"Viraphong.Douangmany@BNYMellon.com",
),
attach=(FileAttachment(name=f"{ticker}_rebooking.csv", content=buf),),
)
if __name__ == "__main__":
conn = serenitas_pool.getconn()
dawndb = dbconn("dawndb")
# PKD
# rebook(datetime.date(2019, 1, 24), 101148)
# WINDSSE
# rebook(datetime.date(2019, 4, 8), 36806879)
# WFT
# rebook(datetime.date(2019, 7, 26), 103633, "WF")
# rebook(datetime.date(2019, 7, 26), 103633, "BAML")
# DF
# rebook(datetime.date(2019, 12, 11), 154954, "Senior", "BAML")
# MNI
# rebook(datetime.date(2020, 3, 13), 100957, "Senior", "BAML")
# rebook(datetime.date(2020, 3, 13), 100957, "Senior", "WF")
# WLL
# rebook(datetime.date(2020, 5, 7), 8240322, "Senior", "BAML")
# rebook(datetime.date(2020, 5, 7), 8240322, "Senior", "WF")
# rebook(conn, datetime.date(2020, 5, 7), 8240322, "Senior", "GS", "BOWDST")
# FCA
# rebook(conn, datetime.date(2020, 5, 14), 100337, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 5, 14), 100337, "Senior", "WF")
# rebook(conn, datetime.date(2020, 5, 14), 100337, "Senior", "GS", "BOWDST")
# DO
# rebook(conn, datetime.date(2020, 5, 26), 171248, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 5, 26), 171248, "Senior", "WF")
# rebook(conn, datetime.date(2020, 5, 26), 171248, "Senior", "GS", "BOWDST")
# NMG
# rebook(conn, datetime.date(2020, 5, 29), 101056, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 5, 29), 101056, "Senior", "WF")
# rebook(conn, datetime.date(2020, 5, 29), 101056, "Senior", "GS", "BOWDST")
# JCP
# rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "WF")
# rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "GS", "BOWDST")
# HTZ
# rebook(conn, datetime.date(2020, 6, 24), 9833831, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 6, 24), 9833831, "Senior", "WF")
# rebook(conn, datetime.date(2020, 6, 24), 9833831, "Senior", "GS", "BOWDST")
# CRC
# rebook(conn, datetime.date(2020, 7, 7), 39035708, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 7, 7), 39035708, "Senior", "WF")
# rebook(conn, datetime.date(2020, 7, 7), 39035708, "Senior", "GS", "BOWDST")
# CHK
# rebook(conn, datetime.date(2020, 8, 4), 117019, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 8, 4), 117019, "Senior", "WF")
# rebook(conn, datetime.date(2020, 8, 4), 117019, "Senior", "GS", "BOWDST")
# HEMA
# rebook(conn, datetime.date(2020, 9, 8), 40678877, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 9, 8), 40678877, "Senior", "GS", "BOWDST")
# send_csv(dawndb, datetime.date(2020, 9, 8), "HEMA")
# NE
# rebook(conn, datetime.date(2020, 9, 10), 105641, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 9, 10), 105641, "Senior", "GS", "BOWDST")
# send_csv(dawndb, datetime.date(2020, 9, 10), "NE")
# MATAFIN
# rebook(conn, datetime.date(2020, 9, 15), 15334701, "Subordinated", "BAML")
# rebook(conn, datetime.date(2020, 9, 15), 15334701, "Senior", "GS", "BOWDST")
# send_csv(dawndb, datetime.date(2020, 9, 15), "MATAFIN")
# PIZZAFI
# rebook(conn, datetime.date(2020, 10, 1), 41488375, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 10, 1), 41488375, "Senior", "GS", "BOWDST")
# send_csv(dawndb, datetime.date(2020, 10, 1), "PIZZAFI")
# SELEGRO
# rebook(conn, datetime.date(2020, 10, 20), 40769171, "Senior", "BAML")
# rebook(conn, datetime.date(2020, 10, 20), 40769171, "Senior", "GS", "BOWDST")
# send_csv(dawndb, datetime.date(2020, 10, 20), "SELEGRO")
# EUROPCA
# rebook(conn, datetime.date(2021, 1, 13), 10758505, "Senior", "BAML")
# TALEN
rebook(conn, datetime.date(2022, 6, 7), 7359109, "Senior", "BAML")
rebook(conn, datetime.date(2022, 6, 7), 7359109, "Senior", "GS", "BOWDST")
rebook(conn, datetime.date(2022, 6, 7), 7359109, "Senior", "WF")
serenitas_pool.putconn(conn)
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