asteria-investment-office-json

name

asteria-investment-office-json

description

Executable workflow for the Asteria Investment Office task family. Covers five archetypes (energy-credit trade package, international equity correlation review, active allocation view refresh, fixed-income risk rebalance, multi-asset committee decision). Documents which HTTP endpoints supply which fields, the exact computation recipes (Pearson correlation, weighted modified duration, HY %, carry/ YTM, issuer & subsector diversification), the policy thresholds in /api/policies, and the output-schema conventions (field names, enum value sets, rounding, id ordering). The remote environment is always the book of record.

Asteria Investment Office — JSON answer workflow

You produce a single JSON object that conforms to the task's input/payloads/answer_template.json. The shared environment is a read-only HTTP API and the current book of record. Local payloads are intake context only and may be stale; when they disagree with the environment, the environment wins.

Base URL: <remote-env-url> (see environment_access.md). Use curl for HTTP and python (NOT python3) for math. Save fetched JSON inside your own working directory.

0. Universal SOP (do this for every task)

1. Read the prompt + every payload + the answer_template first. The template is the contract: it dictates required keys, enum value sets, rounding precision, list lengths, and ordering. Mirror it exactly. Extra or missing top-level keys, wrong enum spelling, or wrong ordering are failures.
2. Pull the live data you need from the endpoints below — never trust a stale mark, weight, watchlist flag, view, or duration from the local payload. Recompute everything from the environment.
3. Identify the governing policy. Each portfolio summary / detail carries a constraint_policy_id. Resolve thresholds from /api/policies (see §1). Do not hardcode numbers from memory; read them.
4. Compute, then cross-check internal consistency (e.g. sum of holding quantities equals stated market value; HY% is HY market value / total market value; correlation observation count = number of monthly levels − 1).
5. Emit JSON only (no prose) when the prompt says so. Round each numeric field to the precision the template declares. Apply the exact ordering rules.
6. Set any data-precedence / lineage field to reflect that the current environment overrode the stale payload when (and only when) a real conflict exists; otherwise use the "no conflict" value.

Key endpoints and what they authoritatively provide

• GET /api/catalog — valid ids for portfolios, policies, indices, issuers, bonds, opportunity sets. Use to sanity-check id spelling.
• GET /api/policies — all thresholds (correlation, allocation mapping, credit bands, HY caps, issuer concentration, target HY reduction) plus as_of_date.
• GET /api/portfolios and /api/portfolios/<id> — as_of_date, market_value_usd_m, constraint_policy_id, and holdings (instrument_id, quantity_usd_m, sleeve, asset_class). Holding quantities are USD millions and (in this dataset) sum to the portfolio market value, so quantity = market-value weight.
• GET /api/instruments/bonds — per-bond security master: candidate (true = buyable candidate, false = currently-held/not-offered), energy_linked, rating_bucket (IG/HY), modified_duration_years, yield_to_maturity_pct, coupon_pct, spread_bps, subsector, issuer_id, recommended_theme_tags.
• GET /api/issuers — watchlist (bool), rating_bucket, sector, subsector, credit_outlook, research_tags. The issuer watchlist flag is the source of truth for watchlist avoidance (bond theme tags like WATCHLIST_RISK corroborate but rely on the issuer flag).
• GET /api/indices and /api/index-levels (or /api/index-levels/<id>) — index metadata and monthly {date, level} arrays per index id.
• GET /api/allocation/opportunity-sets — opportunity_set → asset_class (Equities / Duration / Credit / Currency) and display_order.
• GET /api/allocation/prior-views — rows keyed by quarter + previous_quarter, each with view (UW/N/OW) and conviction. The prior view for a target quarter Q is the row whose quarter == Q (its is the quarter before).

List endpoints accept simple equality filters, e.g. ?rating_bucket=HY, ?candidate=true, ?quarter=Q2_2026.

1. Policy thresholds (read live from /api/policies)

The current set (POLICY_SET_2026_05, as_of_date 2026-05-29) exposes:

• allocation_mapping (POL_ALLOCATION_MAPPING):
  • view_score_thresholds: OW_min = +0.35, UW_max = −0.35, neutral band (−0.35, +0.35). Score ≥ OW_min → OW; ≤ UW_max → UW; else N.
  • conviction_thresholds on absolute score: HIGH_abs_min = 0.70, MEDIUM_abs_min = 0.35, LOW_abs_below = 0.35. |score| ≥ 0.70 → HIGH; 0.35 ≤ |score| < 0.70 → MEDIUM; |score| < 0.35 → LOW.
  • view_rank: UW = −1, N = 0, OW = +1. Use for change direction.
• correlation (POL_CORRELATION_DEFAULT): correlation_high_threshold = 0.80, correlation_low_threshold = 0.20, review window 2025-05-30 … 2026-04-30.
• credit_default (POL_CREDIT_DEFAULT): duration_band_years [3.0, 5.0], max_hy_allocation_pct 20.0, issuer_concentration_limit_pct 12.0, subsector_min_count_for_diversified 2, target_hy_reduction_pct 0.0.
• credit_risk_reduction (POL_CREDIT_RISK_REDUCTION): same bands/caps but target_hy_reduction_pct = 4.0 (used by risk-reduction rebalances).
• multi_asset (POL_MULTI_ASSET_DEFAULT): composes allocation_mapping + correlation_default + credit_default.
• multi_asset_risk (POL_MULTI_ASSET_RISK): composes correlation_default + credit_risk_reduction; committee_escalation_threshold = "two_or_more_material_exceptions".

Always re-read these; do not assume they are unchanged between runs.

2. Core computation recipes

Pearson correlation from monthly simple returns

1. For each index, fetch /api/index-levels/<id>; keep rows with level_start_date <= date <= level_end_date (the window from the request / policy). Sort ascending by date.
2. The standard window has 12 monthly levels → 11 monthly returns (return_observations = levels − 1). Verify all indices share the same dates.
3. Simple return r_t = level_t / level_{t-1} − 1.
4. Pearson r over the aligned return vectors. Round to 3 decimals unless the template says otherwise.
5. Compare against correlation_high_threshold (0.80) and correlation_low_threshold (0.20). "Highest positive" = max r; "lowest" = min r (can be strongly negative).

Weighted modified duration / weighted YTM

Quantity-weighted (= market-value-weighted, since qty sums to MV): Σ(qty_i × metric_i) / Σ qty_i. Use post-trade quantities for post-trade metrics.

HY allocation %

100 × (HY market value) / (total post-trade market value). HY = bonds whose rating_bucket == "HY". Denominator is the portfolio market value AFTER the trades (for BUY-only sleeves, MV increases by the bought notional; for self-funded rotations, MV is unchanged).

Issuer / subsector concentration & "selected" diversification

• Portfolio issuer concentration = max issuer MV / total MV vs issuer_concentration_limit_pct (12%). NOTE: a held position can already breach this; a pure-BUY task's selected_*_diversification_pass flags refer to the selected trade package, i.e. the chosen tickets use ≥2 distinct issuers and ≥2 distinct subsectors (subsector_min_count_for_diversified = 2) — not a portfolio-wide recomputation. Read the template field name to decide which.

Carry / YTM improvement

"Improve carry" = raise portfolio weighted yield_to_maturity_pct (and/or coupon_pct) versus the current weighted YTM. Compute current weighted YTM first as the baseline to beat.

3. View / conviction / change mapping (allocation archetypes)

For each opportunity set, for the target quarter:

1. signal_score = score from /api/macro-signals (that opportunity_set, that quarter). Round to 3 decimals where the template exposes it.
2. view from view_score_thresholds (§1).
3. conviction from |score| (§1).
4. prior_view = /api/allocation/prior-views row where quarter == target.
5. change by comparing view_rank(new view) vs view_rank(prior view): greater → UP, less → DOWN, equal → UNCHANGED.
6. rationale_code = the macro signal's rationale_code for that set (it already uses the allowed enum). asset_class from /api/allocation/opportunity-sets.

Watch for stale-payload traps: a local note may assert an old view (e.g. "kept USD overweight"); if the current score maps elsewhere (e.g. USD score in the neutral band → N with change DOWN), the environment value wins.

4. Archetype playbooks

(a) Energy-credit recommendation / trade-package selection

Endpoints: portfolio detail, /api/instruments/bonds, /api/issuers, /api/market/energy, /api/policies.

• Eligible BUY universe = candidate == true AND energy_linked == true AND issuer watchlist == false (committee is sensitive to watchlist yield traps; the energy desk theme is AVOID_REFINING_WATCHLIST). Exclude already-held when the task asks for new tickets.
• Honour the ticket spec literally (e.g. "exactly two BUY tickets totalling USD 8.0m split evenly" → two BUYs of 4.0 each).
• Choose tickets that (i) raise weighted YTM above the current baseline, (ii) keep post-trade weighted duration inside [3.0, 5.0], (iii) keep post-trade HY ≤ 20%, (iv) use ≥2 issuers and ≥2 subsectors (selected diversification), and (v) fit the income/theme story. For an LNG/gas income pitch, favour Natural Gas/LNG and midstream/oil names (the top energy signal is LNG export pull); set sales_positioning.target_segment = multi_asset_income and sales_positioning.theme = lng_export_tailwind. Use avoid_watchlist_yield_trap only if the story is explicitly about dodging watchlist carry.
• Output: trade_package sorted ascending by instrument_id; numeric precision per template (notional 1 dp; metrics 2 dp). post_trade_metrics recomputed on the full post-trade book. constraint_checks booleans: hy_cap_pass, duration_band_pass, selected_issuer_diversification_pass, selected_subsector_diversification_pass, watchlist_avoidance_pass. data_precedence = current_environment_over_stale_payload when the live portfolio (MV, HY, duration) differs from the stale snapshot.
• as_of_date = the portfolio/environment as_of_date.

(b) International equity correlation review

Endpoints: portfolio detail, /api/policies, /api/indices, /api/index-levels.

• Build the correlation matrix over the requested index universe and window (§2). review_window.return_observations = levels − 1.
• extreme_pairs.highest_positive = max-correlation pair; .lowest = min-correlation pair. Each pair_id is the two index ids sorted ascending alphabetically; correlation to 3 decimals.
• index_set = the universe sorted ascending alphabetically.
• concentration: set high_threshold_breached = (max pair r ≥ 0.80); china_asia_dependence_flag = true when the dominant high-correlation cluster is China/Asia regional overlap; primary_code ∈ {CHINA_ASIA_DEPENDENCE, GLOBAL_DEVELOPED_OVERLAP, NO_MATERIAL_CONCENTRATION} — pick CHINA_ASIA_DEPENDENCE when China/Asia drive the concentration, else the global-developed overlap or none.
• diversification_candidates ⊆ {IDX_EM_EX_CHINA, IDX_INDIA, IDX_LATAM} — the low/negative-correlation diversifiers (LatAm is the classic strong diversifier when it shows negative correlations); sorted ascending alphabetically.
• sleeve_actions: length 2, ordered ascending by sleeve; action ∈ {trim, add, hold, hedge, monitor, rotate}; target_index_id ∈ {IDX_CHINA, IDX_EM_EX_CHINA, IDX_LATAM}. Typical pattern: trim the concentrated/over-overlapping sleeve, add the diversifier.

(c) Active allocation view refresh

Endpoints: /api/allocation/opportunity-sets, /api/allocation/prior-views, /api/macro-signals, /api/policies.

• One row per requested opportunity set, rows ordered by the request payload's focus_opportunity_sets order (NOT alphabetical) unless template says otherwise.
• Each row: opportunity_set, asset_class, view, change, conviction, rationale_code per §3.
• risk_overlay: pick overlay_code + primary_action from the dominant signal cluster across the requested sets. When duration/quality signals dominate (Treasuries/Bunds/IG positive) → DURATION_QUALITY_TILT / tilt_to_duration_quality. When HY risk dominates (Corporate High Yield strongly negative) → CREDIT_RISK_REDUCTION / trim_credit_beta. When cyclical equity is broadly positive → EQUITY_BETA_EXTENSION / add_cyclical_equity_beta. When a defensive currency hedge is warranted → CURRENCY_DEFENSIVE_HEDGE / add_currency_hedge. Otherwise NO_OVERLAY / hold_policy_weights. rationale_codes is a list ordered by business priority (strongest driver first), drawn from the enum.
• policy_id = the allocation/policy id (POL_ALLOCATION_MAPPING or the composing policy set id, per template). as_of_date, target_quarter, prior_quarter, and any fixed task_id/required_value come straight from the template/payload.

(d) Fixed-income risk rebalance

Endpoints: portfolio detail, /api/instruments/bonds, /api/issuers, /api/policies (governing policy is usually POL_CREDIT_RISK_REDUCTION).

• Baseline: compute current HY%, weighted duration, watchlist exposure (Σ qty of holdings whose issuer watchlist == true).
• SELL pressure points: watchlist HY first (to clear watchlist exposure), then enough additional HY so post-trade HY ≤ 20% (max_hy_allocation_pct) AND HY reduction ≥ target_hy_reduction_pct (4.0 pp). Selling only the single watchlist bond is usually NOT enough to satisfy the 20% cap — verify the arithmetic and sell a second HY line if needed.
• BUY current eligible candidates (candidate == true, issuer watchlist == false) to fund the sells and preserve duration inside [3.0, 5.0] (IG ballast like data centers / mining / utilities). NEVER buy a watchlist candidate even if it is on the desk shortlist (e.g. a high-carry watchlist HY name is a deliberate distractor) → buys_avoid_watchlist = true.
• Keep the rotation self-funded (Σ SELL notional = Σ BUY notional) unless the task says otherwise.
• Output: trades sorted by action with SELL before BUY, then ascending instrument_id within each action; quantity 1 dp. risk_metrics (post_trade_hy % 2dp, post_trade_duration 2dp, hy_reduction_pct_points 2dp, watchlist_exposure 1dp). exception_flags booleans (hy_cap_pass, duration_band_pass, target_hy_reduction_met, watchlist_exposure_cleared). watchlist_sell_ids ascending. risk_note_code = dominant driver (watchlist_concentration or hy_cap_pressure; duration_preservation / carry_tradeoff / no_action otherwise). as_of_date = portfolio as_of_date.

(e) Multi-asset committee decision

Endpoints: portfolio detail, index levels, /api/policies, prior-views, macro-signals (it links a correlation finding to allocation views).

• correlation_summary: length 2 in fixed order [highest_concentration, best_diversifier] over the requested equity index subset (window = current 12-month monthly window = policy window). Each item: pair_role enum, pair (two ids sorted alphabetically), correlation 3dp. Highest concentration = max-correlation pair; best diversifier = min-correlation pair.
• target_sleeve_actions and allocation_views: one row per opportunity set in the payload's item_order (NOT alphabetical). allocation_views expose prior_view, signal_score (3dp), view, change, conviction, rationale_code per §3. sleeve actions use {trim, add, hold, hedge, monitor, rotate} — typically trim the concentration driver, add/hold the diversifier, hedge/monitor a defensive currency.
• rebalance_trigger ∈ {correlation_cap_breach, hy_cap_pressure, duration_drift, watchlist_concentration, committee_review}: use correlation_cap_breach when the top equity pair ≥ 0.80, else committee_review.
• portfolio_risk_concentration_flag = true when a material concentration exists (e.g. China/Asia equity pair ≥ high threshold).
• next_step ∈ {approve_rotation, defer_pending_risk_review, approve_with_monitoring, reject_constraint_breach}: choose approve_with_monitoring for a sound but concentration-flagged plan, reject_constraint_breach only on a hard breach, defer_pending_risk_review when data/escalation is incomplete. Honour the multi_asset_risk escalation rule (two or more material exceptions → committee escalation).
• Refresh against the stale local note (e.g. don't carry a stale USD overweight if the current USD score is neutral). as_of_date = environment as_of_date.

5. Common misjudgments to avoid

• Trusting stale local marks/weights/views/watchlist flags instead of the live API.
• Forgetting the off-by-one: N monthly levels give N−1 returns; observation count and correlation both use returns, not levels.
• Using log returns or pairwise-dropped data — use simple returns over the common, fully-aligned window.
• Mis-ordering output: pair ids alphabetical within a pair; lists sometimes alphabetical (correlation review), sometimes payload-defined order (allocation rows), sometimes action-then-id (rotations). Read each ordering rule.
• Buying or holding a watchlist name because it has the highest carry — it is a yield-trap distractor; watchlist avoidance overrides carry.
• Selling only the watchlist bond and assuming the HY cap is satisfied — verify HY% ≤ 20 explicitly and sell more HY if needed.
• Confusing candidate-vs-held: candidate == false bonds are existing/un-offered; only candidate == true are buyable.
• Confusing "selected diversification" (within the chosen trade package) with portfolio-wide issuer concentration.
• Rounding at the wrong precision, or returning narrative text when JSON-only is required.
• Never call any scoring/judge endpoint; only the read-only data endpoints above.