Reflect 3 Attempt 02

Asteria Investment Office — Reflect Skill

Overview

This skill covers the Asteria Investment Office workflow: energy credit trade construction, international equity correlation review, active allocation views, fixed-income risk rebalancing, and multi-asset committee decision files. All tasks share a remote HTTP API (GDPEVO_ENV_BASE_URL) as the authoritative book of record; local payloads are intake context only and may contain stale marks.

Environment and Data Precedence

• The remote API at GDPEVO_ENV_BASE_URL is the sole current book of record. Never use localhost, env/README.md, or filesystem paths.
• Local payload files (desk requests, meeting memos, review packets) provide task framing but may contain stale marks. The prompt text or environment_access.md takes precedence over local URL references.
• Data precedence rule: when the API and a local payload disagree on values (quantities, dates, market values), use the API. Output data_precedence as "current_environment_over_stale_payload" whenever a stale-data warning or reconciliation note appears in the local payload. If no conflict exists, use "no_conflict_found".
• The API as_of_date (available in /api/policies and each portfolio response) is the as-of date for all outputs unless a task-specific window overrides it.

Key API Endpoints and Their Data

Bond Selection and Trade Construction

Eligibility Filtering

When selecting bonds for a trade strategy or rotation:

1. Filter bonds to candidate: true (unless the portfolio already holds a non-candidate bond for selling).
2. For energy-credit tasks, further filter to energy_linked: true.
3. Cross-reference each bond's issuer_id with /api/issuers to obtain watchlist status. Exclude watchlisted issuers from BUY tickets.
4. When a bond's recommended_theme_tags include WATCHLIST_RISK, verify issuer watchlist status explicitly — do not rely on tags alone.

Constraint Checks for Credit Portfolios

Credit portfolios are governed by a constraint policy (found in the portfolio's constraints field or constraint_policy_id). Standard constraints:

• HY cap: max_hy_allocation_pct (typically 20.0). Post-trade HY allocation = sum of all HY-rated position quantities / post-trade total market value × 100.
• Duration band: duration_band_years (typically [3.0, 5.0]). Weighted modified duration must fall inside this inclusive range.
• Issuer concentration: issuer_concentration_limit_pct (typically 12.0). No single issuer's total position should exceed this percentage of post-trade market value.
• Subsector diversification: subsector_min_count_for_diversified (typically 2). The selected new BUY tickets must span at least this many distinct subsectors.
• Watchlist avoidance: BUY tickets must not involve watchlisted issuers.
• HY reduction target (credit risk reduction policy): target_hy_reduction_pct (typically 4.0 percentage points). The rotation must reduce HY allocation by at least this amount.

Each constraint maps to a boolean *_pass field in the output.

Trade List Ordering Rules

• train_001 style (single-direction package): Sort by instrument_id ascending.
• train_004 style (rotation with SELL + BUY): SELL trades before BUY trades; within each action group, sort by instrument_id ascending.
• Quantities use precision 1 (USD millions), e.g., 4.0, 12.0.
• Total sell notional must equal total buy notional to preserve market value.

Weighted Portfolio Metric Formulas

post_trade_mv = pre_trade_mv  (when total_buys == total_sells)

weighted_duration = Σ(position_qty × modified_duration_years) / total_mv
weighted_ytm      = Σ(position_qty × yield_to_maturity_pct) / total_mv
hy_allocation_pct = Σ(HY-rated position quantities) / total_mv × 100
hy_reduction_pp   = pre_trade_hy_pct − post_trade_hy_pct
watchlist_exposure = Σ(positions where issuer.watchlist == true)

Round weighted duration to 2 decimals, YTM to 2 decimals, HY % to 2 decimals, HY reduction to 2 decimals, and watchlist exposure to 1 decimal (USD millions).

Sales Positioning Convention

• target_segment: map from client_context in the desk request. "multi-asset income update" → "multi_asset_income". Other valid values: insurance_general_account, pension_liability_matching, private_bank_income, endowment_opportunistic.
• theme: align with the strongest positive energy signal or the desk's preferred exposures. Valid values: lng_export_tailwind, oil_oversupply_caution, midstream_stability, transition_bond_selectivity, avoid_watchlist_yield_trap.
• When the energy market /api/market/energy shows LNG_EXPORT_PULL with the highest positive score, prefer lng_export_tailwind if LNG/gas demand is in the desk's preferred exposures.

Pearson Correlation from Index Levels

Monthly Simple Returns

For indices with 12 consecutive end-of-month levels, compute 11 monthly simple returns:

return_t = (level_t − level_{t−1}) / level_{t−1}

Pearson Correlation Formula

r = Σ((x_i − x̄)(y_i − ȳ)) / √(Σ(x_i − x̄)² × Σ(y_i − ȳ)²)

Compute in full floating-point precision, then round to 3 decimal places.

Review Window and Return Observations

• level_start_date and level_end_date determine the window. From the index levels endpoint, use all dates within [start, end] inclusive.
• return_observations = number of level observations − 1.
• For a 12-month window with monthly data, this is 11.

Extreme Pair Identification

• highest_positive: the pair with the largest positive Pearson correlation.
• lowest: the pair with the most negative (lowest numerical value) Pearson correlation.
• In pair objects, pair_id is a two-element string array sorted alphabetically by index ID.

Concentration Analysis

• china_asia_dependence_flag: true when IDX_CHINA vs IDX_AC_ASIA_PAC_EX_JP correlation exceeds the correlation_high_threshold (0.8).
• high_threshold_breached: true when any index pair's correlation exceeds the high threshold.
• primary_code: "CHINA_ASIA_DEPENDENCE" when the China-Asia pair breaches the threshold; "GLOBAL_DEVELOPED_OVERLAP" for developed-market overlap; "NO_MATERIAL_CONCENTRATION" otherwise.

Diversification Candidates

Candidates are drawn from {IDX_EM_EX_CHINA, IDX_INDIA, IDX_LATAM}. Include indices that provide low or negative correlation to the primary concentration pair. List them sorted alphabetically by index ID.

Sleeve Actions

• Sleeve names must match the portfolio's holdings[].sleeve field exactly.
• Two actions per review, sorted ascending by sleeve name.
• Available actions: trim, add, hold, hedge, monitor, rotate.
• Available target_index_id values: IDX_CHINA, IDX_EM_EX_CHINA, IDX_LATAM.

Active Allocation Views

Computing Views from Macro Signal Scores

Use the policy at allocation_mapping.view_score_thresholds:

The neutral range [−0.35, 0.35] is inclusive of both endpoints.

Computing Conviction from Absolute Score

Use allocation_mapping.conviction_thresholds:

Determining Change vs Prior Quarter

Look up the prior quarter's view from /api/allocation/prior-views where quarter matches the target quarter and previous_quarter matches the prior quarter. Compare:

• View moves from N to OW, UW to N, or UW to OW → UP
• View moves from OW to N, N to UW, or OW to UW → DOWN
• Same view → UNCHANGED

Asset Class and Rationale Code

• asset_class: from /api/allocation/opportunity-sets for the matching opportunity_set.
• rationale_code: from /api/macro-signals for the matching opportunity_set and quarter.
• The policy_id in the output should be POL_ALLOCATION_MAPPING.

Risk Overlay

The overlay synthesizes the dominant risk theme across all requested views:

• overlay_code: pick from the set in the request payload's overlay_code_choices.
• primary_action: the matching action from primary_action_choices.
• rationale_codes: a list ordered by business priority (highest priority first). Include the rationale codes for the views that most strongly support the overlay choice.

Common overlay patterns:

• Multiple OW on duration/quality + UW on credit risk → DURATION_QUALITY_TILT with tilt_to_duration_quality
• Multiple UW on credit + EM → CREDIT_RISK_REDUCTION with trim_credit_beta
• Adding to equities across regions → EQUITY_BETA_EXTENSION with add_cyclical_equity_beta

Output Ordering for Allocation Views

Rows must follow the exact order of focus_opportunity_sets from the request payload — do not sort alphabetically.

Fixed-Income Risk Rebalancing (Rotation)

Identifying Sells

1. All bonds whose issuers are on watchlist (/api/issuers → watchlist: true).
2. Additional HY bonds needed to meet the target_hy_reduction_pct (typically 4.0 pp) while bringing post-trade HY below max_hy_allocation_pct.
3. Quantities to sell: use the current API portfolio quantities, not stale payload quantities, unless the stale data provides the specific bonds to sell as a shortlist.

Identifying Buys

1. Candidates from the request payload's candidate_shortlist that are IG-rated and whose issuers are not on watchlist.
2. Buy quantities should sum to total sell quantities to preserve market value.
3. Avoid any candidate whose recommended_theme_tags include WATCHLIST_RISK (cross-verify with issuer data).

Watchlist Handling

• watchlist_sell_ids: list of instrument_ids sold whose issuers are on watchlist, sorted ascending.
• buys_avoid_watchlist: true if all BUY tickets involve non-watchlisted issuers.

Risk Note Code

Select the code that best describes the primary risk trade-off:

Multi-Asset Committee Files (Cross-Task Integration)

When a task links correlation findings with allocation views (e.g., PF-MA-HELIO):

• correlation_summary: exactly 2 entries — highest_concentration (pair with max positive correlation) and best_diversifier (pair with most negative correlation involving the concentration indices). Within each pair, index IDs sorted alphabetically. Correlation to 3 decimals.
• target_sleeve_actions: one entry per requested opportunity set, in the order specified by the request. Action derived from the view: UW/negative → trim or hedge; OW/positive → add or hold (if unchanged); N with prior OW → trim or hedge.
• allocation_views: includes prior_view (from /api/allocation/prior-views), signal_score (from /api/macro-signals, to 3 decimals), plus the standard view/change/conviction/rationale_code fields computed per the allocation-view rules above.
• rebalance_trigger: correlation_cap_breach when any concentration pair exceeds correlation_high_threshold; committee_review for scheduled reviews without a specific breach.
• portfolio_risk_concentration_flag: true when the highest-concentration pair's correlation exceeds correlation_high_threshold.
• next_step: defer_pending_risk_review when concentration is flagged and views are shifting; approve_with_monitoring for actionable views with moderate risk; approve_rotation for clean passes; reject_constraint_breach for hard failures.

Common Pitfalls

1. Stale payload quantities: Always use current API portfolio quantities, not stale_holding_snapshot or stale_exception_board quantities. The API is the authoritative book of record; stale payloads are intake context only.
2. Watchlist cross-referencing: A bond's tags may mention watchlist risk, but only /api/issuers watchlist boolean is authoritative. Always cross-reference.
3. Return observation count: 12 monthly levels → 11 simple returns, not 12. The return_observations field is an integer count of return observations, not a count of levels.
4. Rounding before final computation: Compute weighted metrics in full precision, then round to the declared precision. Avoid intermediate rounding.
5. Pair ID ordering: Index IDs within pair objects must be sorted alphabetically. For example, ["IDX_CHINA", "IDX_EM"] not ["IDX_EM", "IDX_CHINA"].
6. "Lowest" correlation means most negative: In extreme-pair contexts, "lowest" refers to the minimum numerical value (most negative), not the smallest absolute value.
7. View change direction: UP means the view became more positive (N→OW, UW→N, UW→OW). DOWN means more negative (OW→N, N→UW, OW→UW).
8. Asset class from taxonomy: Always fetch asset_class from /api/allocation/opportunity-sets, do not guess from the opportunity set name. For example, "EUR" is Currency, not Equities.
9. Policy ID for allocation: Use POL_ALLOCATION_MAPPING for view/conviction threshold calculations, not the composite multi-asset policy ID.
10. Trade ordering: SELL always before BUY in rotation tasks. Within each action group, sort by instrument_id ascending.
11. Duration band is inclusive: [3.0, 5.0] means both endpoints are acceptable. A weighted duration of exactly 3.00 or 5.00 passes.
12. Neutral score range includes boundaries: [-0.35, 0.35] is inclusive — a score of exactly −0.35 maps to N, and exactly 0.35 maps to N (but OW_min 0.35 may create an edge case — treat ≥ OW_min as OW, ≤ UW_max as UW).