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Spread_Risk.py
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import pandas as pd
import numpy as np
# Load data as DataFrame
data_set = pd.read_csv('Sample_bond_data_A_CSV.csv', sep=';')
# Create empty columns to store both the spread risk SCR percentage and the SCR in terms of MV for each instrument
data_set["SCR_percentage"] = np.nan
data_set["SCR_instrument"] = np.nan
# Cap durations for bonds and loans other than residential mortgage loans
for row in data_set.itertuples():
if (row.Rating_class == 0 and
row.Modified_duration > 176 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 176
elif (row.Rating_class == 1 and
row.Modified_duration > 173 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 173
elif (row.Rating_class == 2 and
row.Modified_duration > 169 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 169
elif (row.Rating_class == 3 and
row.Modified_duration > 140 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 140
elif (row.Rating_class == 4 and
row.Modified_duration > 107 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 107
elif (row.Rating_class == 5 and
row.Modified_duration > 73 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 73
elif (row.Rating_class == 6 and
row.Modified_duration > 73 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 73
elif (row.Rating_class == 7 and
row.Modified_duration > 130 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 130
else:
pass
# Cap durations for covered bonds
for row in data_set.itertuples():
if (row.Rating_class == 0 and
row.Modified_duration > 178 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 178
elif (row.Rating_class == 1 and
row.Modified_duration > 176 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 176
elif (row.Rating_class == 2 and
row.Modified_duration > 169 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 169
elif (row.Rating_class == 3 and
row.Modified_duration > 140 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 140
elif (row.Rating_class == 4 and
row.Modified_duration > 107 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 107
elif (row.Rating_class == 5 and
row.Modified_duration > 73 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 73
elif (row.Rating_class == 6 and
row.Modified_duration > 73 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 73
elif (row.Rating_class == 7 and
row.Modified_duration > 130 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
data_set.at[row.Index, 'Modified_duration'] = 130
else:
pass
# Calculate the spread risk SCR percentage and SCR in terms of MV for bonds and loans other than residential mortgages with credit quality steps 0 to 7 and covered bonds with credit quality steps 2 to 7
for row in data_set.itertuples():
if (row.Rating_class == 0 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (0.9*row.Modified_duration)/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 5 < row.Modified_duration <= 10:
SCR_percentage = (4.5 + (0.5 * (row.Modified_duration-5)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 10 < row.Modified_duration <= 15:
SCR_percentage = (7.2 + (0.5 * (row.Modified_duration-10)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 15 < row.Modified_duration <= 20:
SCR_percentage = (9.7 + (0.5 * (row.Modified_duration-15)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (12.2 + (0.5 * (row.Modified_duration-20)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif (row.Rating_class == 1 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (1.1*row.Modified_duration)/100
SCR_instrument = SCR_percentage*row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 5 < row.Modified_duration <= 10:
SCR_percentage = (5.5 + (0.6 * (row.Modified_duration-5)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 10 < row.Modified_duration <= 15:
SCR_percentage = (8.4 + (0.5 * (row.Modified_duration-10)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 15 < row.Modified_duration <= 20:
SCR_percentage = (10.9 + (0.5 * (row.Modified_duration-15)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (13.4 + (0.5 * (row.Modified_duration-20)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif (row.Rating_class == 2 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0 or
row.Rating_class == 2 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (1.4*row.Modified_duration)/100
SCR_instrument = SCR_percentage*row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 5 < row.Modified_duration <= 10:
SCR_percentage = (7.0 + (0.7 * (row.Modified_duration-5)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 10 < row.Modified_duration <= 15:
SCR_percentage = (10.5 + (0.5 * (row.Modified_duration-10)))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 15 < row.Modified_duration <= 20:
SCR_percentage = (13.0 + (0.5 * (row.Modified_duration - 15))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (15.5 + (0.5 * (row.Modified_duration - 20))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif (row.Rating_class == 3 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0 or
row.Rating_class == 3 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (2.5 * row.Modified_duration) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 5 < row.Modified_duration <= 10:
SCR_percentage = (12.5 + (1.5 * (row.Modified_duration - 5))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 10 < row.Modified_duration <= 15:
SCR_percentage = (20.0 + (1.0 * (row.Modified_duration - 10))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 15 < row.Modified_duration <= 20:
SCR_percentage = (25.0 + (1.0 * (row.Modified_duration - 15))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (30.0 + (0.5 * (row.Modified_duration - 20))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif (row.Rating_class == 4 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0 or
row.Rating_class == 4 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (4.5 * row.Modified_duration) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 5 < row.Modified_duration <= 10:
SCR_percentage = (22.5 + (2.5 * (row.Modified_duration - 5))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 10 < row.Modified_duration <= 15:
SCR_percentage = (35.0 + (1.8 * (row.Modified_duration - 10))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 15 < row.Modified_duration <= 20:
SCR_percentage = (44.0 + (0.5 * (row.Modified_duration - 15))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (46.6 + (0.5 * (row.Modified_duration - 20))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif (row.Rating_class == 5 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0 or
row.Rating_class == 5 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (7.5 * row.Modified_duration) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 5 < row.Modified_duration <= 10:
SCR_percentage = (37.5 + (4.2 * (row.Modified_duration - 5))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 10 < row.Modified_duration <= 15:
SCR_percentage = (58.5 + (0.5 * (row.Modified_duration - 10))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 15 < row.Modified_duration <= 20:
SCR_percentage = (61.0 + (0.5 * (row.Modified_duration - 15))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (63.5 + (0.5 * (row.Modified_duration - 20))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif (row.Rating_class == 6 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0 or
row.Rating_class == 6 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (7.5 * row.Modified_duration) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 5 < row.Modified_duration <= 10:
SCR_percentage = (37.5 + (4.2 * (row.Modified_duration - 5))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 10 < row.Modified_duration <= 15:
SCR_percentage = (58.5 + (0.5 * (row.Modified_duration - 10))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 15 < row.Modified_duration <= 20:
SCR_percentage = (61.0 + (0.5 * (row.Modified_duration - 15))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (63.5 + (0.5 * (row.Modified_duration - 20))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif (row.Rating_class == 7 and
row.Covered_bond == 0 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0 or
row.Rating_class == 7 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (3.0 * row.Modified_duration) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 5 < row.Modified_duration <= 10:
SCR_percentage = (15.0 + (1.7 * (row.Modified_duration - 5))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif 10 < row.Modified_duration <= 20:
SCR_percentage = (23.5 + (1.2 * (row.Modified_duration - 10))) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (min(35.5 + (0.5 * (row.Modified_duration - 20)), 100)) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
pass
print(data_set)
# Calculate the spread risk SCR percentage and SCR in terms of MV for covered bonds with credit quality steps 0 to 1
for row in data_set.itertuples():
if (row.Rating_class == 0 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (0.7*row.Modified_duration)/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (min(3.5 + (0.5 * (row.Modified_duration-5)), 100))/100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
elif (row.Rating_class == 1 and
row.Covered_bond == 1 and
row.Non_EEA_sovereign_issue_in_dom_curr == 0 and
row.Issue_from_entity_not_meeting_MCR == 0):
if row.Modified_duration <= 5:
SCR_percentage = (0.9 * row.Modified_duration) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
else:
SCR_percentage = (min(4.5 + (0.5 * (row.Modified_duration - 5)), 100)) / 100
SCR_instrument = SCR_percentage * row.MV_EUR
data_set.at[row.Index, 'SCR_percentage'] = SCR_percentage
data_set.at[row.Index, 'SCR_instrument'] = SCR_instrument
# Print resulting DataFrame
print(data_set)
# Export DataFrame to csv
data_set.to_csv("SCR.csv", sep=';', encoding='utf-8')