episode_id
stringlengths 6
6
| portfolio_id
stringlengths 6
6
| as_of_date
stringdate 2024-01-06 00:00:00
2025-12-26 00:00:00
| regime
stringclasses 4
values | ig_spread_bps
int64 65
260
| hy_spread_bps
int64 280
850
| unemployment_pct
float64 3.2
8.5
| gdp_yoy_pct
float64 -2
3
| nav_usd
int64 50.1M
3B
| sector_exposure_pct
stringlengths 31
94
| region_exposure_pct
stringlengths 42
45
| rating_mix_pct
stringlengths 27
49
| avg_pd_pct
float64 0.4
7.5
| avg_lgd_pct
float64 20
65
| var_95_bps
int64 80
400
| stress_loss_bps
int64 120
710
| drawdown_60d_pct
float64 2
23.7
| policy_max_name_pct
float64 2
4
| policy_max_sector_pct
int64 20
35
| policy_max_region_pct
int64 35
55
| policy_hy_cap_pct
int64 20
35
| breach_sector_flag
bool 2
classes | breach_region_flag
bool 2
classes | breach_hy_cap_flag
bool 2
classes | breach_var_flag
bool 2
classes | ews_dsr_jump_pp
float64 -0.5
2.5
| ews_delinq30d_jump_pp
float64 -0.3
1.8
| ews_rating_drift_notches
float64 -0.4
0.6
| ews_sector_alerts
stringclasses 426
values | action_type
stringclasses 5
values | action_payload
stringlengths 23
41
| expected_loss_delta_bps
int64 -60
20
| expected_yield_delta_bps
int64 -25
45
| execution_venue
stringclasses 5
values | execution_mode
stringclasses 4
values | slippage_bps
int64 0
12
| fill_ratio_pct
int64 0
100
| pnl_30d_bps
int64 -220
457
| credit_loss_90d_bps
int64 -480
210
| self_correction_trigger
stringclasses 4
values | self_correction_action
stringclasses 4
values | self_correction_reason
stringclasses 5
values | post_correction_var_bps
int64 90
260
| audit_notes
stringclasses 5
values |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C00001
|
CR7809
|
2024-11-27
|
Calm
| 110
| 344
| 3.9
| 1.5
| 2,765,285,152
|
Utilities:17.9;Materials:20.0;Energy:20.3;RealEstate:5.7;Comm:12.4;Tech:23.7
|
US:79.0;EU:11.3;APAC:5.3;EMEA:3.1;LATAM:1.2
|
BB:10.2;A:11.9;BBB:10.1;AAA:28.3;B:39.5
| 0.97
| 60.8
| 254
| 352
| 17.1
| 3
| 35
| 45
| 25
| false
| true
| true
| true
| 2.21
| 0
| -0.06
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -60
| -25
|
ECN2
|
All2All
| 12
| 98
| 267
| -161
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 222
|
Escalate watchlist names
|
C00002
|
CR7979
|
2025-04-19
|
Tightening
| 129
| 396
| 5.1
| 1.4
| 2,202,421,217
|
Financials:36.8;Tech:10.6;Industrials:30.8;RealEstate:21.8
|
US:67.3;EU:14.3;APAC:9.3;EMEA:7.5;LATAM:1.5
|
BBB:17.7;AA:31.7;A:21.4;CCC:8.3;AAA:20.9
| 7.34
| 55
| 97
| 460
| 3.3
| 3.5
| 35
| 55
| 30
| true
| true
| false
| false
| 1.81
| 0.54
| -0.11
|
Healthcare:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -18
| 12
|
ECN1
|
All2All
| 5
| 90
| 40
| -429
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 230
|
Reviewed by risk; hedges staggered
|
C00003
|
CR0379
|
2024-08-31
|
Tightening
| 115
| 492
| 4.8
| 1.5
| 2,245,398,292
|
Comm:8.8;Consumer:20.7;Industrials:16.7;Energy:16.2;Materials:20.2;Healthcare:17.4
|
US:62.7;EU:16.0;APAC:6.9;EMEA:9.6;LATAM:4.8
|
BB:31.3;BBB:21.9;A:14.3;B:6.3;CCC:13.1;AA:13.2
| 2.3
| 59.6
| 273
| 359
| 6.8
| 2.5
| 30
| 45
| 30
| false
| true
| true
| true
| 0.66
| 0.43
| -0.08
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -43
| 29
|
DealerB
|
RFQ
| 12
| 94
| 163
| 137
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 242
|
Tighten HY exposure bands
|
C00004
|
CR7040
|
2025-02-06
|
Tightening
| 140
| 504
| 4.4
| 1.7
| 864,889,402
|
Industrials:30.0;Tech:24.8;Comm:11.9;Healthcare:33.4
|
US:57.5;EU:20.0;APAC:12.5;EMEA:4.6;LATAM:5.4
|
AA:12.1;BBB:14.6;A:14.2;CCC:43.9;B:15.3
| 3.74
| 43.7
| 278
| 206
| 4.5
| 2
| 20
| 55
| 20
| true
| true
| true
| true
| -0.25
| 0.43
| -0.25
|
Consumer:EW;Tech:EW
|
Hedge
|
CDX_IG: +178bps notional
| -48
| 1
|
ECN1
|
DealerAxed
| 1
| 99
| 73
| -400
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 167
|
Defer adds pending macro print
|
C00005
|
CR7617
|
2025-10-22
|
Calm
| 100
| 360
| 3.7
| 1.7
| 2,266,814,110
|
Tech:31.4;Energy:25.7;Industrials:19.3;Consumer:23.7
|
US:60.7;EU:17.3;APAC:14.4;EMEA:3.8;LATAM:3.8
|
AAA:14.8;CCC:19.3;B:13.5;BB:28.1;A:13.8;AA:10.5
| 2.72
| 55.5
| 269
| 327
| 12.2
| 4
| 20
| 55
| 35
| true
| true
| true
| true
| 2.44
| 1.36
| 0.26
|
Healthcare:EW;Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 13
| 17
|
DealerC
|
Electronic
| 2
| 92
| -159
| -420
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 213
|
Defer adds pending macro print
|
C00006
|
CR0060
|
2025-01-29
|
Recovery
| 112
| 592
| 5.5
| 1.3
| 2,452,852,727
|
Energy:16.0;Consumer:28.3;Utilities:11.2;Comm:19.0;Materials:25.5
|
US:65.0;EU:11.9;APAC:12.6;EMEA:9.9;LATAM:0.6
|
AAA:20.8;A:19.9;AA:17.3;CCC:12.2;BBB:29.8
| 6.31
| 25.6
| 110
| 183
| 4.4
| 4
| 35
| 45
| 20
| false
| true
| false
| false
| 1.33
| 0.77
| -0.26
|
Tech:EW;Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -28
| -17
|
ECN2
|
DealerAxed
| 2
| 85
| -98
| -340
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 247
|
Rotate into defensive sectors
|
C00007
|
CR8782
|
2024-09-10
|
Stress
| 198
| 710
| 5.7
| 0.7
| 1,718,206,814
|
Tech:35.2;Utilities:16.4;Energy:48.5
|
US:66.3;EU:14.7;APAC:12.2;EMEA:4.5;LATAM:2.3
|
A:13.0;AAA:16.5;BB:8.6;B:19.0;CCC:13.0;AA:29.9
| 0.98
| 40.4
| 368
| 427
| 18.4
| 2
| 25
| 35
| 20
| true
| true
| true
| true
| 0.37
| 1.63
| 0.23
|
Industrials:EW
|
Hedge
|
Treasury_Futures: +172bps notional
| -27
| -20
|
DealerC
|
All2All
| 5
| 94
| 311
| 67
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 260
|
Rotate into defensive sectors
|
C00008
|
CR4674
|
2024-02-28
|
Stress
| 162
| 745
| 6.4
| 0.4
| 1,480,667,305
|
Healthcare:17.4;Financials:46.3;Utilities:36.2
|
US:76.0;EU:5.9;APAC:11.4;EMEA:5.0;LATAM:1.7
|
BBB:28.4;BB:12.8;AA:10.7;A:26.6;CCC:5.3;B:16.2
| 7.48
| 56.8
| 297
| 505
| 17.2
| 3
| 30
| 55
| 35
| true
| true
| false
| true
| 2.28
| 0.32
| -0.08
|
Consumer:EW
|
Hedge
|
CDX_HY: +59bps notional
| -47
| 17
|
ECN1
|
RFQ
| 12
| 89
| -24
| 124
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 177
|
Reviewed by risk; hedges staggered
|
C00009
|
CR0404
|
2024-04-30
|
Stress
| 223
| 567
| 6.5
| -0.9
| 2,417,410,028
|
Industrials:42.5;Consumer:15.3;Comm:42.1
|
US:60.0;EU:14.7;APAC:11.7;EMEA:8.8;LATAM:4.7
|
AAA:18.0;B:26.4;CCC:38.5;A:17.1
| 1.32
| 33.1
| 337
| 288
| 9.1
| 3
| 25
| 35
| 30
| true
| true
| true
| true
| 1.55
| -0.25
| -0.38
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -22
| 31
|
DealerC
|
Electronic
| 3
| 100
| -88
| -178
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 152
|
Defer adds pending macro print
|
C00010
|
CR9359
|
2025-08-15
|
Tightening
| 105
| 448
| 4.2
| 1.3
| 1,110,767,756
|
RealEstate:27.7;Healthcare:27.1;Consumer:23.6;Utilities:14.2;Industrials:7.4
|
US:58.9;EU:16.0;APAC:10.0;EMEA:9.0;LATAM:6.1
|
AA:10.7;A:13.1;AAA:37.2;CCC:25.9;BBB:13.0
| 5.4
| 46.1
| 260
| 275
| 6.1
| 3.5
| 25
| 55
| 20
| true
| true
| true
| true
| 0.07
| 0.76
| 0.48
|
Utilities:EW
|
Hedge
|
CDX_HY: +82bps notional
| -57
| 17
|
ECN1
|
RFQ
| 3
| 87
| 227
| -365
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 246
|
Escalate watchlist names
|
C00011
|
CR0721
|
2025-03-25
|
Stress
| 194
| 671
| 5.9
| -1.1
| 1,116,691,404
|
Materials:12.3;Healthcare:34.7;Consumer:22.7;Industrials:30.2
|
US:64.1;EU:18.8;APAC:8.0;EMEA:7.5;LATAM:1.6
|
AA:15.8;A:30.5;BBB:37.9;CCC:15.8
| 3.14
| 32.3
| 178
| 504
| 19.1
| 4
| 20
| 45
| 35
| true
| true
| false
| false
| 0.4
| 0.77
| -0.36
|
RealEstate:EW
|
Hedge
|
iTraxx_XOVER: +73bps notional
| 3
| 18
|
DealerB
|
DealerAxed
| 2
| 95
| 101
| -60
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 122
|
Reviewed by risk; hedges staggered
|
C00012
|
CR7351
|
2025-11-28
|
Recovery
| 165
| 524
| 5.7
| 0.1
| 2,218,194,019
|
Materials:12.9;Comm:23.3;Utilities:12.5;Tech:18.8;Financials:18.5;Energy:14.0
|
US:59.9;EU:16.3;APAC:11.7;EMEA:9.7;LATAM:2.4
|
AA:13.2;BB:3.5;BBB:36.8;A:15.4;AAA:31.1
| 4.27
| 36.9
| 169
| 512
| 7.3
| 3
| 20
| 35
| 30
| true
| true
| false
| false
| 2.48
| -0.01
| 0.32
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -36
| -6
|
DealerC
|
Electronic
| 9
| 92
| 54
| 159
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 138
|
Reviewed by risk; hedges staggered
|
C00013
|
CR2229
|
2025-11-14
|
Tightening
| 130
| 356
| 4.6
| 1.7
| 1,125,503,152
|
Consumer:42.0;Energy:37.2;Industrials:20.8
|
US:68.5;EU:14.8;APAC:11.2;EMEA:5.2;LATAM:0.4
|
BB:10.2;A:27.2;AAA:35.4;B:6.8;BBB:20.3
| 6.01
| 28.6
| 86
| 440
| 12.2
| 3.5
| 25
| 45
| 20
| true
| true
| false
| false
| 1.84
| -0.17
| -0.28
| null |
Hedge
|
Options_Payer: +73bps notional
| 20
| 6
|
ECN1
|
Electronic
| 7
| 98
| 419
| -389
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 241
|
Reviewed by risk; hedges staggered
|
C00014
|
CR9282
|
2024-05-18
|
Calm
| 115
| 375
| 4
| 1.6
| 1,382,774,760
|
Industrials:17.8;Consumer:6.7;Tech:18.5;RealEstate:14.6;Financials:23.8;Energy:18.6
|
US:68.4;EU:8.1;APAC:11.2;EMEA:9.3;LATAM:3.0
|
A:17.9;AAA:14.7;B:33.0;BB:20.3;CCC:14.2
| 1.26
| 24.6
| 82
| 409
| 11.9
| 3.5
| 35
| 35
| 20
| false
| true
| true
| false
| 1.17
| 0.38
| 0.04
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -47
| -13
|
DealerA
|
Electronic
| 9
| 90
| -1
| -172
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 180
|
Reviewed by risk; hedges staggered
|
C00015
|
CR3243
|
2025-10-04
|
Calm
| 80
| 361
| 3.2
| 2
| 326,739,793
|
RealEstate:25.9;Healthcare:33.7;Industrials:7.3;Consumer:33.1
|
US:62.9;EU:8.4;APAC:12.1;EMEA:8.4;LATAM:8.3
|
A:24.1;CCC:6.6;AAA:25.5;AA:26.5;BBB:17.3
| 3.01
| 42.5
| 91
| 384
| 16.8
| 3
| 25
| 35
| 30
| true
| true
| false
| false
| 1.15
| 0.57
| 0.06
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -1
| -24
|
ECN2
|
DealerAxed
| 2
| 85
| 214
| 78
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 220
|
Tighten HY exposure bands
|
C00016
|
CR7738
|
2025-03-24
|
Calm
| 82
| 285
| 4.1
| 2.8
| 435,760,520
|
Comm:24.0;Materials:37.1;Consumer:38.9
|
US:65.1;EU:15.9;APAC:8.1;EMEA:9.8;LATAM:1.2
|
A:20.3;AA:16.6;AAA:18.6;BB:27.1;B:17.4
| 7.13
| 59.1
| 135
| 418
| 3.2
| 3.5
| 25
| 35
| 30
| true
| true
| true
| false
| 1.5
| -0.06
| -0.19
|
Tech:EW
|
Hedge
|
CDX_IG: +67bps notional
| -38
| 35
|
DealerA
|
Electronic
| 2
| 85
| 363
| -354
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 232
|
Defer adds pending macro print
|
C00017
|
CR3587
|
2024-10-10
|
Recovery
| 118
| 649
| 4.9
| 0.9
| 705,049,388
|
Healthcare:24.9;Industrials:28.3;Tech:26.5;Energy:20.3
|
US:70.2;EU:12.1;APAC:12.3;EMEA:4.7;LATAM:0.7
|
AAA:18.8;BBB:42.6;B:8.7;AA:29.8
| 4.27
| 51
| 232
| 252
| 13.4
| 2.5
| 35
| 55
| 30
| false
| true
| false
| true
| -0.35
| 1.08
| 0.27
|
Consumer:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 14
| -12
|
DealerC
|
All2All
| 9
| 95
| 375
| 60
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 234
|
Escalate watchlist names
|
C00018
|
CR9347
|
2025-03-23
|
Calm
| 97
| 394
| 4.2
| 1.5
| 1,971,911,265
|
Industrials:28.3;Healthcare:18.9;Energy:25.8;Utilities:27.1
|
US:68.8;EU:8.1;APAC:13.5;EMEA:7.1;LATAM:2.4
|
BBB:17.5;B:18.1;BB:15.2;AA:14.1;A:22.1;CCC:13.0
| 2.24
| 53.9
| 89
| 244
| 8.7
| 4
| 20
| 45
| 25
| true
| true
| true
| false
| 2.33
| -0.23
| -0.31
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -60
| -22
|
ECN2
|
DealerAxed
| 0
| 96
| 356
| 15
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 196
|
Rotate into defensive sectors
|
C00019
|
CR6593
|
2024-05-23
|
Recovery
| 111
| 613
| 6.3
| 1
| 2,019,078,123
|
Healthcare:20.5;Energy:8.6;Utilities:24.7;Tech:16.2;Materials:8.7;RealEstate:21.3
|
US:63.2;EU:14.9;APAC:10.4;EMEA:7.2;LATAM:4.3
|
BB:15.2;B:15.8;BBB:29.3;CCC:14.7;AA:25.0
| 3.56
| 41.2
| 243
| 313
| 11.9
| 3
| 30
| 35
| 30
| false
| true
| true
| true
| 0.65
| 1.13
| 0.58
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -42
| -18
|
ECN1
|
RFQ
| 3
| 94
| 146
| 100
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 162
|
Escalate watchlist names
|
C00020
|
CR2436
|
2024-02-17
|
Recovery
| 129
| 501
| 6.3
| 1.9
| 289,477,636
|
Healthcare:11.4;Tech:10.2;RealEstate:20.7;Comm:14.1;Utilities:18.9;Materials:24.8
|
US:59.0;EU:16.5;APAC:6.1;EMEA:10.1;LATAM:8.4
|
B:4.4;CCC:12.8;BBB:9.8;AAA:18.9;AA:28.1;A:26.0
| 4.18
| 34.9
| 179
| 317
| 15
| 3.5
| 20
| 45
| 20
| true
| true
| false
| false
| 0.67
| 0.09
| -0.16
|
Tech:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -8
| 33
|
ECN1
|
RFQ
| 12
| 85
| -55
| -61
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 202
|
Rotate into defensive sectors
|
C00021
|
CR0410
|
2024-05-22
|
Calm
| 108
| 359
| 4
| 1.8
| 2,570,958,128
|
RealEstate:15.2;Consumer:16.4;Utilities:43.3;Materials:25.2
|
US:68.8;EU:8.6;APAC:6.9;EMEA:8.7;LATAM:7.1
|
AAA:20.5;CCC:7.9;A:9.2;BB:29.4;BBB:23.3;AA:9.8
| 3.65
| 54.1
| 216
| 361
| 4.6
| 3
| 20
| 35
| 25
| true
| true
| true
| true
| 1.94
| 0.07
| 0.33
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -18
| 45
|
DealerA
|
Electronic
| 2
| 99
| 184
| -378
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 93
|
Rotate into defensive sectors
|
C00022
|
CR0534
|
2024-05-13
|
Tightening
| 122
| 362
| 4
| 1.4
| 1,687,992,545
|
Industrials:30.8;Consumer:19.3;Energy:13.0;Healthcare:12.7;RealEstate:24.2
|
US:70.3;EU:8.4;APAC:10.9;EMEA:7.5;LATAM:2.9
|
B:7.5;AAA:25.5;BB:25.9;CCC:22.7;BBB:18.5
| 2.78
| 52.6
| 148
| 384
| 7.7
| 3.5
| 20
| 45
| 35
| true
| true
| true
| false
| 0.39
| 1.41
| -0.04
|
Consumer:EW;Comm:EW
|
Hedge
|
CDX_IG: +194bps notional
| -38
| 42
|
DealerC
|
RFQ
| 4
| 99
| 120
| 75
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 105
|
Defer adds pending macro print
|
C00023
|
CR3542
|
2025-01-08
|
Tightening
| 146
| 366
| 4.5
| 1.3
| 393,878,066
|
Industrials:40.0;Energy:25.7;Financials:22.0;RealEstate:12.3
|
US:68.5;EU:17.4;APAC:5.2;EMEA:5.7;LATAM:3.2
|
AA:20.2;AAA:9.7;BB:23.5;BBB:10.5;CCC:22.4;A:13.6
| 6.09
| 60.5
| 172
| 190
| 10.3
| 2.5
| 25
| 55
| 30
| true
| true
| true
| false
| -0.46
| 0.32
| 0.21
| null |
Hedge
|
SingleName_CDS: +69bps notional
| 3
| -8
|
DealerB
|
Electronic
| 9
| 99
| 20
| -141
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 110
|
Defer adds pending macro print
|
C00024
|
CR9392
|
2025-03-14
|
Stress
| 242
| 707
| 7.7
| -0
| 1,056,280,216
|
RealEstate:15.4;Utilities:16.2;Materials:25.9;Financials:13.0;Healthcare:29.5
|
US:67.7;EU:12.7;APAC:9.0;EMEA:9.1;LATAM:1.5
|
BB:3.2;A:19.2;CCC:10.1;AAA:23.9;AA:32.4;B:11.3
| 2.82
| 32.5
| 205
| 318
| 7.9
| 3.5
| 35
| 35
| 20
| false
| true
| true
| true
| 2.09
| 0.93
| 0.39
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 2
| 42
|
DealerC
|
All2All
| 7
| 95
| 349
| -127
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 170
|
Tighten HY exposure bands
|
C00025
|
CR7077
|
2025-09-28
|
Recovery
| 158
| 530
| 6.4
| 1.9
| 2,053,797,079
|
Utilities:27.3;Industrials:24.4;Comm:20.5;Consumer:11.5;Healthcare:8.2;Materials:8.1
|
US:56.9;EU:17.5;APAC:12.0;EMEA:6.5;LATAM:7.0
|
AAA:10.8;BB:24.8;A:41.0;BBB:23.5
| 3.55
| 30.6
| 216
| 157
| 6.3
| 2
| 35
| 55
| 25
| false
| true
| false
| true
| 2.21
| 0.83
| -0.15
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 2
| -12
|
DealerC
|
Electronic
| 9
| 85
| -61
| 80
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 116
|
Escalate watchlist names
|
C00026
|
CR4310
|
2024-07-23
|
Calm
| 96
| 336
| 3.3
| 2.9
| 331,540,935
|
Industrials:36.0;Comm:24.5;Energy:12.9;Tech:26.6
|
US:62.7;EU:16.6;APAC:10.9;EMEA:4.5;LATAM:5.4
|
A:26.1;AA:28.7;BB:13.6;CCC:14.1;B:17.5
| 1.85
| 58.7
| 138
| 437
| 14.3
| 2.5
| 30
| 45
| 30
| true
| true
| true
| false
| 0.24
| -0.03
| 0.54
|
Financials:EW
|
Hedge
|
SingleName_CDS: +153bps notional
| -40
| -25
|
ECN1
|
RFQ
| 7
| 95
| 11
| -266
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 96
|
Defer adds pending macro print
|
C00027
|
CR3201
|
2024-04-21
|
Tightening
| 158
| 459
| 4.8
| 2
| 67,044,701
|
Tech:37.5;Consumer:10.4;Healthcare:16.3;Comm:35.8
|
US:61.7;EU:18.2;APAC:6.5;EMEA:9.1;LATAM:4.4
|
BBB:27.8;BB:29.6;B:20.7;CCC:21.9
| 1.99
| 29.5
| 214
| 421
| 16.6
| 4
| 25
| 55
| 25
| true
| true
| true
| true
| 0.92
| 0.41
| -0.14
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -55
| -7
|
DealerB
|
Electronic
| 3
| 95
| -138
| 5
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 223
|
Escalate watchlist names
|
C00028
|
CR6316
|
2025-09-24
|
Calm
| 66
| 350
| 3.9
| 1.8
| 2,838,166,250
|
Comm:43.1;Financials:14.9;Healthcare:12.4;Industrials:29.7
|
US:64.1;EU:15.9;APAC:9.9;EMEA:7.0;LATAM:3.1
|
AA:39.2;CCC:11.6;BBB:34.8;BB:14.4
| 2.62
| 53.7
| 95
| 331
| 4.2
| 2.5
| 35
| 45
| 30
| true
| true
| false
| false
| -0.31
| 1.2
| -0.11
|
Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 18
| 13
|
ECN2
|
All2All
| 11
| 100
| 372
| 36
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 215
|
Escalate watchlist names
|
C00029
|
CR9769
|
2025-06-08
|
Tightening
| 103
| 450
| 4.8
| 1.3
| 1,085,179,726
|
Energy:15.3;Consumer:22.8;Healthcare:32.4;Industrials:10.5;Comm:19.0
|
US:70.8;EU:7.1;APAC:13.7;EMEA:8.2;LATAM:0.1
|
BB:31.5;BBB:25.5;B:13.4;A:29.7
| 7.33
| 64.6
| 235
| 431
| 2.5
| 3
| 20
| 45
| 25
| true
| true
| true
| true
| 0.98
| 0.91
| 0.13
|
Tech:EW
|
Hedge
|
CDX_HY: +101bps notional
| -27
| -1
|
DealerC
|
RFQ
| 12
| 95
| 189
| 128
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 204
|
Rotate into defensive sectors
|
C00030
|
CR5573
|
2024-08-30
|
Tightening
| 145
| 441
| 4.7
| 0.9
| 1,438,223,049
|
RealEstate:16.0;Utilities:19.4;Healthcare:6.2;Industrials:21.9;Tech:16.7;Energy:19.7
|
US:65.0;EU:12.9;APAC:10.8;EMEA:7.9;LATAM:3.4
|
BB:3.8;AAA:35.6;AA:35.0;BBB:19.6;B:6.0
| 4.41
| 53.4
| 119
| 307
| 12.9
| 2.5
| 30
| 35
| 30
| false
| true
| false
| false
| 1.08
| 1.1
| 0.59
|
Industrials:EW
|
Hedge
|
Options_Payer: +139bps notional
| -43
| 35
|
DealerC
|
All2All
| 6
| 99
| 428
| -325
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 252
|
Rotate into defensive sectors
|
C00031
|
CR5118
|
2025-06-17
|
Calm
| 120
| 351
| 3.3
| 2.7
| 1,570,171,965
|
RealEstate:22.2;Utilities:8.5;Healthcare:36.2;Tech:33.0
|
US:61.8;EU:8.8;APAC:13.4;EMEA:10.6;LATAM:5.3
|
CCC:8.6;B:10.9;BB:9.5;AA:20.1;AAA:50.9
| 0.78
| 25.9
| 277
| 251
| 8.3
| 4
| 20
| 35
| 20
| true
| true
| true
| true
| -0.05
| 1.08
| 0.27
|
Consumer:EW;Industrials:EW
|
Hedge
|
CDX_IG: +84bps notional
| -23
| -12
|
DealerA
|
DealerAxed
| 7
| 87
| 35
| 166
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 227
|
Tighten HY exposure bands
|
C00032
|
CR3472
|
2024-01-21
|
Calm
| 79
| 395
| 3.5
| 2.6
| 1,004,207,991
|
Materials:13.7;RealEstate:10.0;Consumer:30.4;Comm:24.5;Tech:14.5;Financials:7.0
|
US:66.2;EU:8.6;APAC:9.7;EMEA:12.4;LATAM:3.1
|
AA:18.1;BBB:11.4;AAA:28.4;B:5.2;BB:14.6;A:22.4
| 1.47
| 64.7
| 269
| 298
| 4.7
| 3.5
| 20
| 45
| 25
| true
| true
| false
| true
| -0.1
| 0.21
| 0.56
| null |
Hedge
|
CDX_IG: +119bps notional
| -51
| 44
|
ECN1
|
RFQ
| 11
| 92
| -182
| -270
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 112
|
Reviewed by risk; hedges staggered
|
C00033
|
CR3973
|
2025-06-04
|
Tightening
| 118
| 409
| 4.4
| 1.3
| 1,490,967,008
|
Industrials:37.8;Financials:37.6;Materials:24.6
|
US:64.4;EU:14.2;APAC:8.4;EMEA:12.6;LATAM:0.4
|
CCC:15.4;B:22.6;AA:8.8;A:17.6;BBB:18.2;AAA:17.5
| 3.05
| 63.2
| 182
| 223
| 14
| 2.5
| 25
| 55
| 30
| true
| true
| true
| false
| -0.49
| 1.09
| -0.23
|
Materials:EW
|
Hedge
|
CDX_IG: +109bps notional
| -34
| 2
|
ECN1
|
RFQ
| 5
| 97
| 323
| -398
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 155
|
Reviewed by risk; hedges staggered
|
C00034
|
CR0874
|
2025-11-15
|
Calm
| 90
| 388
| 3.2
| 1.8
| 2,470,769,372
|
Tech:27.8;Utilities:29.4;Energy:42.7
|
US:74.0;EU:5.9;APAC:9.6;EMEA:6.5;LATAM:4.1
|
A:12.8;AA:20.4;AAA:27.7;B:18.6;BB:20.6
| 7.2
| 20.1
| 129
| 360
| 6.6
| 3
| 35
| 35
| 20
| true
| true
| true
| false
| -0.04
| 1.29
| -0.12
|
Tech:EW;Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -22
| 14
|
ECN2
|
DealerAxed
| 0
| 97
| -126
| -74
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 147
|
Reviewed by risk; hedges staggered
|
C00035
|
CR2999
|
2025-11-22
|
Recovery
| 172
| 442
| 6.4
| 1.5
| 621,113,308
|
Tech:43.7;Financials:24.5;Industrials:31.7
|
US:70.3;EU:13.4;APAC:6.9;EMEA:4.3;LATAM:5.1
|
BB:19.6;AAA:13.9;AA:32.8;A:33.7
| 1.54
| 46.1
| 278
| 480
| 17.3
| 2
| 30
| 55
| 25
| true
| true
| false
| true
| 0.79
| 1.64
| -0.02
|
Industrials:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -1
| 4
|
ECN1
|
RFQ
| 3
| 91
| 194
| -81
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 234
|
Reviewed by risk; hedges staggered
|
C00036
|
CR7577
|
2024-06-23
|
Recovery
| 125
| 518
| 6.2
| 1.1
| 1,767,966,936
|
RealEstate:34.3;Utilities:8.5;Materials:15.2;Industrials:7.3;Healthcare:34.6
|
US:73.4;EU:7.1;APAC:10.2;EMEA:7.7;LATAM:1.5
|
AA:14.4;BBB:17.9;AAA:19.9;BB:26.3;B:21.5
| 4.62
| 42.2
| 121
| 433
| 15.4
| 2.5
| 25
| 35
| 20
| true
| true
| true
| false
| 2.44
| 0.4
| -0.39
| null |
Hedge
|
Treasury_Futures: +169bps notional
| -48
| -25
|
ECN2
|
RFQ
| 4
| 94
| 396
| -168
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 139
|
Escalate watchlist names
|
C00037
|
CR0817
|
2024-07-11
|
Calm
| 99
| 316
| 3.5
| 1.6
| 1,268,124,078
|
Consumer:30.2;RealEstate:50.7;Comm:19.1
|
US:73.9;EU:6.7;APAC:7.2;EMEA:10.7;LATAM:1.5
|
BB:34.8;CCC:27.1;AAA:21.5;AA:16.7
| 2.6
| 61.5
| 214
| 353
| 16.4
| 4
| 25
| 45
| 30
| true
| true
| true
| true
| 2.45
| -0.06
| -0.24
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -48
| -15
|
ECN1
|
All2All
| 8
| 85
| 211
| -108
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 226
|
Rotate into defensive sectors
|
C00038
|
CR4284
|
2024-01-24
|
Calm
| 69
| 297
| 3.9
| 2.2
| 236,587,982
|
RealEstate:16.0;Energy:26.4;Healthcare:26.2;Comm:12.5;Financials:18.9
|
US:71.0;EU:6.9;APAC:8.6;EMEA:12.8;LATAM:0.7
|
BB:29.9;AA:17.9;B:19.9;CCC:32.3
| 4.71
| 27.7
| 272
| 213
| 7.1
| 3.5
| 30
| 35
| 25
| false
| true
| true
| true
| -0.14
| 0.1
| 0.28
|
RealEstate:EW;Tech:EW
|
Hedge
|
SingleName_CDS: +108bps notional
| -43
| -3
|
DealerA
|
All2All
| 1
| 99
| 151
| -163
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 217
|
Tighten HY exposure bands
|
C00039
|
CR2112
|
2024-07-23
|
Recovery
| 123
| 473
| 5.6
| 0.2
| 2,132,448,720
|
Healthcare:19.0;RealEstate:12.8;Energy:16.0;Tech:33.2;Utilities:19.0
|
US:67.3;EU:11.5;APAC:8.1;EMEA:10.5;LATAM:2.5
|
AA:26.6;BBB:10.8;AAA:13.4;A:8.9;BB:13.8;B:26.4
| 7.2
| 52.3
| 172
| 460
| 13.6
| 2
| 35
| 45
| 20
| false
| true
| true
| false
| 1.31
| 0.31
| 0.53
|
Industrials:EW;Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -31
| -4
|
ECN1
|
DealerAxed
| 8
| 99
| -142
| -33
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 233
|
Reviewed by risk; hedges staggered
|
C00040
|
CR2470
|
2024-11-22
|
Recovery
| 168
| 460
| 4.8
| 0.1
| 2,541,532,903
|
Comm:20.1;Healthcare:24.0;Financials:21.9;RealEstate:16.9;Tech:17.3
|
US:70.2;EU:10.9;APAC:9.9;EMEA:9.0;LATAM:0.0
|
BB:28.9;B:20.2;BBB:34.0;A:16.9
| 3.35
| 35
| 132
| 477
| 11.8
| 2.5
| 25
| 35
| 30
| false
| true
| true
| false
| 1.69
| -0.12
| 0.39
|
Materials:EW;Tech:EW
|
Hedge
|
iTraxx_XOVER: +185bps notional
| -28
| -8
|
DealerC
|
Electronic
| 3
| 100
| 105
| -369
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 121
|
Tighten HY exposure bands
|
C00041
|
CR7844
|
2024-04-12
|
Calm
| 82
| 379
| 4.5
| 2.5
| 1,256,309,581
|
Consumer:19.4;Utilities:39.5;Financials:41.1
|
US:70.3;EU:7.4;APAC:7.5;EMEA:8.0;LATAM:6.8
|
AA:16.4;A:22.6;B:21.8;BB:23.1;BBB:16.2
| 6.47
| 26.5
| 195
| 140
| 4.6
| 4
| 30
| 45
| 20
| true
| true
| true
| false
| 2.14
| 0.73
| -0.32
|
Financials:EW;Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -33
| 45
|
DealerB
|
DealerAxed
| 7
| 94
| -165
| -267
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 239
|
Escalate watchlist names
|
C00042
|
CR3797
|
2024-05-29
|
Calm
| 65
| 302
| 4.3
| 2.6
| 1,582,245,064
|
Comm:31.4;Energy:20.9;Consumer:32.5;RealEstate:15.3
|
US:67.1;EU:7.2;APAC:9.0;EMEA:11.5;LATAM:5.2
|
AA:19.8;CCC:38.1;AAA:23.9;BBB:18.2
| 0.48
| 42.5
| 97
| 368
| 17.3
| 3
| 35
| 55
| 25
| false
| true
| true
| false
| 0.95
| 1.35
| -0.03
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -16
| 45
|
DealerC
|
All2All
| 5
| 100
| 34
| 36
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 226
|
Escalate watchlist names
|
C00043
|
CR8097
|
2025-08-29
|
Calm
| 85
| 358
| 3.6
| 2.2
| 1,537,634,831
|
Consumer:10.0;RealEstate:25.3;Tech:21.5;Energy:17.6;Comm:25.6
|
US:70.9;EU:7.7;APAC:13.6;EMEA:7.3;LATAM:0.5
|
A:21.0;BBB:28.4;CCC:12.2;AAA:27.1;B:11.3
| 4.1
| 52
| 89
| 281
| 8.1
| 3
| 35
| 45
| 35
| false
| true
| false
| false
| 2.01
| 1.75
| -0.2
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -20
| -13
|
DealerC
|
All2All
| 4
| 94
| -85
| 104
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 199
|
Rotate into defensive sectors
|
C00044
|
CR5669
|
2024-03-17
|
Calm
| 88
| 309
| 3.3
| 2.5
| 280,945,194
|
Utilities:25.6;Energy:29.9;Healthcare:23.5;Industrials:21.1
|
US:59.1;EU:8.3;APAC:14.4;EMEA:13.1;LATAM:5.1
|
AA:37.6;A:35.0;AAA:12.8;B:14.6
| 1.44
| 42.6
| 244
| 258
| 15.2
| 4
| 35
| 35
| 25
| false
| true
| false
| true
| -0.21
| 0.04
| -0.21
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 1
| 35
|
ECN2
|
DealerAxed
| 3
| 85
| 303
| 149
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 164
|
Rotate into defensive sectors
|
C00045
|
CR9569
|
2024-11-13
|
Calm
| 83
| 295
| 4.3
| 1.9
| 182,294,375
|
Materials:39.3;Tech:12.4;Financials:48.3
|
US:59.6;EU:18.0;APAC:8.2;EMEA:14.2;LATAM:0.1
|
B:9.2;CCC:34.3;BB:24.9;AA:31.6
| 4.68
| 55.4
| 266
| 197
| 9.5
| 2.5
| 25
| 45
| 35
| true
| true
| true
| true
| -0.45
| 1.33
| -0.22
| null |
Hedge
|
SingleName_CDS: +198bps notional
| -17
| 6
|
DealerB
|
All2All
| 7
| 89
| 358
| -96
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 152
|
Escalate watchlist names
|
C00046
|
CR6567
|
2024-12-01
|
Tightening
| 127
| 381
| 4.9
| 0.7
| 1,248,121,585
|
Industrials:25.3;Healthcare:10.9;Utilities:18.7;RealEstate:16.7;Comm:16.8;Energy:11.6
|
US:61.4;EU:12.7;APAC:9.6;EMEA:10.8;LATAM:5.5
|
BBB:9.6;CCC:11.0;A:13.4;AAA:32.7;B:7.5;AA:25.8
| 0.84
| 36.7
| 169
| 143
| 16.9
| 2
| 20
| 35
| 25
| true
| true
| false
| false
| -0.32
| 1.51
| 0.03
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -56
| 21
|
DealerC
|
DealerAxed
| 3
| 94
| 76
| -429
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 140
|
Rotate into defensive sectors
|
C00047
|
CR4260
|
2025-02-23
|
Calm
| 109
| 378
| 3.4
| 2.6
| 2,771,527,794
|
Industrials:39.7;Utilities:48.5;Tech:11.7
|
US:59.5;EU:15.8;APAC:10.1;EMEA:6.3;LATAM:8.2
|
AAA:36.1;CCC:14.1;AA:14.8;A:34.9
| 5.85
| 37.2
| 93
| 224
| 2.2
| 2.5
| 20
| 55
| 35
| true
| true
| false
| false
| 0.42
| 0.17
| -0.15
|
RealEstate:EW
|
Hedge
|
SingleName_CDS: +119bps notional
| -48
| 2
|
ECN2
|
Electronic
| 9
| 90
| -109
| -32
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 98
|
Tighten HY exposure bands
|
C00048
|
CR9335
|
2025-02-12
|
Tightening
| 124
| 443
| 5.2
| 0.7
| 2,937,166,013
|
Materials:27.3;Consumer:15.2;Financials:18.6;RealEstate:26.8;Comm:12.2
|
US:67.4;EU:9.1;APAC:11.0;EMEA:9.3;LATAM:3.3
|
AA:17.8;BBB:32.8;AAA:30.2;BB:19.3
| 1.69
| 50.9
| 134
| 487
| 12.7
| 3.5
| 25
| 35
| 35
| true
| true
| false
| false
| -0.09
| 1.66
| -0.17
|
Financials:EW
|
Hedge
|
iTraxx_MAIN: +123bps notional
| 20
| 10
|
ECN2
|
Electronic
| 1
| 94
| -142
| -248
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 160
|
Tighten HY exposure bands
|
C00049
|
CR6001
|
2025-05-31
|
Tightening
| 132
| 372
| 4.6
| 1.6
| 847,797,719
|
RealEstate:23.5;Tech:34.1;Materials:42.5
|
US:77.9;EU:7.2;APAC:5.3;EMEA:7.0;LATAM:2.6
|
CCC:19.9;AAA:26.4;B:22.0;A:31.6
| 1.19
| 31
| 230
| 354
| 9.9
| 4
| 25
| 55
| 20
| true
| true
| true
| true
| 1.3
| 1.47
| 0.2
|
Healthcare:EW
|
Hedge
|
CDX_HY: +83bps notional
| -53
| 40
|
DealerB
|
DealerAxed
| 9
| 97
| -157
| -365
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 220
|
Tighten HY exposure bands
|
C00050
|
CR9539
|
2025-06-02
|
Tightening
| 156
| 417
| 3.9
| 1.8
| 1,600,657,298
|
Healthcare:14.9;Utilities:22.1;Industrials:18.8;Financials:15.7;Materials:23.0;RealEstate:5.6
|
US:60.9;EU:10.8;APAC:11.9;EMEA:10.5;LATAM:5.9
|
AAA:15.0;B:49.2;BB:21.8;A:14.0
| 6.24
| 38.1
| 110
| 207
| 6.5
| 3
| 30
| 55
| 35
| false
| true
| true
| false
| 2.34
| 1.46
| 0.33
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -15
| 20
|
ECN2
|
DealerAxed
| 5
| 89
| -70
| 34
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 181
|
Escalate watchlist names
|
C00051
|
CR7491
|
2025-07-15
|
Stress
| 198
| 730
| 5.8
| -0.3
| 734,371,138
|
Industrials:8.0;RealEstate:20.9;Consumer:12.8;Financials:25.4;Utilities:32.9
|
US:60.9;EU:13.9;APAC:11.0;EMEA:7.7;LATAM:6.4
|
BB:9.1;A:44.1;CCC:15.5;AAA:31.4
| 5.32
| 61.9
| 162
| 326
| 15.7
| 2.5
| 20
| 45
| 20
| true
| true
| true
| false
| 0.72
| 0.18
| -0.08
|
Industrials:EW
|
Hedge
|
CDX_HY: +141bps notional
| 1
| 16
|
ECN2
|
Electronic
| 3
| 95
| 180
| 100
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 118
|
Rotate into defensive sectors
|
C00052
|
CR2090
|
2025-03-02
|
Calm
| 110
| 340
| 4.4
| 2.8
| 864,777,405
|
Utilities:27.0;Materials:9.3;Healthcare:23.9;Tech:22.9;Energy:16.9
|
US:66.7;EU:16.9;APAC:6.6;EMEA:7.8;LATAM:1.9
|
A:11.3;AAA:42.1;AA:29.7;BB:11.2;B:5.6
| 7.01
| 28.6
| 128
| 293
| 2.8
| 2.5
| 35
| 35
| 30
| false
| true
| false
| false
| 0.48
| -0.26
| 0.3
|
Tech:EW;Utilities:EW;Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -41
| -5
|
ECN1
|
DealerAxed
| 2
| 96
| 241
| -208
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 139
|
Escalate watchlist names
|
C00053
|
CR1975
|
2025-05-10
|
Tightening
| 96
| 465
| 5.2
| 0.8
| 2,278,268,789
|
Financials:19.7;Healthcare:11.3;Comm:15.2;Energy:19.8;Materials:15.3;Consumer:18.7
|
US:62.5;EU:17.6;APAC:13.5;EMEA:3.3;LATAM:3.0
|
BBB:13.0;AA:42.8;AAA:18.7;CCC:6.8;B:9.4;BB:9.3
| 1.97
| 53.1
| 138
| 300
| 7.2
| 2
| 30
| 45
| 30
| false
| true
| false
| false
| 1.56
| 0.77
| 0.24
| null |
Hedge
|
iTraxx_XOVER: +143bps notional
| -17
| 24
|
ECN2
|
DealerAxed
| 7
| 86
| -161
| 25
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 100
|
Tighten HY exposure bands
|
C00054
|
CR6836
|
2025-09-22
|
Calm
| 94
| 296
| 4.2
| 1.6
| 2,306,172,055
|
Financials:21.2;Healthcare:28.5;Consumer:17.2;Utilities:16.1;Energy:17.0
|
US:77.0;EU:7.2;APAC:7.6;EMEA:5.8;LATAM:2.2
|
A:26.6;CCC:8.1;B:21.4;BB:18.7;AAA:25.2
| 5.82
| 38
| 101
| 232
| 4.9
| 2.5
| 25
| 45
| 25
| true
| true
| true
| false
| 2.43
| 1.02
| -0.23
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 7
| 13
|
DealerA
|
All2All
| 6
| 94
| -18
| -404
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 174
|
Rotate into defensive sectors
|
C00055
|
CR0032
|
2025-03-04
|
Calm
| 114
| 317
| 4.4
| 2.2
| 1,026,205,338
|
Utilities:11.2;Energy:28.6;Comm:12.4;Industrials:26.3;Healthcare:21.6
|
US:60.2;EU:17.7;APAC:9.2;EMEA:6.5;LATAM:6.4
|
B:21.9;BBB:13.2;BB:8.1;AAA:38.2;CCC:18.6
| 3.26
| 55.5
| 247
| 496
| 15.6
| 4
| 35
| 45
| 25
| false
| true
| true
| true
| 1.66
| -0.03
| 0.54
|
RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 0
| 5
|
DealerA
|
DealerAxed
| 10
| 92
| 136
| 42
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 119
|
Rotate into defensive sectors
|
C00056
|
CR1451
|
2024-12-01
|
Recovery
| 159
| 478
| 4.6
| 1.4
| 1,500,568,834
|
RealEstate:37.2;Industrials:38.8;Utilities:24.0
|
US:68.5;EU:6.9;APAC:12.3;EMEA:4.9;LATAM:7.5
|
A:25.1;CCC:16.6;AAA:15.0;BBB:24.9;AA:12.0;B:6.4
| 3.57
| 48.9
| 148
| 467
| 2.1
| 3
| 25
| 45
| 30
| true
| true
| false
| false
| 1.31
| -0.24
| 0.02
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -10
| 15
|
ECN1
|
DealerAxed
| 6
| 92
| 61
| -49
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 239
|
Rotate into defensive sectors
|
C00057
|
CR2603
|
2025-08-25
|
Recovery
| 170
| 512
| 6.4
| 1.7
| 1,976,719,258
|
Comm:16.3;Consumer:18.6;Materials:8.7;Tech:17.2;RealEstate:23.1;Healthcare:16.1
|
US:63.4;EU:8.6;APAC:11.7;EMEA:10.8;LATAM:5.6
|
BB:8.7;CCC:9.4;B:8.2;A:14.7;BBB:31.9;AA:27.1
| 3.19
| 22.3
| 233
| 394
| 11.9
| 4
| 20
| 55
| 25
| true
| true
| true
| true
| 0.56
| 1.74
| 0.46
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -26
| 7
|
ECN2
|
DealerAxed
| 7
| 94
| 294
| -65
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 104
|
Defer adds pending macro print
|
C00058
|
CR5419
|
2024-08-29
|
Stress
| 172
| 727
| 6.5
| -1.3
| 2,622,913,341
|
Healthcare:26.2;Comm:32.5;Utilities:41.3
|
US:73.9;EU:5.7;APAC:13.0;EMEA:4.0;LATAM:3.3
|
BBB:36.1;B:15.7;AAA:22.5;A:25.7
| 5.56
| 46
| 288
| 314
| 22.8
| 4
| 35
| 35
| 30
| true
| true
| false
| true
| 1.5
| 0.92
| 0.36
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 14
| -8
|
DealerC
|
RFQ
| 10
| 88
| 154
| -245
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 168
|
Rotate into defensive sectors
|
C00059
|
CR7154
|
2024-03-23
|
Calm
| 103
| 345
| 3.6
| 2.8
| 1,146,517,998
|
Comm:14.8;Energy:16.2;Healthcare:23.1;RealEstate:20.5;Industrials:12.2;Tech:13.3
|
US:57.1;EU:18.6;APAC:9.4;EMEA:11.8;LATAM:3.1
|
AAA:18.9;B:4.3;BBB:23.1;BB:6.9;AA:31.8;A:15.1
| 5.6
| 64.3
| 177
| 305
| 14.8
| 2
| 35
| 35
| 20
| false
| true
| false
| false
| 1.98
| 0.63
| 0.06
|
Healthcare:EW;Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -32
| 29
|
DealerB
|
DealerAxed
| 10
| 90
| 206
| -46
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 170
|
Escalate watchlist names
|
C00060
|
CR6933
|
2025-05-16
|
Stress
| 192
| 786
| 6.2
| -0.3
| 188,911,316
|
Industrials:40.0;Healthcare:32.8;Financials:27.2
|
US:73.4;EU:9.1;APAC:11.4;EMEA:4.8;LATAM:1.3
|
AAA:28.3;A:25.8;CCC:21.4;B:24.5
| 5.72
| 39.6
| 183
| 679
| 7.9
| 3
| 20
| 35
| 20
| true
| true
| true
| false
| 2.43
| -0.26
| 0.43
|
Industrials:EW
|
Hedge
|
iTraxx_MAIN: +184bps notional
| -3
| 6
|
ECN1
|
All2All
| 10
| 91
| 174
| -293
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 165
|
Escalate watchlist names
|
C00061
|
CR9536
|
2024-09-20
|
Calm
| 75
| 378
| 3.6
| 2.6
| 1,756,588,905
|
RealEstate:6.4;Utilities:25.0;Financials:28.4;Industrials:22.6;Consumer:17.6
|
US:67.6;EU:12.6;APAC:6.1;EMEA:9.1;LATAM:4.6
|
BB:30.1;AA:11.8;CCC:18.4;A:16.6;B:23.1
| 3.29
| 35.9
| 273
| 460
| 7.3
| 3.5
| 20
| 55
| 35
| true
| true
| true
| true
| -0.27
| -0.05
| -0.22
|
Consumer:EW
|
Hedge
|
SingleName_CDS: +113bps notional
| 7
| -6
|
DealerA
|
RFQ
| 1
| 86
| -32
| -282
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 194
|
Escalate watchlist names
|
C00062
|
CR9888
|
2024-03-06
|
Recovery
| 173
| 559
| 6.3
| 0.8
| 1,459,776,858
|
Energy:26.1;Consumer:38.0;Financials:35.9
|
US:71.0;EU:5.9;APAC:13.6;EMEA:3.9;LATAM:5.6
|
B:41.5;CCC:16.6;A:10.8;AA:31.1
| 3.27
| 52.7
| 262
| 469
| 6.8
| 3.5
| 30
| 35
| 30
| true
| true
| true
| true
| 2.23
| 1.25
| -0.36
|
Energy:EW
|
Hedge
|
iTraxx_MAIN: +124bps notional
| -37
| -24
|
DealerA
|
All2All
| 5
| 91
| 161
| -116
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 167
|
Escalate watchlist names
|
C00063
|
CR2771
|
2024-01-30
|
Calm
| 94
| 362
| 3.8
| 2.7
| 1,408,311,512
|
Consumer:18.0;Financials:22.8;Energy:13.1;Materials:6.8;Tech:19.9;Industrials:19.3
|
US:62.4;EU:11.6;APAC:11.6;EMEA:8.0;LATAM:6.4
|
AAA:24.1;BBB:29.5;B:29.5;CCC:17.0
| 6.22
| 36
| 142
| 431
| 5.8
| 3
| 30
| 55
| 20
| false
| true
| true
| false
| 0.28
| 1.75
| 0.25
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -4
| 39
|
ECN2
|
RFQ
| 5
| 86
| 82
| -419
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 185
|
Tighten HY exposure bands
|
C00064
|
CR0496
|
2025-10-15
|
Stress
| 187
| 659
| 7.5
| -0.7
| 121,652,053
|
Financials:23.1;RealEstate:32.3;Industrials:31.1;Utilities:13.5
|
US:63.1;EU:10.9;APAC:15.4;EMEA:9.3;LATAM:1.3
|
B:21.1;AA:11.3;CCC:31.2;AAA:20.4;BBB:16.0
| 0.57
| 30.2
| 295
| 607
| 11.7
| 2.5
| 30
| 45
| 25
| true
| true
| true
| true
| 1.34
| 1.22
| 0.16
|
RealEstate:EW
|
Hedge
|
iTraxx_XOVER: +150bps notional
| -39
| -22
|
DealerB
|
Electronic
| 8
| 97
| 422
| -102
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 106
|
Defer adds pending macro print
|
C00065
|
CR5576
|
2024-01-25
|
Stress
| 180
| 820
| 6.8
| -1
| 364,292,907
|
Industrials:7.8;Financials:15.9;RealEstate:16.4;Utilities:17.8;Healthcare:24.6;Materials:17.6
|
US:64.6;EU:5.5;APAC:15.4;EMEA:9.9;LATAM:4.7
|
AA:27.9;BB:19.2;A:9.9;AAA:19.3;BBB:23.6
| 2.99
| 24.5
| 230
| 539
| 16.1
| 3
| 20
| 55
| 25
| true
| true
| false
| true
| 0.02
| -0.19
| 0.38
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -4
| 0
|
ECN2
|
DealerAxed
| 11
| 100
| 36
| -423
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 195
|
Defer adds pending macro print
|
C00066
|
CR8558
|
2024-05-09
|
Stress
| 141
| 593
| 5.9
| -1.7
| 1,504,638,119
|
Energy:26.3;Healthcare:11.9;Comm:16.4;Materials:17.3;Consumer:28.2
|
US:71.7;EU:6.7;APAC:7.6;EMEA:11.5;LATAM:2.5
|
CCC:8.1;AAA:22.0;BB:15.3;A:26.5;B:14.0;AA:14.3
| 6.05
| 27.3
| 273
| 491
| 16.6
| 2.5
| 35
| 35
| 25
| false
| true
| true
| true
| 1.35
| -0.04
| -0.35
|
Tech:EW;Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 6
| 6
|
DealerA
|
All2All
| 2
| 92
| 354
| -226
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 162
|
Reviewed by risk; hedges staggered
|
C00067
|
CR3845
|
2024-12-08
|
Recovery
| 174
| 479
| 5.2
| 0.6
| 1,937,164,528
|
Materials:39.4;Energy:33.2;Healthcare:27.3
|
US:66.9;EU:12.2;APAC:10.8;EMEA:6.2;LATAM:3.9
|
BB:6.0;CCC:6.2;AA:18.4;AAA:17.4;A:24.7;BBB:27.2
| 5.29
| 34.1
| 126
| 127
| 16.1
| 2.5
| 30
| 45
| 20
| true
| true
| false
| false
| 2.35
| -0.06
| 0.15
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 14
| 23
|
ECN2
|
All2All
| 2
| 85
| 377
| 164
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 188
|
Defer adds pending macro print
|
C00068
|
CR3652
|
2024-01-13
|
Tightening
| 113
| 457
| 4.1
| 1.2
| 2,079,255,075
|
Comm:12.8;Utilities:14.3;Healthcare:23.4;Tech:19.1;RealEstate:12.8;Materials:17.8
|
US:68.5;EU:12.9;APAC:9.4;EMEA:7.7;LATAM:1.4
|
AAA:58.3;B:11.8;CCC:12.2;BB:17.6
| 7.42
| 56
| 230
| 460
| 6.5
| 2
| 20
| 45
| 20
| true
| true
| true
| true
| 0.13
| 0.28
| -0.18
|
Industrials:EW;Comm:EW
|
Hedge
|
Treasury_Futures: +173bps notional
| -53
| 14
|
DealerA
|
All2All
| 6
| 99
| 56
| -184
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 226
|
Reviewed by risk; hedges staggered
|
C00069
|
CR9825
|
2024-01-27
|
Calm
| 119
| 282
| 4.1
| 2.3
| 2,174,564,944
|
Utilities:31.7;Materials:34.1;Energy:18.3;Comm:15.9
|
US:60.5;EU:16.3;APAC:16.0;EMEA:4.7;LATAM:2.6
|
A:28.5;B:27.3;CCC:15.7;AA:28.6
| 5.44
| 24.6
| 256
| 223
| 16
| 4
| 30
| 55
| 25
| true
| true
| true
| true
| 1.34
| 1.7
| 0.03
|
Materials:EW
|
Hedge
|
Treasury_Futures: +160bps notional
| 4
| 44
|
ECN2
|
Electronic
| 9
| 87
| 112
| 127
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 226
|
Escalate watchlist names
|
C00070
|
CR9917
|
2024-04-23
|
Calm
| 116
| 302
| 4
| 2.5
| 2,721,845,629
|
Consumer:15.5;Energy:18.3;Tech:19.9;Materials:25.0;Comm:21.4
|
US:54.6;EU:18.2;APAC:12.7;EMEA:10.5;LATAM:3.9
|
B:13.4;BBB:32.9;BB:4.8;CCC:10.1;AAA:15.6;A:23.2
| 2.82
| 38.8
| 117
| 198
| 13.8
| 2.5
| 25
| 35
| 25
| false
| true
| true
| false
| 1.64
| 0.6
| 0.46
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -55
| 11
|
ECN2
|
All2All
| 7
| 85
| 334
| -196
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 106
|
Reviewed by risk; hedges staggered
|
C00071
|
CR4574
|
2025-01-24
|
Calm
| 102
| 318
| 3.6
| 2.6
| 828,063,322
|
Financials:21.0;Energy:13.0;Materials:17.0;Comm:20.3;Consumer:11.6;Industrials:17.1
|
US:64.8;EU:7.9;APAC:14.0;EMEA:11.5;LATAM:1.8
|
CCC:12.7;AA:9.8;BB:23.7;B:9.4;A:24.6;AAA:19.7
| 7.2
| 35.8
| 268
| 124
| 14.9
| 3.5
| 25
| 35
| 35
| false
| true
| true
| true
| 0.06
| 0.43
| 0.01
|
Financials:EW
|
Hedge
|
Options_Payer: +138bps notional
| 5
| 28
|
ECN1
|
RFQ
| 4
| 92
| 303
| -13
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 95
|
Escalate watchlist names
|
C00072
|
CR1306
|
2025-08-01
|
Tightening
| 127
| 401
| 3.9
| 1.2
| 1,129,194,349
|
Comm:28.8;RealEstate:20.2;Tech:51.0
|
US:68.8;EU:8.1;APAC:10.7;EMEA:7.5;LATAM:4.9
|
BB:20.6;BBB:10.5;CCC:25.3;AA:18.3;AAA:25.3
| 1.71
| 31.9
| 234
| 261
| 18
| 3
| 20
| 55
| 20
| true
| true
| true
| true
| 1.87
| 1.13
| 0.36
|
Materials:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -58
| 0
|
ECN1
|
DealerAxed
| 6
| 89
| 249
| -106
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 113
|
Rotate into defensive sectors
|
C00073
|
CR9102
|
2024-04-21
|
Calm
| 120
| 384
| 3.4
| 2.3
| 784,416,133
|
Comm:30.0;Energy:43.4;Healthcare:26.6
|
US:68.8;EU:5.7;APAC:7.3;EMEA:11.6;LATAM:6.5
|
B:13.3;AA:13.0;A:17.8;BB:13.3;BBB:15.3;AAA:27.3
| 5.98
| 59.2
| 249
| 458
| 2.3
| 3.5
| 25
| 35
| 20
| true
| true
| true
| true
| 0.72
| 0.74
| 0.1
|
Consumer:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -33
| -23
|
ECN1
|
RFQ
| 6
| 91
| 159
| -414
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 118
|
Defer adds pending macro print
|
C00074
|
CR7243
|
2024-09-06
|
Calm
| 79
| 341
| 3.8
| 1.9
| 116,697,189
|
Healthcare:23.5;Energy:24.3;Comm:13.3;Industrials:17.0;Financials:21.9
|
US:65.0;EU:16.5;APAC:9.0;EMEA:3.1;LATAM:6.4
|
BB:31.8;A:19.4;B:28.4;BBB:20.3
| 2.46
| 61.3
| 102
| 308
| 2.7
| 2.5
| 20
| 35
| 35
| true
| true
| true
| false
| 0.4
| 1.23
| -0.38
|
Utilities:EW
|
Hedge
|
Options_Payer: +197bps notional
| -33
| 45
|
DealerA
|
Electronic
| 3
| 97
| 146
| 47
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 238
|
Defer adds pending macro print
|
C00075
|
CR8954
|
2025-05-07
|
Calm
| 103
| 304
| 3.9
| 1.9
| 360,627,482
|
Energy:31.5;Materials:22.6;Industrials:17.7;Utilities:18.5;RealEstate:9.7
|
US:73.1;EU:9.4;APAC:9.1;EMEA:5.4;LATAM:3.0
|
B:15.2;AAA:18.9;BB:42.9;BBB:22.9
| 6.33
| 60.5
| 138
| 303
| 4.5
| 4
| 30
| 35
| 35
| true
| true
| true
| false
| 1.17
| 0.21
| -0.27
|
RealEstate:EW;Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 6
| 40
|
DealerB
|
RFQ
| 8
| 95
| 223
| -213
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 203
|
Reviewed by risk; hedges staggered
|
C00076
|
CR5952
|
2025-09-18
|
Calm
| 106
| 294
| 4.2
| 1.8
| 709,023,797
|
Industrials:17.7;Consumer:61.1;Tech:21.1
|
US:65.4;EU:6.6;APAC:11.9;EMEA:11.6;LATAM:4.5
|
CCC:8.8;AA:22.9;BBB:14.7;A:20.5;BB:33.1
| 4.59
| 60.7
| 239
| 401
| 7
| 3
| 20
| 55
| 30
| true
| true
| true
| true
| 0.66
| 0.58
| -0.37
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 10
| 41
|
DealerB
|
Electronic
| 6
| 98
| -22
| 98
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 190
|
Escalate watchlist names
|
C00077
|
CR4722
|
2025-05-10
|
Calm
| 67
| 363
| 3.9
| 2.6
| 425,453,059
|
Energy:26.6;Consumer:31.0;Healthcare:18.1;Industrials:12.7;Comm:11.5
|
US:61.8;EU:9.3;APAC:14.1;EMEA:6.8;LATAM:8.0
|
BB:20.7;CCC:12.0;BBB:44.0;AA:23.4
| 6.49
| 41.4
| 129
| 508
| 14
| 3
| 20
| 45
| 25
| true
| true
| true
| false
| 2.45
| 1.53
| -0.1
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -23
| 43
|
DealerB
|
DealerAxed
| 9
| 100
| -168
| -227
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 197
|
Defer adds pending macro print
|
C00078
|
CR0687
|
2025-11-23
|
Tightening
| 98
| 426
| 4.6
| 0.8
| 2,580,066,591
|
RealEstate:18.0;Tech:20.4;Industrials:9.4;Materials:38.1;Energy:14.2
|
US:63.8;EU:19.5;APAC:7.9;EMEA:6.1;LATAM:2.8
|
BBB:33.2;AAA:30.1;AA:14.2;CCC:13.4;BB:9.2
| 7.23
| 32.4
| 122
| 217
| 6
| 3.5
| 30
| 55
| 20
| true
| true
| true
| false
| -0.35
| 1.08
| 0.09
|
RealEstate:EW;Tech:EW;Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -31
| 37
|
ECN1
|
DealerAxed
| 1
| 90
| -135
| -242
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 221
|
Reviewed by risk; hedges staggered
|
C00079
|
CR0733
|
2024-05-14
|
Stress
| 234
| 677
| 7.7
| 0.7
| 1,485,519,447
|
Financials:32.8;RealEstate:40.5;Comm:26.7
|
US:63.8;EU:17.2;APAC:6.3;EMEA:10.3;LATAM:2.2
|
A:21.9;BBB:17.6;BB:15.6;AAA:21.2;B:9.5;CCC:14.3
| 6.37
| 45.6
| 282
| 567
| 16
| 3
| 25
| 35
| 20
| true
| true
| true
| true
| 0.49
| 0.19
| -0.1
|
Utilities:EW
|
Hedge
|
Treasury_Futures: +169bps notional
| 17
| 26
|
DealerC
|
DealerAxed
| 9
| 89
| -102
| -203
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 219
|
Escalate watchlist names
|
C00080
|
CR6076
|
2025-05-24
|
Tightening
| 100
| 504
| 4.9
| 0.7
| 2,864,479,208
|
Energy:19.6;Consumer:15.7;Utilities:23.9;Financials:11.9;Comm:28.9
|
US:59.8;EU:13.7;APAC:8.0;EMEA:12.3;LATAM:6.2
|
BBB:19.1;AA:23.8;BB:13.6;AAA:19.7;B:10.1;CCC:13.6
| 4.06
| 55.9
| 134
| 317
| 17.6
| 4
| 25
| 55
| 30
| true
| true
| true
| false
| 1.89
| 1.29
| 0.42
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -52
| -25
|
DealerB
|
Electronic
| 4
| 90
| 320
| -219
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 124
|
Reviewed by risk; hedges staggered
|
C00081
|
CR0677
|
2025-02-12
|
Stress
| 159
| 568
| 7.6
| -1.8
| 2,761,319,376
|
Tech:30.5;RealEstate:33.8;Materials:35.7
|
US:61.6;EU:12.9;APAC:14.0;EMEA:3.5;LATAM:8.1
|
A:23.4;AAA:38.6;BB:13.4;B:9.2;CCC:15.4
| 3.99
| 20.8
| 131
| 273
| 17.7
| 4
| 30
| 45
| 30
| true
| true
| true
| false
| -0.47
| 1.03
| 0.43
|
Financials:EW;Comm:EW;Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -57
| -5
|
DealerB
|
All2All
| 1
| 91
| 345
| -342
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 259
|
Reviewed by risk; hedges staggered
|
C00082
|
CR0563
|
2025-10-29
|
Calm
| 69
| 318
| 3.5
| 2.5
| 1,748,151,950
|
Utilities:23.0;Materials:17.4;Energy:20.9;Tech:6.7;RealEstate:17.2;Industrials:14.8
|
US:61.5;EU:11.7;APAC:9.3;EMEA:10.4;LATAM:7.0
|
A:8.5;BBB:16.9;B:30.6;AAA:19.3;CCC:11.1;BB:13.5
| 2.22
| 53.7
| 139
| 476
| 12.6
| 4
| 35
| 35
| 35
| false
| true
| true
| false
| -0.16
| -0.1
| -0.14
|
RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 3
| -21
|
DealerA
|
All2All
| 11
| 100
| 53
| -401
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 185
|
Tighten HY exposure bands
|
C00083
|
CR9648
|
2025-09-23
|
Calm
| 98
| 362
| 3.7
| 2.5
| 190,063,324
|
Industrials:7.5;RealEstate:26.6;Consumer:30.0;Energy:19.3;Utilities:16.6
|
US:67.9;EU:16.1;APAC:9.9;EMEA:4.4;LATAM:1.7
|
B:27.3;AAA:17.1;BBB:17.7;A:21.1;AA:16.9
| 0.42
| 43
| 193
| 236
| 10.4
| 4
| 30
| 45
| 25
| false
| true
| true
| false
| 1.01
| 1.41
| 0.33
|
Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -12
| 35
|
DealerB
|
RFQ
| 4
| 85
| 414
| -219
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 98
|
Escalate watchlist names
|
C00084
|
CR8717
|
2025-07-30
|
Recovery
| 149
| 432
| 6.1
| 1.7
| 1,721,277,250
|
Energy:23.2;Utilities:27.0;Industrials:23.9;Healthcare:25.9
|
US:53.8;EU:20.4;APAC:13.1;EMEA:6.9;LATAM:5.8
|
CCC:26.4;BB:19.0;AAA:18.4;B:26.6;AA:9.6
| 5.69
| 27.3
| 163
| 275
| 16.7
| 2.5
| 30
| 45
| 35
| false
| true
| true
| false
| -0.5
| 1.31
| 0.31
| null |
Hedge
|
Options_Payer: +157bps notional
| -53
| 20
|
DealerA
|
RFQ
| 4
| 94
| 166
| -406
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 154
|
Tighten HY exposure bands
|
C00085
|
CR7279
|
2024-09-12
|
Tightening
| 101
| 519
| 4.2
| 1.9
| 1,890,287,633
|
Tech:12.5;RealEstate:38.3;Industrials:24.4;Utilities:24.9
|
US:66.0;EU:12.5;APAC:13.7;EMEA:4.2;LATAM:3.6
|
BBB:32.0;A:8.3;BB:39.7;AA:20.1
| 1.76
| 56.8
| 80
| 412
| 6.4
| 4
| 35
| 35
| 35
| true
| true
| true
| false
| 0.24
| 0.61
| -0.01
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -41
| 1
|
DealerA
|
DealerAxed
| 0
| 90
| 264
| -297
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 130
|
Escalate watchlist names
|
C00086
|
CR0584
|
2025-01-11
|
Stress
| 147
| 770
| 8.3
| -0.5
| 439,033,907
|
Utilities:36.2;Energy:41.4;RealEstate:22.3
|
US:59.7;EU:17.2;APAC:10.5;EMEA:9.9;LATAM:2.6
|
A:13.1;AA:45.4;B:29.4;CCC:12.0
| 6.05
| 32.7
| 364
| 469
| 5.7
| 2
| 25
| 45
| 25
| true
| true
| true
| true
| 1.13
| 0.23
| 0.56
|
Utilities:EW;Comm:EW;Industrials:EW
|
Hedge
|
Options_Payer: +105bps notional
| -56
| 4
|
ECN1
|
Electronic
| 0
| 91
| 109
| -396
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 234
|
Reviewed by risk; hedges staggered
|
C00087
|
CR3562
|
2024-11-05
|
Tightening
| 146
| 373
| 4.4
| 0.7
| 2,993,667,729
|
Utilities:9.8;Healthcare:15.4;Industrials:17.5;Energy:23.3;Tech:34.0
|
US:65.9;EU:10.7;APAC:12.1;EMEA:6.0;LATAM:5.3
|
CCC:26.4;B:12.1;AAA:24.3;BBB:16.1;BB:11.6;AA:9.4
| 4.3
| 46
| 135
| 513
| 6.6
| 2
| 30
| 45
| 30
| true
| true
| true
| false
| 1
| 1.28
| 0.23
|
Industrials:EW;Comm:EW
|
Hedge
|
iTraxx_MAIN: +115bps notional
| -29
| 5
|
ECN2
|
Electronic
| 8
| 99
| 29
| -91
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 108
|
Reviewed by risk; hedges staggered
|
C00088
|
CR5420
|
2025-10-23
|
Calm
| 116
| 390
| 4
| 2.6
| 2,896,616,940
|
Healthcare:34.5;Financials:25.9;RealEstate:9.7;Industrials:29.8
|
US:74.3;EU:8.6;APAC:8.0;EMEA:7.3;LATAM:1.8
|
A:15.9;AA:11.3;AAA:11.6;CCC:16.3;BBB:20.8;B:24.2
| 3.97
| 25.6
| 212
| 381
| 10.4
| 4
| 35
| 55
| 30
| false
| true
| true
| true
| 1.96
| 0.73
| -0.2
| null |
Hedge
|
CDX_IG: +128bps notional
| -7
| 1
|
ECN2
|
Electronic
| 0
| 85
| 227
| -283
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 111
|
Escalate watchlist names
|
C00089
|
CR7774
|
2024-02-24
|
Calm
| 93
| 334
| 3.7
| 2.1
| 2,489,894,238
|
RealEstate:16.1;Consumer:27.5;Industrials:31.8;Comm:24.6
|
US:62.3;EU:14.2;APAC:11.4;EMEA:11.5;LATAM:0.6
|
A:19.9;CCC:17.6;AA:31.9;BB:18.5;B:12.1
| 7.08
| 30.2
| 160
| 355
| 7.5
| 3.5
| 20
| 35
| 30
| true
| true
| true
| false
| 1.11
| 0.29
| -0.08
|
Materials:EW;Consumer:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -17
| -25
|
DealerC
|
Electronic
| 3
| 100
| 179
| -40
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 201
|
Rotate into defensive sectors
|
C00090
|
CR5340
|
2024-12-23
|
Recovery
| 131
| 536
| 6.3
| 0.3
| 336,910,624
|
Consumer:24.5;Comm:18.5;Healthcare:12.5;Energy:22.2;Utilities:10.0;Industrials:12.3
|
US:68.5;EU:11.7;APAC:8.0;EMEA:6.2;LATAM:5.6
|
AAA:8.7;CCC:22.1;AA:13.4;BB:12.6;A:16.4;BBB:26.8
| 6.84
| 47.5
| 81
| 224
| 8
| 2.5
| 25
| 55
| 30
| false
| true
| true
| false
| 1.28
| 1.29
| -0.14
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -45
| 10
|
DealerB
|
DealerAxed
| 2
| 92
| 311
| 58
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 107
|
Reviewed by risk; hedges staggered
|
C00091
|
CR2460
|
2025-03-23
|
Tightening
| 116
| 511
| 4.2
| 1.5
| 174,836,363
|
Industrials:25.1;Consumer:21.1;Financials:13.2;Healthcare:40.6
|
US:64.7;EU:14.1;APAC:5.7;EMEA:9.6;LATAM:5.9
|
BB:26.4;BBB:21.8;AA:18.7;B:8.5;AAA:24.7
| 0.73
| 47.1
| 229
| 425
| 4.4
| 3.5
| 35
| 55
| 35
| true
| true
| false
| true
| 0.49
| 0.72
| 0.59
|
Utilities:EW;Healthcare:EW;Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -60
| 44
|
ECN2
|
DealerAxed
| 3
| 88
| 71
| -56
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 189
|
Escalate watchlist names
|
C00092
|
CR9362
|
2024-02-03
|
Recovery
| 110
| 546
| 5.5
| -0.1
| 2,955,178,772
|
Materials:22.6;Financials:15.9;RealEstate:24.8;Industrials:36.7
|
US:68.0;EU:14.1;APAC:6.6;EMEA:10.1;LATAM:1.3
|
BBB:19.9;AAA:29.9;B:7.4;CCC:10.7;A:32.1
| 1.84
| 25.5
| 189
| 502
| 11.6
| 3
| 20
| 45
| 20
| true
| true
| false
| false
| 0.94
| 1.39
| 0.43
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -25
| 32
|
DealerC
|
DealerAxed
| 0
| 98
| 378
| 5
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 240
|
Reviewed by risk; hedges staggered
|
C00093
|
CR9182
|
2024-07-17
|
Calm
| 107
| 383
| 3.4
| 1.7
| 629,312,285
|
Tech:35.8;Energy:23.4;Healthcare:30.0;Consumer:10.8
|
US:76.2;EU:9.5;APAC:7.2;EMEA:6.9;LATAM:0.3
|
BB:18.8;A:14.3;AA:15.8;BBB:29.6;CCC:7.0;B:14.5
| 1.71
| 21.7
| 197
| 181
| 14.9
| 4
| 30
| 35
| 20
| true
| true
| true
| false
| 1.03
| 0.74
| 0.28
|
RealEstate:EW;Financials:EW
|
Hedge
|
Options_Payer: +67bps notional
| 14
| 9
|
ECN1
|
All2All
| 2
| 100
| 3
| -392
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 199
|
Escalate watchlist names
|
C00094
|
CR1334
|
2024-03-23
|
Stress
| 141
| 801
| 7.1
| -0.4
| 1,889,458,764
|
Industrials:17.5;Consumer:22.3;Healthcare:11.0;Financials:20.1;Tech:19.3;Comm:9.7
|
US:66.5;EU:19.5;APAC:8.6;EMEA:3.6;LATAM:1.8
|
A:29.6;AAA:38.7;CCC:19.9;B:11.8
| 6
| 30
| 284
| 449
| 13.5
| 2
| 35
| 45
| 30
| false
| true
| true
| true
| 1.26
| -0.28
| 0.04
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -55
| 34
|
DealerC
|
RFQ
| 3
| 95
| -128
| 110
|
VAR>budget
|
PauseAdds
|
Portfolio VAR above budget
| 156
|
Tighten HY exposure bands
|
C00095
|
CR1551
|
2024-09-23
|
Recovery
| 166
| 427
| 5.6
| -0.2
| 395,823,360
|
Energy:29.6;Financials:45.1;RealEstate:25.4
|
US:69.3;EU:14.8;APAC:5.2;EMEA:6.7;LATAM:4.0
|
CCC:10.1;A:21.4;AAA:22.1;BB:10.1;AA:36.4
| 0.72
| 44.6
| 238
| 153
| 9.4
| 3.5
| 25
| 55
| 20
| true
| true
| true
| true
| 0.7
| 0.53
| -0.02
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -13
| 43
|
DealerB
|
All2All
| 2
| 98
| -67
| -442
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 188
|
Reviewed by risk; hedges staggered
|
C00096
|
CR0804
|
2024-02-05
|
Tightening
| 90
| 449
| 4.1
| 1.4
| 1,884,393,024
|
Healthcare:14.4;Tech:7.2;Energy:19.7;Consumer:18.9;Comm:19.7;RealEstate:20.2
|
US:67.6;EU:17.5;APAC:9.6;EMEA:4.8;LATAM:0.4
|
BBB:38.3;AA:11.1;A:12.7;BB:21.7;CCC:16.2
| 6.32
| 48.9
| 144
| 285
| 17.6
| 3
| 30
| 35
| 25
| false
| true
| true
| false
| 0.14
| 1.53
| -0.2
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 6
| -1
|
ECN2
|
RFQ
| 10
| 98
| 247
| 61
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 240
|
Defer adds pending macro print
|
C00097
|
CR9996
|
2024-05-16
|
Calm
| 111
| 335
| 4.2
| 1.9
| 445,611,717
|
Financials:22.8;Healthcare:20.4;Tech:13.2;Materials:15.1;Energy:28.5
|
US:73.0;EU:15.0;APAC:7.8;EMEA:3.8;LATAM:0.5
|
BBB:25.0;AAA:17.9;BB:32.7;A:24.3
| 5.71
| 49
| 108
| 198
| 8.5
| 3
| 25
| 45
| 25
| true
| true
| true
| false
| 0.71
| 1.42
| -0.36
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -47
| -5
|
DealerC
|
RFQ
| 12
| 96
| 177
| -135
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 156
|
Tighten HY exposure bands
|
C00098
|
CR9734
|
2024-04-05
|
Stress
| 229
| 763
| 5.7
| -0
| 530,629,719
|
Energy:21.0;Industrials:20.8;Consumer:11.7;Healthcare:25.0;RealEstate:21.5
|
US:73.2;EU:7.5;APAC:13.0;EMEA:5.9;LATAM:0.4
|
AA:22.2;BB:49.3;BBB:11.1;B:17.4
| 6.03
| 49.3
| 140
| 432
| 20
| 3.5
| 20
| 55
| 35
| true
| true
| true
| false
| 1.3
| 1.78
| -0.27
|
RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -34
| 35
|
DealerC
|
RFQ
| 0
| 86
| -137
| -110
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 259
|
Defer adds pending macro print
|
C00099
|
CR2544
|
2025-04-20
|
Tightening
| 156
| 450
| 4.1
| 0.7
| 2,172,017,627
|
Consumer:23.5;Comm:14.0;Tech:21.7;Energy:21.9;Utilities:12.9;Financials:6.1
|
US:61.9;EU:17.2;APAC:8.7;EMEA:10.5;LATAM:1.7
|
AAA:28.1;BBB:16.4;A:32.4;BB:5.8;B:17.3
| 1.9
| 56.8
| 88
| 269
| 5.7
| 3.5
| 20
| 55
| 25
| true
| true
| false
| false
| 0.69
| 0.41
| 0.02
|
Consumer:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -46
| 7
|
ECN1
|
All2All
| 9
| 98
| 120
| 7
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 233
|
Escalate watchlist names
|
C00100
|
CR3775
|
2024-07-22
|
Tightening
| 100
| 471
| 4.4
| 1.3
| 1,520,824,575
|
Industrials:23.8;Materials:18.1;Consumer:14.7;Energy:43.4
|
US:56.6;EU:21.3;APAC:5.5;EMEA:11.8;LATAM:4.8
|
BBB:13.6;A:25.5;AAA:22.0;BB:30.4;AA:8.6
| 1.83
| 23.2
| 191
| 121
| 15.9
| 2.5
| 20
| 45
| 35
| true
| true
| false
| false
| -0.4
| 0.87
| 0.28
|
Comm:EW
|
Hedge
|
SingleName_CDS: +151bps notional
| 2
| -24
|
DealerC
|
DealerAxed
| 1
| 86
| 148
| -429
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 249
|
Reviewed by risk; hedges staggered
|
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