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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C00101
|
CR2070
|
2025-10-09
|
Recovery
| 137
| 604
| 6
| 1.8
| 1,999,312,319
|
Healthcare:21.6;Tech:21.6;Energy:24.3;Utilities:16.4;Comm:16.2
|
US:62.0;EU:11.7;APAC:11.3;EMEA:9.8;LATAM:5.2
|
AA:30.1;CCC:16.2;B:28.2;AAA:10.8;A:14.7
| 4.1
| 43.4
| 102
| 223
| 8.8
| 3.5
| 25
| 55
| 35
| false
| true
| true
| false
| 2.26
| 0.59
| -0.22
|
Healthcare:EW;Financials:EW
|
Hedge
|
Treasury_Futures: +158bps notional
| -24
| 37
|
ECN2
|
All2All
| 5
| 97
| 237
| -360
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 104
|
Tighten HY exposure bands
|
C00102
|
CR6831
|
2025-04-04
|
Calm
| 99
| 412
| 3.7
| 2.8
| 415,654,977
|
Healthcare:17.9;Financials:34.6;Consumer:47.5
|
US:70.0;EU:12.5;APAC:13.4;EMEA:2.9;LATAM:1.3
|
CCC:30.2;AAA:27.8;BBB:12.4;BB:29.6
| 6.7
| 63.8
| 221
| 306
| 11.5
| 2
| 30
| 45
| 35
| true
| true
| true
| true
| 0.06
| 0.89
| 0.12
|
RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 17
| -24
|
ECN2
|
All2All
| 10
| 96
| 105
| 49
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 156
|
Defer adds pending macro print
|
C00103
|
CR7016
|
2024-10-10
|
Stress
| 244
| 840
| 7.6
| -1.2
| 467,600,653
|
RealEstate:24.6;Financials:17.7;Consumer:24.1;Tech:6.2;Comm:16.1;Materials:11.4
|
US:61.0;EU:12.7;APAC:12.0;EMEA:8.5;LATAM:5.7
|
AA:40.5;BBB:28.0;CCC:2.6;AAA:18.7;BB:10.3
| 3.05
| 28.7
| 201
| 460
| 17.7
| 3
| 30
| 35
| 25
| false
| true
| false
| true
| 1.3
| 0.75
| 0.04
|
Energy:EW;Materials:EW
|
Hedge
|
iTraxx_MAIN: +131bps notional
| -18
| 25
|
ECN1
|
DealerAxed
| 3
| 99
| 289
| 144
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 106
|
Tighten HY exposure bands
|
C00104
|
CR7378
|
2024-04-07
|
Stress
| 144
| 662
| 5.7
| -0.8
| 1,710,291,126
|
Healthcare:23.1;Industrials:9.8;Utilities:23.5;Energy:17.7;Financials:26.0
|
US:70.9;EU:6.9;APAC:10.7;EMEA:10.6;LATAM:0.9
|
A:13.5;AA:29.9;BB:30.9;AAA:25.7
| 3.71
| 42.8
| 171
| 339
| 8.3
| 2
| 30
| 45
| 25
| false
| true
| true
| false
| 0.87
| 0.12
| 0.14
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -15
| -16
|
DealerA
|
DealerAxed
| 2
| 93
| 75
| 86
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 145
|
Tighten HY exposure bands
|
C00105
|
CR0106
|
2024-06-12
|
Calm
| 109
| 398
| 3.4
| 2.9
| 569,375,759
|
Financials:37.1;RealEstate:30.4;Industrials:32.4
|
US:65.4;EU:12.9;APAC:10.9;EMEA:5.0;LATAM:5.9
|
AA:28.6;AAA:30.7;BBB:33.2;BB:7.4
| 5.64
| 56.1
| 253
| 378
| 9
| 3.5
| 30
| 45
| 35
| true
| true
| false
| true
| 1.97
| -0.26
| -0.02
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -29
| 13
|
DealerC
|
RFQ
| 9
| 93
| 415
| 108
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 143
|
Rotate into defensive sectors
|
C00106
|
CR0783
|
2025-08-11
|
Stress
| 186
| 803
| 6.4
| 0.7
| 2,955,233,019
|
Healthcare:15.8;Consumer:6.0;Financials:23.2;Utilities:15.3;RealEstate:18.3;Comm:21.4
|
US:66.6;EU:11.2;APAC:7.6;EMEA:7.5;LATAM:7.2
|
CCC:8.6;B:22.7;AA:39.9;AAA:28.8
| 1.35
| 62.5
| 334
| 543
| 14.3
| 3.5
| 30
| 55
| 25
| false
| true
| true
| true
| 1.62
| 0.63
| 0.6
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 14
| 23
|
DealerB
|
Electronic
| 1
| 87
| 314
| -26
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 190
|
Escalate watchlist names
|
C00107
|
CR6267
|
2025-05-03
|
Calm
| 96
| 380
| 4.1
| 2.2
| 532,984,552
|
Healthcare:31.5;Comm:23.3;Materials:45.2
|
US:59.7;EU:15.7;APAC:11.7;EMEA:6.7;LATAM:6.2
|
AA:18.7;CCC:9.4;BBB:25.6;BB:6.3;A:31.7;B:8.4
| 4.02
| 32.4
| 120
| 167
| 7.5
| 2
| 35
| 35
| 25
| true
| true
| false
| false
| 1.1
| 0.27
| 0.18
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -25
| -4
|
DealerC
|
DealerAxed
| 0
| 85
| 114
| -194
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 240
|
Escalate watchlist names
|
C00108
|
CR5817
|
2024-09-10
|
Tightening
| 120
| 369
| 4.6
| 0.6
| 191,449,831
|
Materials:10.3;Energy:18.6;Financials:17.7;Comm:18.6;Tech:34.8
|
US:64.3;EU:9.9;APAC:13.2;EMEA:7.7;LATAM:4.8
|
B:25.6;BB:15.3;CCC:25.0;A:23.2;AA:10.9
| 4.63
| 63.2
| 226
| 302
| 14.6
| 2.5
| 35
| 45
| 25
| false
| true
| true
| true
| 1.94
| 1.23
| -0.13
|
Tech:EW
|
Hedge
|
iTraxx_MAIN: +194bps notional
| -36
| -4
|
DealerC
|
All2All
| 8
| 93
| 74
| 43
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 257
|
Escalate watchlist names
|
C00109
|
CR7360
|
2025-07-01
|
Tightening
| 147
| 474
| 4.6
| 1.4
| 932,678,652
|
Energy:31.2;Consumer:16.8;Tech:21.9;Utilities:8.2;Healthcare:21.8
|
US:71.9;EU:14.2;APAC:9.1;EMEA:4.5;LATAM:0.3
|
B:28.2;BB:23.4;AAA:30.7;CCC:17.7
| 4.29
| 53.1
| 259
| 190
| 13.1
| 3
| 20
| 35
| 25
| true
| true
| true
| true
| -0.33
| 0.99
| 0.14
|
Tech:EW
|
Hedge
|
SingleName_CDS: +151bps notional
| -40
| -24
|
DealerA
|
DealerAxed
| 0
| 97
| 64
| -329
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 237
|
Rotate into defensive sectors
|
C00110
|
CR0825
|
2024-03-05
|
Recovery
| 137
| 624
| 5.7
| -0.4
| 186,706,670
|
Comm:27.7;RealEstate:21.6;Energy:39.7;Materials:10.9
|
US:63.6;EU:8.3;APAC:14.6;EMEA:12.4;LATAM:1.1
|
BB:45.1;B:15.8;BBB:10.3;AAA:28.8
| 4.6
| 38.2
| 83
| 353
| 7.9
| 3
| 35
| 45
| 35
| true
| true
| true
| false
| 2.24
| -0.16
| 0.15
|
Consumer:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -56
| 11
|
ECN2
|
Electronic
| 0
| 97
| 227
| 89
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 252
|
Rotate into defensive sectors
|
C00111
|
CR8124
|
2024-11-18
|
Recovery
| 106
| 590
| 5.7
| 0.4
| 2,681,282,358
|
Energy:26.0;Healthcare:33.3;Industrials:40.7
|
US:68.2;EU:15.3;APAC:13.2;EMEA:2.9;LATAM:0.4
|
BBB:8.0;B:31.9;CCC:32.0;A:28.1
| 1.74
| 22.9
| 245
| 205
| 2.6
| 2
| 35
| 35
| 35
| true
| true
| true
| true
| -0.47
| -0.13
| -0.21
|
Tech:EW;Utilities:EW
|
Hedge
|
Options_Payer: +114bps notional
| -10
| 16
|
ECN1
|
All2All
| 9
| 97
| 119
| -85
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 186
|
Reviewed by risk; hedges staggered
|
C00112
|
CR0902
|
2024-06-21
|
Tightening
| 106
| 484
| 4.5
| 1.4
| 2,938,730,526
|
Industrials:21.2;Energy:19.1;Financials:24.6;Tech:9.2;Consumer:26.0
|
US:67.1;EU:10.8;APAC:9.1;EMEA:5.3;LATAM:7.8
|
A:28.6;AA:28.9;BB:21.1;BBB:21.3
| 6.57
| 34.7
| 224
| 494
| 7.4
| 3.5
| 30
| 35
| 25
| false
| true
| false
| true
| 0.33
| 0.99
| 0.37
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 18
| -9
|
DealerB
|
Electronic
| 4
| 98
| 34
| -187
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 156
|
Defer adds pending macro print
|
C00113
|
CR7628
|
2024-11-02
|
Stress
| 176
| 553
| 7.4
| -0.2
| 1,507,182,523
|
Energy:45.2;Industrials:30.1;Comm:24.7
|
US:69.9;EU:7.9;APAC:10.8;EMEA:7.0;LATAM:4.5
|
AAA:21.4;CCC:10.5;A:12.6;AA:37.7;BB:17.8
| 1.51
| 52.1
| 255
| 708
| 7.6
| 3.5
| 25
| 35
| 25
| true
| true
| true
| true
| 2.31
| 0.21
| -0.07
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -18
| 16
|
ECN1
|
DealerAxed
| 8
| 88
| 56
| 153
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 234
|
Tighten HY exposure bands
|
C00114
|
CR3524
|
2024-01-26
|
Calm
| 68
| 394
| 3.9
| 2.5
| 359,004,249
|
Materials:31.6;Consumer:22.2;Energy:31.7;RealEstate:14.5
|
US:65.5;EU:7.1;APAC:14.8;EMEA:4.8;LATAM:7.9
|
B:5.0;CCC:19.5;AAA:19.9;AA:23.7;BB:11.2;BBB:20.7
| 6.14
| 57.3
| 95
| 259
| 11
| 3.5
| 35
| 35
| 30
| false
| true
| true
| false
| 0.18
| 1.31
| 0.48
|
Comm:EW
|
Hedge
|
iTraxx_MAIN: +170bps notional
| 0
| -20
|
ECN1
|
All2All
| 0
| 89
| 170
| 78
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 155
|
Reviewed by risk; hedges staggered
|
C00115
|
CR6298
|
2024-07-01
|
Tightening
| 125
| 478
| 5.1
| 0.8
| 1,694,977,776
|
Tech:16.6;Comm:17.2;RealEstate:13.5;Materials:24.1;Utilities:23.3;Consumer:5.3
|
US:70.9;EU:6.2;APAC:7.3;EMEA:8.0;LATAM:7.6
|
A:25.9;AA:24.1;BB:32.9;CCC:6.8;BBB:10.3
| 5.01
| 62.8
| 190
| 151
| 10.7
| 4
| 25
| 55
| 30
| false
| true
| true
| false
| 1.83
| 0.16
| 0.22
|
Consumer:EW;Tech:EW;RealEstate:EW
|
Hedge
|
Treasury_Futures: +108bps notional
| 0
| -15
|
DealerB
|
Electronic
| 2
| 96
| -157
| 127
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 174
|
Rotate into defensive sectors
|
C00116
|
CR3431
|
2025-04-14
|
Recovery
| 133
| 586
| 4.9
| 0.3
| 2,738,467,377
|
Healthcare:19.0;Consumer:20.5;RealEstate:60.5
|
US:57.0;EU:22.3;APAC:11.7;EMEA:4.1;LATAM:5.0
|
A:9.9;BBB:24.8;CCC:38.8;AAA:26.5
| 6.69
| 25.9
| 111
| 211
| 8.1
| 4
| 20
| 35
| 35
| true
| true
| true
| false
| 1.79
| 0.48
| -0.15
| null |
Hedge
|
iTraxx_XOVER: +145bps notional
| -2
| 0
|
ECN1
|
All2All
| 3
| 96
| 234
| 80
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 233
|
Tighten HY exposure bands
|
C00117
|
CR8450
|
2024-09-23
|
Calm
| 105
| 282
| 3.6
| 3
| 1,970,253,931
|
Materials:20.6;Comm:28.2;Financials:6.0;Utilities:17.7;Industrials:27.5
|
US:68.4;EU:11.9;APAC:10.1;EMEA:3.8;LATAM:5.8
|
AA:25.0;A:27.8;BB:16.6;AAA:30.5
| 2.66
| 59.1
| 237
| 333
| 6.5
| 2.5
| 35
| 35
| 20
| false
| true
| false
| true
| 0.49
| -0.28
| 0.25
|
Utilities:EW;Healthcare:EW;Comm:EW
|
Hedge
|
iTraxx_MAIN: +71bps notional
| 13
| 36
|
DealerB
|
DealerAxed
| 12
| 99
| -147
| 124
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 165
|
Rotate into defensive sectors
|
C00118
|
CR3404
|
2025-05-05
|
Recovery
| 116
| 601
| 5.1
| 1.3
| 1,898,899,034
|
Utilities:30.1;Healthcare:23.8;Financials:14.7;Energy:31.3
|
US:63.8;EU:16.0;APAC:9.9;EMEA:10.2;LATAM:0.0
|
AAA:20.9;CCC:9.8;BB:24.9;B:9.7;A:17.1;AA:17.5
| 7.1
| 51.8
| 185
| 156
| 8.3
| 3
| 35
| 45
| 35
| false
| true
| true
| false
| 0.92
| -0.2
| -0.25
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -35
| 4
|
DealerA
|
Electronic
| 8
| 91
| -179
| -413
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 151
|
Tighten HY exposure bands
|
C00119
|
CR2245
|
2025-09-22
|
Calm
| 112
| 311
| 4
| 2.9
| 179,487,056
|
Financials:15.8;Consumer:33.4;Tech:20.4;Energy:30.5
|
US:71.2;EU:8.6;APAC:9.7;EMEA:6.5;LATAM:4.0
|
B:19.0;BB:17.0;AAA:21.1;CCC:21.9;A:21.0
| 7.03
| 34.3
| 259
| 503
| 17.1
| 2.5
| 20
| 35
| 25
| true
| true
| true
| true
| 1.67
| 0.29
| -0.07
| null |
Hedge
|
SingleName_CDS: +69bps notional
| -16
| -6
|
ECN1
|
All2All
| 7
| 100
| 39
| -137
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 260
|
Tighten HY exposure bands
|
C00120
|
CR7798
|
2024-01-14
|
Tightening
| 116
| 378
| 4.2
| 1
| 1,756,490,500
|
Consumer:32.5;Healthcare:44.8;Industrials:22.7
|
US:63.7;EU:11.6;APAC:11.0;EMEA:7.6;LATAM:6.1
|
AA:10.7;A:19.5;B:31.6;CCC:20.5;AAA:17.8
| 4.03
| 25.1
| 127
| 207
| 7.5
| 3.5
| 20
| 55
| 30
| true
| true
| true
| false
| 2.16
| 0.31
| 0.15
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -50
| 19
|
ECN1
|
Electronic
| 12
| 86
| 321
| -172
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 99
|
Tighten HY exposure bands
|
C00121
|
CR3424
|
2024-10-27
|
Calm
| 70
| 412
| 3.8
| 2.6
| 250,164,340
|
Materials:8.8;Utilities:28.4;Consumer:10.7;Financials:17.7;Tech:7.0;Energy:27.4
|
US:65.5;EU:13.2;APAC:14.4;EMEA:6.7;LATAM:0.2
|
AA:34.0;BB:7.9;CCC:9.9;B:2.1;A:18.4;BBB:27.7
| 4.42
| 54.8
| 174
| 172
| 3.9
| 4
| 20
| 45
| 30
| true
| true
| false
| false
| 1.44
| 0.73
| -0.29
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -26
| 1
|
DealerC
|
Electronic
| 2
| 88
| -99
| 87
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 258
|
Tighten HY exposure bands
|
C00122
|
CR8290
|
2024-03-12
|
Tightening
| 98
| 466
| 4.4
| 0.7
| 552,117,252
|
Materials:61.9;Energy:19.7;Financials:18.4
|
US:56.6;EU:16.2;APAC:7.8;EMEA:12.8;LATAM:6.6
|
B:12.5;AAA:45.4;BB:19.5;BBB:17.5;CCC:5.2
| 3.92
| 23.8
| 133
| 128
| 5.1
| 2.5
| 20
| 35
| 20
| true
| true
| true
| false
| 0.01
| -0.14
| -0.21
|
Materials:EW;Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -49
| 20
|
ECN2
|
RFQ
| 1
| 94
| 124
| -129
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 237
|
Reviewed by risk; hedges staggered
|
C00123
|
CR0303
|
2024-05-10
|
Calm
| 111
| 391
| 4
| 1.9
| 1,859,232,634
|
Industrials:13.3;RealEstate:19.3;Energy:22.6;Materials:44.8
|
US:71.4;EU:9.7;APAC:10.8;EMEA:6.4;LATAM:1.6
|
A:17.9;BB:33.6;AAA:23.0;CCC:25.5
| 6.18
| 37.5
| 80
| 163
| 5.9
| 2
| 30
| 55
| 35
| true
| true
| true
| false
| 0.65
| 0.72
| -0.26
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -30
| 20
|
DealerC
|
RFQ
| 11
| 85
| 267
| 29
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 235
|
Defer adds pending macro print
|
C00124
|
CR9110
|
2024-12-10
|
Recovery
| 110
| 437
| 4.9
| 1.3
| 2,688,126,224
|
Tech:17.0;Comm:10.0;RealEstate:19.3;Materials:14.9;Healthcare:18.2;Utilities:20.6
|
US:61.9;EU:17.8;APAC:7.3;EMEA:9.4;LATAM:3.5
|
A:34.1;AAA:14.5;B:10.6;AA:40.8
| 0.62
| 20.5
| 253
| 399
| 7.6
| 4
| 35
| 45
| 35
| false
| true
| false
| true
| 1.08
| -0.05
| 0.03
|
Consumer:EW
|
Hedge
|
iTraxx_XOVER: +149bps notional
| -56
| -19
|
DealerC
|
Electronic
| 7
| 87
| 388
| 8
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 195
|
Tighten HY exposure bands
|
C00125
|
CR7346
|
2025-04-03
|
Recovery
| 104
| 460
| 4.6
| 0.8
| 2,147,246,048
|
Industrials:12.1;Energy:35.9;Tech:14.0;Consumer:21.3;Utilities:16.7
|
US:66.5;EU:6.4;APAC:11.8;EMEA:11.2;LATAM:4.2
|
AAA:12.5;BBB:9.0;CCC:28.2;B:31.0;AA:19.3
| 0.81
| 58.7
| 100
| 424
| 17.2
| 2
| 20
| 55
| 25
| true
| true
| true
| false
| 0.93
| -0.11
| -0
| null |
Hedge
|
CDX_HY: +139bps notional
| 19
| 17
|
ECN1
|
RFQ
| 12
| 91
| -61
| 182
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 114
|
Tighten HY exposure bands
|
C00126
|
CR3766
|
2025-01-31
|
Stress
| 205
| 656
| 7
| 0.5
| 1,571,457,309
|
Utilities:13.1;Industrials:21.9;Energy:19.0;Comm:17.2;Healthcare:28.8
|
US:69.5;EU:6.4;APAC:7.2;EMEA:10.6;LATAM:6.3
|
B:11.4;AA:11.7;BBB:30.6;A:40.3;BB:6.1
| 6.18
| 24.1
| 259
| 319
| 15.6
| 2
| 20
| 35
| 35
| true
| true
| false
| true
| 0.95
| 1.68
| -0.26
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 11
| -17
|
DealerA
|
Electronic
| 10
| 91
| -163
| -233
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 213
|
Reviewed by risk; hedges staggered
|
C00127
|
CR9443
|
2024-07-02
|
Tightening
| 129
| 358
| 4.7
| 1.5
| 2,343,673,814
|
RealEstate:16.2;Utilities:51.3;Consumer:32.5
|
US:58.8;EU:18.5;APAC:13.9;EMEA:3.8;LATAM:5.0
|
AAA:31.4;AA:19.4;B:9.3;A:24.2;BB:15.7
| 6.86
| 26.2
| 108
| 146
| 12
| 3
| 35
| 55
| 25
| true
| true
| false
| false
| 2.34
| 0.42
| 0.4
| null |
Hedge
|
SingleName_CDS: +134bps notional
| -14
| 28
|
ECN1
|
Electronic
| 1
| 85
| 287
| -38
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 229
|
Tighten HY exposure bands
|
C00128
|
CR8074
|
2025-08-05
|
Recovery
| 129
| 530
| 5.2
| 0.9
| 635,265,224
|
Tech:10.1;Healthcare:35.2;RealEstate:19.8;Utilities:14.6;Materials:20.4
|
US:66.8;EU:7.0;APAC:11.8;EMEA:10.1;LATAM:4.3
|
CCC:13.0;BB:15.5;AA:50.2;A:21.3
| 4.97
| 43.7
| 164
| 171
| 10.8
| 4
| 30
| 45
| 25
| true
| true
| true
| false
| -0.16
| 0.27
| 0.31
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -10
| -22
|
DealerC
|
RFQ
| 10
| 95
| -21
| -173
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 246
|
Defer adds pending macro print
|
C00129
|
CR7140
|
2024-03-05
|
Recovery
| 111
| 627
| 6.4
| 0.6
| 1,410,339,009
|
Industrials:25.3;Utilities:24.5;RealEstate:24.6;Financials:25.6
|
US:65.7;EU:12.0;APAC:8.1;EMEA:11.3;LATAM:2.9
|
AA:23.4;BB:18.8;BBB:33.1;B:24.7
| 1.98
| 51.5
| 242
| 170
| 15.2
| 3
| 20
| 45
| 30
| true
| true
| true
| true
| 2.06
| 0.75
| 0.11
|
Energy:EW;Consumer:EW
|
Hedge
|
iTraxx_XOVER: +174bps notional
| -17
| 22
|
DealerB
|
Electronic
| 7
| 93
| -155
| 47
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 139
|
Reviewed by risk; hedges staggered
|
C00130
|
CR2100
|
2024-06-27
|
Calm
| 98
| 318
| 4
| 2.7
| 498,259,266
|
Comm:35.4;Utilities:14.3;Tech:28.6;RealEstate:21.7
|
US:68.6;EU:7.1;APAC:8.4;EMEA:12.6;LATAM:3.3
|
BB:6.5;A:36.4;CCC:12.0;B:25.6;BBB:19.4
| 1.06
| 33.5
| 81
| 130
| 11.2
| 2.5
| 30
| 35
| 30
| true
| true
| true
| false
| -0.04
| 1.7
| -0.08
|
Industrials:EW;Healthcare:EW
|
Hedge
|
Options_Payer: +77bps notional
| -18
| 2
|
DealerB
|
Electronic
| 6
| 95
| 303
| -346
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 131
|
Tighten HY exposure bands
|
C00131
|
CR6812
|
2024-12-05
|
Recovery
| 125
| 525
| 5.3
| -0.4
| 2,000,203,553
|
RealEstate:23.1;Financials:17.1;Consumer:31.7;Materials:28.1
|
US:67.9;EU:11.2;APAC:8.5;EMEA:5.6;LATAM:6.8
|
BBB:29.5;AAA:10.7;BB:32.3;CCC:10.3;AA:17.2
| 5.7
| 56.9
| 168
| 141
| 17.5
| 3.5
| 25
| 45
| 35
| true
| true
| true
| false
| 0.99
| 1.14
| 0.31
|
Financials:EW
|
Hedge
|
iTraxx_XOVER: +160bps notional
| -43
| 21
|
DealerC
|
Electronic
| 2
| 87
| -165
| 118
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 102
|
Escalate watchlist names
|
C00132
|
CR4224
|
2025-10-21
|
Calm
| 87
| 345
| 3.4
| 2.3
| 2,770,607,637
|
RealEstate:21.6;Tech:9.6;Industrials:24.1;Energy:11.7;Financials:9.3;Materials:23.6
|
US:65.0;EU:10.2;APAC:12.7;EMEA:10.0;LATAM:2.2
|
AAA:17.0;CCC:6.1;B:10.4;A:47.0;AA:14.6;BB:4.9
| 1.47
| 28.8
| 231
| 175
| 11.1
| 2
| 30
| 55
| 25
| false
| true
| false
| true
| -0.17
| 0.2
| 0.09
|
Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 9
| -16
|
DealerB
|
RFQ
| 10
| 94
| 310
| -372
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 117
|
Defer adds pending macro print
|
C00133
|
CR8302
|
2025-01-19
|
Calm
| 106
| 371
| 4.2
| 2.5
| 1,626,434,827
|
Healthcare:11.3;Tech:15.2;Financials:25.0;Industrials:30.7;Materials:17.8
|
US:59.4;EU:13.9;APAC:12.0;EMEA:7.1;LATAM:7.6
|
B:27.2;AAA:9.4;CCC:13.4;BBB:13.7;BB:17.4;AA:18.9
| 5.61
| 40.7
| 158
| 234
| 8.5
| 3.5
| 35
| 35
| 30
| false
| true
| true
| false
| 1.93
| -0.04
| 0.3
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -22
| 5
|
DealerC
|
DealerAxed
| 4
| 98
| -89
| 66
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 114
|
Defer adds pending macro print
|
C00134
|
CR4032
|
2025-11-16
|
Recovery
| 101
| 524
| 6.2
| 0.7
| 2,665,564,931
|
Comm:33.5;Financials:36.5;Healthcare:30.0
|
US:54.6;EU:18.1;APAC:13.4;EMEA:10.4;LATAM:3.5
|
A:21.0;BBB:18.0;BB:9.1;B:10.2;AA:27.3;AAA:14.3
| 4.32
| 51.5
| 246
| 487
| 10.8
| 3.5
| 35
| 55
| 35
| true
| false
| false
| true
| 1.88
| 1.36
| -0.33
|
Materials:EW;Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 20
| 1
|
DealerC
|
DealerAxed
| 9
| 92
| 340
| -8
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 223
|
Reviewed by risk; hedges staggered
|
C00135
|
CR1947
|
2025-10-24
|
Tightening
| 100
| 513
| 4
| 1.5
| 1,622,917,991
|
Tech:17.8;RealEstate:25.5;Materials:27.1;Comm:29.5
|
US:72.1;EU:7.9;APAC:8.7;EMEA:9.1;LATAM:2.2
|
CCC:24.0;AAA:13.7;A:15.2;B:18.2;BB:29.0
| 4.07
| 47.8
| 100
| 167
| 2.1
| 3
| 20
| 45
| 25
| true
| true
| true
| false
| -0.4
| 0.27
| 0.3
| null |
Hedge
|
Options_Payer: +148bps notional
| -35
| -16
|
ECN1
|
RFQ
| 8
| 92
| 106
| -72
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 121
|
Escalate watchlist names
|
C00136
|
CR9424
|
2025-12-24
|
Recovery
| 110
| 633
| 4.9
| 1.4
| 2,820,480,840
|
Energy:10.0;Consumer:27.5;Industrials:9.1;Comm:26.8;Tech:26.6
|
US:71.1;EU:7.4;APAC:13.8;EMEA:7.5;LATAM:0.2
|
AAA:32.2;BB:30.9;AA:29.8;B:7.1
| 2.3
| 21.7
| 246
| 325
| 3.4
| 2
| 30
| 55
| 35
| false
| true
| true
| true
| -0.22
| 1.25
| 0.52
|
Financials:EW;Industrials:EW
|
Hedge
|
Options_Payer: +83bps notional
| 14
| -8
|
ECN2
|
Electronic
| 3
| 93
| 300
| -50
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 122
|
Rotate into defensive sectors
|
C00137
|
CR0869
|
2025-01-02
|
Tightening
| 151
| 428
| 4.6
| 1.5
| 2,140,537,931
|
Energy:16.2;Consumer:35.4;Comm:28.9;Healthcare:19.4
|
US:63.9;EU:16.2;APAC:4.7;EMEA:7.9;LATAM:7.3
|
BB:13.7;A:8.7;B:17.7;AA:27.2;AAA:13.2;CCC:19.5
| 2.35
| 48.5
| 208
| 177
| 17.6
| 3.5
| 25
| 55
| 25
| true
| true
| true
| true
| -0.31
| 0.61
| 0.26
| null |
Hedge
|
Options_Payer: +114bps notional
| -19
| -20
|
ECN2
|
All2All
| 12
| 95
| 216
| -139
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 99
|
Escalate watchlist names
|
C00138
|
CR7408
|
2025-09-13
|
Calm
| 112
| 402
| 3.6
| 2.3
| 1,395,219,443
|
Comm:21.4;Consumer:23.4;Tech:20.9;Energy:26.1;Materials:8.2
|
US:65.0;EU:7.5;APAC:12.9;EMEA:8.3;LATAM:6.3
|
CCC:14.5;A:24.1;B:13.6;BBB:23.0;BB:24.7
| 4.43
| 61.1
| 174
| 296
| 12.5
| 3
| 35
| 35
| 20
| false
| true
| true
| false
| 1.34
| 0.46
| -0.2
|
RealEstate:EW;Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 12
| 19
|
ECN1
|
All2All
| 11
| 86
| 161
| 66
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 136
|
Tighten HY exposure bands
|
C00139
|
CR1155
|
2024-07-18
|
Calm
| 111
| 379
| 3.7
| 2.9
| 2,398,843,572
|
Healthcare:29.3;Consumer:13.1;Materials:14.1;Financials:43.4
|
US:65.6;EU:12.9;APAC:9.7;EMEA:7.6;LATAM:4.2
|
AA:14.3;A:24.2;CCC:31.4;AAA:30.1
| 0.89
| 29.2
| 221
| 405
| 5.2
| 3
| 20
| 55
| 20
| true
| true
| true
| true
| 0.75
| 0.91
| 0.58
| null |
Hedge
|
Treasury_Futures: +65bps notional
| -13
| -25
|
DealerC
|
DealerAxed
| 7
| 100
| 186
| -169
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 158
|
Reviewed by risk; hedges staggered
|
C00140
|
CR3911
|
2024-12-17
|
Calm
| 98
| 381
| 3.6
| 2.5
| 188,781,928
|
Industrials:10.2;Tech:22.2;RealEstate:10.6;Energy:9.6;Utilities:21.8;Consumer:25.6
|
US:66.2;EU:14.0;APAC:5.5;EMEA:7.8;LATAM:6.6
|
BBB:9.6;CCC:28.7;AAA:20.6;BB:15.8;AA:12.8;A:12.5
| 1.63
| 32.6
| 171
| 170
| 9.1
| 2.5
| 35
| 35
| 25
| false
| true
| true
| false
| 1.95
| -0.26
| 0.41
|
Comm:EW
|
Hedge
|
Options_Payer: +111bps notional
| -39
| -5
|
DealerA
|
Electronic
| 12
| 100
| 131
| 18
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 259
|
Tighten HY exposure bands
|
C00141
|
CR7143
|
2025-09-01
|
Tightening
| 150
| 516
| 4.6
| 0.7
| 1,805,774,877
|
Industrials:18.7;Financials:19.8;Healthcare:18.3;Energy:9.1;Comm:11.1;Utilities:23.0
|
US:66.6;EU:11.2;APAC:12.8;EMEA:6.0;LATAM:3.3
|
AA:21.2;A:8.4;B:29.4;CCC:14.3;BBB:12.9;AAA:13.7
| 6.46
| 62.9
| 241
| 378
| 10.2
| 3
| 25
| 45
| 30
| false
| true
| true
| true
| -0.25
| 0.35
| 0.16
|
Utilities:EW;Consumer:EW
|
Hedge
|
SingleName_CDS: +62bps notional
| -49
| -7
|
DealerB
|
RFQ
| 2
| 87
| 403
| -297
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 161
|
Defer adds pending macro print
|
C00142
|
CR6736
|
2024-12-05
|
Tightening
| 122
| 382
| 4.2
| 1.3
| 1,879,122,200
|
Healthcare:46.7;RealEstate:32.2;Financials:21.1
|
US:72.5;EU:7.8;APAC:8.1;EMEA:9.4;LATAM:2.2
|
AAA:10.5;BBB:24.6;AA:22.3;B:19.1;A:23.5
| 1.05
| 50
| 108
| 365
| 7.7
| 2.5
| 20
| 55
| 25
| true
| true
| false
| false
| 1.57
| 1.29
| 0.25
|
Materials:EW
|
Hedge
|
Treasury_Futures: +114bps notional
| -56
| 32
|
ECN2
|
Electronic
| 8
| 98
| -171
| 53
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 109
|
Rotate into defensive sectors
|
C00143
|
CR0342
|
2024-05-25
|
Tightening
| 119
| 391
| 4.4
| 1.1
| 194,952,802
|
Industrials:15.7;Energy:13.8;Comm:37.6;RealEstate:13.5;Tech:19.4
|
US:66.8;EU:14.2;APAC:4.9;EMEA:10.6;LATAM:3.5
|
A:14.6;B:13.8;BBB:19.7;AAA:19.5;CCC:25.3;AA:7.2
| 7.49
| 20.3
| 105
| 367
| 3.6
| 2.5
| 35
| 55
| 25
| true
| true
| true
| false
| 0.55
| -0.07
| 0.33
| null |
Hedge
|
SingleName_CDS: +143bps notional
| 16
| 45
|
ECN1
|
Electronic
| 8
| 100
| -74
| -333
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 146
|
Defer adds pending macro print
|
C00144
|
CR3006
|
2025-05-01
|
Tightening
| 98
| 405
| 4.6
| 1.4
| 1,223,075,898
|
Utilities:12.5;Energy:38.4;RealEstate:9.7;Consumer:39.4
|
US:76.9;EU:9.4;APAC:5.6;EMEA:3.9;LATAM:4.2
|
AAA:19.6;AA:15.5;BB:22.6;BBB:11.3;CCC:4.9;A:26.2
| 6.21
| 45.5
| 100
| 337
| 3.4
| 2.5
| 30
| 45
| 25
| true
| true
| true
| false
| 0.51
| 0.57
| -0.38
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -30
| 2
|
DealerA
|
Electronic
| 10
| 94
| 218
| 64
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 220
|
Escalate watchlist names
|
C00145
|
CR6909
|
2025-07-18
|
Calm
| 69
| 326
| 3.8
| 1.5
| 2,013,582,085
|
Comm:15.3;Consumer:29.9;Tech:54.8
|
US:64.8;EU:15.3;APAC:9.2;EMEA:3.6;LATAM:7.0
|
AAA:31.0;AA:31.6;BB:15.2;B:22.2
| 1.31
| 34.2
| 259
| 469
| 12.8
| 3.5
| 35
| 35
| 30
| true
| true
| true
| true
| 0.65
| 0.05
| -0.34
|
Financials:EW;Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -42
| 30
|
ECN1
|
All2All
| 12
| 98
| 244
| -92
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 153
|
Escalate watchlist names
|
C00146
|
CR7121
|
2025-05-04
|
Calm
| 118
| 321
| 4.2
| 1.8
| 2,546,257,509
|
Consumer:21.0;Utilities:19.7;Tech:22.7;Energy:20.2;Healthcare:16.3
|
US:59.6;EU:15.3;APAC:12.4;EMEA:7.0;LATAM:5.6
|
AAA:22.1;BB:10.2;CCC:14.3;AA:28.3;A:25.1
| 4.92
| 53.3
| 217
| 352
| 5.7
| 4
| 20
| 45
| 20
| true
| true
| true
| true
| 2.05
| 1.32
| 0.51
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -36
| -8
|
ECN2
|
DealerAxed
| 11
| 89
| -141
| -44
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 242
|
Defer adds pending macro print
|
C00147
|
CR9257
|
2025-05-29
|
Calm
| 100
| 300
| 3.5
| 2.8
| 2,289,604,687
|
Industrials:25.1;Consumer:29.2;Energy:15.0;RealEstate:12.6;Healthcare:18.1
|
US:63.7;EU:6.7;APAC:14.8;EMEA:7.2;LATAM:7.7
|
BBB:25.4;AAA:29.0;AA:32.1;CCC:13.5
| 3.22
| 63.7
| 93
| 263
| 16.7
| 2
| 20
| 45
| 25
| true
| true
| false
| false
| 1.41
| 0.33
| -0.14
|
Materials:EW
|
Hedge
|
SingleName_CDS: +151bps notional
| -45
| -10
|
DealerA
|
Electronic
| 12
| 99
| 4
| 13
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 98
|
Defer adds pending macro print
|
C00148
|
CR6244
|
2025-06-28
|
Stress
| 219
| 747
| 7.9
| 0.3
| 1,233,835,702
|
RealEstate:7.6;Healthcare:24.8;Energy:10.6;Utilities:15.7;Financials:9.3;Comm:32.0
|
US:75.6;EU:6.8;APAC:10.9;EMEA:6.7;LATAM:0.1
|
AAA:20.8;BB:19.2;CCC:18.7;B:18.4;A:22.9
| 2.58
| 45.8
| 309
| 291
| 20.2
| 2
| 35
| 45
| 30
| false
| true
| true
| true
| 1.81
| 1.59
| 0.41
|
Materials:EW
|
Hedge
|
SingleName_CDS: +65bps notional
| 17
| 42
|
DealerC
|
Electronic
| 6
| 100
| -122
| -225
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 162
|
Rotate into defensive sectors
|
C00149
|
CR7081
|
2024-09-23
|
Tightening
| 152
| 401
| 4.9
| 0.5
| 2,794,864,614
|
Industrials:21.0;Materials:40.9;Consumer:38.0
|
US:56.5;EU:18.5;APAC:7.0;EMEA:12.0;LATAM:6.0
|
B:16.6;AA:7.9;AAA:20.8;BBB:14.2;BB:20.5;CCC:20.0
| 2.83
| 58.6
| 176
| 191
| 6.7
| 3.5
| 35
| 45
| 35
| true
| true
| true
| false
| 2.13
| 0.6
| 0.01
|
Consumer:EW;Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -23
| -24
|
DealerA
|
All2All
| 5
| 85
| 328
| 22
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 169
|
Rotate into defensive sectors
|
C00150
|
CR8859
|
2025-10-12
|
Tightening
| 124
| 360
| 4.2
| 0.9
| 2,297,468,683
|
Consumer:8.2;Materials:15.9;Financials:16.9;Comm:19.9;Utilities:19.0;Energy:20.1
|
US:65.3;EU:17.5;APAC:12.8;EMEA:4.2;LATAM:0.2
|
BBB:11.1;CCC:8.1;A:30.0;AA:25.3;BB:25.5
| 7.18
| 38.9
| 96
| 484
| 16.8
| 2.5
| 20
| 55
| 35
| true
| true
| false
| false
| 2.44
| 0.79
| -0.39
|
Financials:EW
|
Hedge
|
Options_Payer: +63bps notional
| -7
| 33
|
ECN2
|
RFQ
| 2
| 97
| 126
| 45
|
VAR>budget
|
PauseAdds
|
Portfolio VAR above budget
| 167
|
Defer adds pending macro print
|
C00151
|
CR6048
|
2024-09-21
|
Calm
| 113
| 395
| 4.1
| 1.6
| 2,918,721,889
|
Utilities:26.8;Industrials:29.0;Healthcare:28.9;Comm:15.2
|
US:63.8;EU:16.3;APAC:12.1;EMEA:6.4;LATAM:1.5
|
AAA:20.1;BB:4.2;B:7.1;BBB:17.4;AA:19.8;A:31.4
| 0.97
| 34.8
| 86
| 373
| 9.5
| 3.5
| 35
| 55
| 35
| false
| true
| false
| false
| 1.99
| 1.58
| 0.04
| null |
Hedge
|
CDX_HY: +177bps notional
| -49
| 35
|
ECN1
|
Electronic
| 3
| 86
| 280
| -113
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 201
|
Rotate into defensive sectors
|
C00152
|
CR2684
|
2025-03-13
|
Stress
| 150
| 779
| 7
| -0.5
| 98,779,260
|
Consumer:27.2;Utilities:30.1;Tech:23.8;Industrials:18.9
|
US:69.2;EU:13.0;APAC:8.2;EMEA:3.7;LATAM:5.9
|
BBB:18.9;BB:14.7;AAA:21.0;A:25.7;CCC:9.9;AA:9.8
| 6.51
| 41.6
| 371
| 315
| 7.2
| 3
| 35
| 55
| 30
| false
| true
| false
| true
| 0.89
| 1.62
| 0.38
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 8
| -13
|
DealerC
|
Electronic
| 1
| 85
| 300
| -225
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 245
|
Defer adds pending macro print
|
C00153
|
CR2370
|
2024-07-30
|
Recovery
| 174
| 431
| 6
| 0.5
| 2,678,947,928
|
Materials:15.9;Financials:22.9;Utilities:13.9;Comm:12.7;Tech:20.7;Industrials:13.9
|
US:70.4;EU:12.5;APAC:8.7;EMEA:4.1;LATAM:4.3
|
AA:18.8;B:19.3;BB:30.0;AAA:19.5;CCC:12.3
| 2.8
| 49.8
| 259
| 457
| 5.1
| 3
| 20
| 45
| 20
| true
| true
| true
| true
| 0.47
| 0.16
| 0.22
|
Financials:EW
|
Hedge
|
Options_Payer: +87bps notional
| -30
| 44
|
DealerC
|
All2All
| 6
| 99
| 251
| -243
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 187
|
Reviewed by risk; hedges staggered
|
C00154
|
CR0214
|
2025-01-21
|
Recovery
| 171
| 632
| 6.1
| 0.6
| 2,112,253,006
|
Materials:42.7;RealEstate:13.4;Financials:34.3;Consumer:9.6
|
US:62.3;EU:13.1;APAC:11.5;EMEA:8.5;LATAM:4.6
|
BB:13.0;CCC:14.2;BBB:11.5;AAA:19.2;AA:15.3;A:26.8
| 5.05
| 34.4
| 235
| 371
| 3.4
| 2
| 25
| 45
| 30
| true
| true
| false
| true
| 0.04
| 0.89
| 0.57
|
Consumer:EW;Energy:EW
|
Hedge
|
SingleName_CDS: +62bps notional
| -25
| -14
|
DealerC
|
RFQ
| 7
| 92
| 25
| -3
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 188
|
Tighten HY exposure bands
|
C00155
|
CR3125
|
2025-03-26
|
Stress
| 234
| 571
| 6.4
| -1
| 1,570,934,389
|
Utilities:33.8;Industrials:20.5;Consumer:14.1;Healthcare:31.6
|
US:69.1;EU:11.1;APAC:6.9;EMEA:8.5;LATAM:4.4
|
B:22.7;A:16.1;BB:12.2;CCC:25.9;AA:16.4;AAA:6.7
| 1.35
| 29.5
| 351
| 630
| 10.5
| 3.5
| 35
| 45
| 35
| false
| true
| true
| true
| 2.17
| 0.88
| -0.18
|
RealEstate:EW
|
Hedge
|
iTraxx_XOVER: +112bps notional
| -52
| 22
|
ECN2
|
RFQ
| 11
| 89
| -206
| -211
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 107
|
Reviewed by risk; hedges staggered
|
C00156
|
CR4394
|
2024-07-19
|
Recovery
| 143
| 634
| 4.9
| 1.1
| 602,132,947
|
Materials:12.4;Healthcare:26.6;Energy:14.9;Consumer:7.5;RealEstate:26.5;Utilities:12.1
|
US:68.0;EU:8.2;APAC:14.7;EMEA:8.0;LATAM:1.2
|
AAA:13.3;AA:32.1;A:29.5;CCC:25.1
| 4.4
| 37.1
| 136
| 429
| 11.9
| 3
| 20
| 45
| 30
| true
| true
| false
| false
| 2.23
| 1.62
| 0.58
|
Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 7
| 17
|
ECN1
|
Electronic
| 0
| 87
| 311
| -146
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 157
|
Escalate watchlist names
|
C00157
|
CR0028
|
2024-04-06
|
Calm
| 78
| 409
| 3.2
| 2.6
| 625,056,026
|
Tech:18.4;Healthcare:24.7;Utilities:21.1;Financials:17.1;Industrials:11.8;Energy:7.1
|
US:58.6;EU:15.0;APAC:14.1;EMEA:6.8;LATAM:5.5
|
AA:23.8;A:29.8;AAA:17.3;BB:8.7;B:20.4
| 2.75
| 22.4
| 196
| 281
| 12.7
| 2
| 20
| 55
| 20
| true
| true
| true
| false
| 0.42
| 1.1
| 0.08
| null |
Hedge
|
CDX_HY: +122bps notional
| -44
| 31
|
DealerA
|
RFQ
| 12
| 89
| 176
| -9
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 140
|
Rotate into defensive sectors
|
C00158
|
CR3188
|
2025-12-22
|
Calm
| 72
| 283
| 3.5
| 1.9
| 501,940,978
|
Materials:35.6;RealEstate:21.0;Industrials:31.3;Utilities:12.1
|
US:55.6;EU:16.8;APAC:7.8;EMEA:12.6;LATAM:7.1
|
AAA:16.0;BB:3.3;AA:39.6;A:32.6;B:8.6
| 6.61
| 49.1
| 125
| 217
| 9.6
| 4
| 35
| 35
| 25
| true
| true
| false
| false
| 2.23
| 1.32
| -0.13
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 14
| 17
|
DealerA
|
Electronic
| 11
| 90
| 405
| -223
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 214
|
Rotate into defensive sectors
|
C00159
|
CR7466
|
2025-10-15
|
Tightening
| 107
| 356
| 5
| 1.4
| 2,109,656,909
|
Utilities:12.3;Healthcare:20.5;Consumer:20.8;RealEstate:10.5;Financials:17.6;Industrials:18.3
|
US:58.2;EU:15.0;APAC:13.1;EMEA:10.2;LATAM:3.5
|
A:22.7;CCC:15.0;B:17.1;AAA:24.8;AA:20.4
| 4.14
| 50.8
| 140
| 350
| 3.6
| 2
| 30
| 35
| 30
| false
| true
| true
| false
| 1.56
| 1.66
| -0.1
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 2
| 23
|
ECN1
|
Electronic
| 2
| 91
| 288
| 42
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 234
|
Tighten HY exposure bands
|
C00160
|
CR2816
|
2025-06-28
|
Tightening
| 159
| 483
| 4.2
| 0.5
| 467,519,807
|
RealEstate:26.2;Financials:29.1;Industrials:27.1;Utilities:17.6
|
US:59.3;EU:11.3;APAC:16.2;EMEA:10.0;LATAM:3.2
|
AA:32.4;B:10.9;CCC:12.1;BB:10.9;BBB:22.6;AAA:11.2
| 6.29
| 54.9
| 179
| 189
| 15.7
| 3.5
| 25
| 35
| 35
| true
| true
| false
| false
| 2.24
| 0.99
| -0.38
|
Financials:EW;Tech:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 16
| 16
|
ECN2
|
Electronic
| 10
| 98
| -15
| -85
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 220
|
Reviewed by risk; hedges staggered
|
C00161
|
CR6755
|
2025-05-08
|
Tightening
| 152
| 405
| 4.3
| 1.2
| 1,552,531,273
|
Utilities:14.3;RealEstate:9.0;Healthcare:12.3;Industrials:24.2;Financials:19.4;Materials:20.8
|
US:67.4;EU:8.5;APAC:14.3;EMEA:4.5;LATAM:5.3
|
AA:12.7;A:12.2;CCC:26.3;BBB:18.7;AAA:30.1
| 6.06
| 25.9
| 215
| 471
| 10.8
| 4
| 25
| 35
| 25
| false
| true
| true
| true
| 0.62
| 1.26
| 0.57
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -50
| 23
|
ECN2
|
All2All
| 7
| 89
| 324
| -96
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 255
|
Defer adds pending macro print
|
C00162
|
CR1222
|
2024-08-29
|
Stress
| 217
| 663
| 6.2
| -0
| 2,317,175,550
|
Industrials:29.4;Tech:39.3;Materials:31.3
|
US:69.0;EU:8.1;APAC:12.2;EMEA:6.6;LATAM:4.1
|
AA:11.2;CCC:7.2;BB:22.8;AAA:19.6;B:18.1;BBB:21.1
| 4.96
| 35.1
| 204
| 442
| 8.3
| 4
| 30
| 55
| 20
| true
| true
| true
| true
| 1.8
| 0.35
| -0.1
| null |
Hedge
|
Options_Payer: +108bps notional
| -43
| -3
|
DealerC
|
DealerAxed
| 2
| 94
| 141
| -373
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 198
|
Defer adds pending macro print
|
C00163
|
CR4207
|
2024-01-11
|
Calm
| 69
| 335
| 4.4
| 2.9
| 1,847,091,447
|
Materials:7.3;Comm:12.7;Tech:24.7;Utilities:27.6;Energy:27.7
|
US:61.1;EU:14.2;APAC:8.7;EMEA:9.8;LATAM:6.2
|
BB:8.8;AA:29.8;A:16.4;BBB:22.9;CCC:10.8;B:11.3
| 1
| 37.9
| 140
| 340
| 2.3
| 2.5
| 30
| 45
| 30
| false
| true
| true
| false
| 1.77
| -0.06
| 0.37
|
Tech:EW;Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -46
| -22
|
DealerA
|
Electronic
| 10
| 98
| -112
| -209
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 149
|
Rotate into defensive sectors
|
C00164
|
CR2861
|
2025-10-18
|
Stress
| 158
| 781
| 8
| -1.3
| 2,377,973,023
|
Utilities:36.6;Industrials:10.5;Comm:16.6;Materials:36.3
|
US:69.0;EU:8.6;APAC:7.7;EMEA:12.0;LATAM:2.7
|
BBB:25.4;AA:20.4;AAA:14.2;BB:9.4;A:25.7;CCC:4.9
| 3.11
| 24.9
| 349
| 375
| 20.6
| 2.5
| 35
| 55
| 35
| true
| true
| false
| true
| 0.23
| 0.96
| -0.21
|
Consumer:EW
|
Hedge
|
Treasury_Futures: +135bps notional
| 17
| 10
|
DealerC
|
Electronic
| 9
| 85
| 324
| -252
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 204
|
Escalate watchlist names
|
C00165
|
CR6116
|
2025-01-08
|
Calm
| 77
| 400
| 4.2
| 2.7
| 2,544,175,997
|
Consumer:32.6;Industrials:54.8;Materials:12.6
|
US:66.6;EU:10.5;APAC:6.8;EMEA:11.5;LATAM:4.5
|
AA:34.5;AAA:9.7;BB:13.9;CCC:20.5;A:14.2;B:7.2
| 3.88
| 25.5
| 95
| 125
| 9.1
| 3
| 20
| 55
| 25
| true
| true
| true
| false
| 1.85
| 0.11
| -0.35
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -20
| 16
|
DealerA
|
Electronic
| 12
| 85
| 126
| -313
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 98
|
Defer adds pending macro print
|
C00166
|
CR7477
|
2024-09-06
|
Tightening
| 155
| 515
| 4.8
| 1.7
| 1,317,331,016
|
Utilities:38.8;RealEstate:32.5;Healthcare:28.7
|
US:56.5;EU:18.6;APAC:13.0;EMEA:9.6;LATAM:2.3
|
AA:12.4;BB:35.0;BBB:16.0;A:14.1;CCC:22.5
| 3.13
| 38.2
| 126
| 340
| 12.2
| 4
| 25
| 35
| 30
| true
| true
| true
| false
| -0.06
| 1.13
| -0.4
|
Materials:EW;Healthcare:EW
|
Hedge
|
iTraxx_XOVER: +120bps notional
| 8
| 9
|
DealerC
|
Electronic
| 2
| 92
| -77
| -175
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 184
|
Reviewed by risk; hedges staggered
|
C00167
|
CR2317
|
2025-07-23
|
Recovery
| 126
| 444
| 6.3
| 0.5
| 133,701,694
|
Energy:23.2;Industrials:19.4;RealEstate:20.0;Materials:15.9;Tech:21.5
|
US:68.7;EU:10.0;APAC:10.8;EMEA:4.3;LATAM:6.2
|
BB:13.8;B:17.1;BBB:10.3;CCC:24.8;AA:16.7;A:17.5
| 2.61
| 43.9
| 255
| 261
| 2.5
| 3
| 35
| 55
| 35
| false
| true
| true
| true
| 1.89
| -0.14
| -0.15
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 9
| -8
|
ECN1
|
RFQ
| 3
| 86
| 341
| 127
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 249
|
Escalate watchlist names
|
C00168
|
CR6066
|
2024-04-02
|
Tightening
| 153
| 488
| 4.2
| 0.7
| 2,467,065,992
|
Energy:14.1;Industrials:25.4;Healthcare:24.3;Tech:14.7;Materials:21.6
|
US:60.4;EU:11.9;APAC:14.3;EMEA:7.4;LATAM:6.1
|
AA:21.9;B:5.8;BBB:37.7;A:25.5;BB:9.0
| 6.9
| 31
| 166
| 312
| 17.3
| 3.5
| 30
| 35
| 30
| false
| true
| false
| false
| 2.09
| 1.36
| 0.38
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 18
| -20
|
DealerB
|
RFQ
| 11
| 96
| 46
| 93
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 207
|
Escalate watchlist names
|
C00169
|
CR3364
|
2025-11-08
|
Calm
| 77
| 403
| 4.1
| 1.7
| 506,007,446
|
Financials:15.8;Energy:15.0;Materials:32.7;Healthcare:9.0;RealEstate:12.2;Tech:15.3
|
US:64.2;EU:19.2;APAC:11.4;EMEA:4.4;LATAM:0.9
|
AAA:30.2;B:9.0;A:16.8;BB:15.8;CCC:15.5;BBB:12.7
| 1.69
| 55.4
| 136
| 234
| 3.6
| 2
| 20
| 35
| 35
| true
| true
| true
| false
| 1.01
| 1.2
| -0.28
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -52
| 32
|
DealerB
|
All2All
| 7
| 89
| 283
| -369
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 101
|
Defer adds pending macro print
|
C00170
|
CR6774
|
2025-03-20
|
Calm
| 70
| 342
| 4.4
| 2.8
| 1,264,459,946
|
Tech:19.2;Industrials:15.2;Comm:21.0;Consumer:17.8;RealEstate:19.8;Energy:7.1
|
US:62.2;EU:16.0;APAC:5.3;EMEA:12.2;LATAM:4.3
|
AAA:28.2;AA:17.9;A:22.5;BBB:19.0;CCC:12.4
| 6.26
| 24.7
| 154
| 326
| 12.5
| 3
| 35
| 55
| 20
| false
| true
| false
| false
| 0.3
| 1.45
| -0.32
|
RealEstate:EW;Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -3
| 29
|
ECN1
|
Electronic
| 8
| 92
| -207
| -141
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 135
|
Rotate into defensive sectors
|
C00171
|
CR7395
|
2024-02-10
|
Recovery
| 114
| 479
| 5.9
| 1.8
| 1,421,785,826
|
Comm:21.9;Utilities:36.4;Tech:16.7;Consumer:25.0
|
US:60.8;EU:16.1;APAC:11.9;EMEA:9.9;LATAM:1.2
|
BBB:14.4;B:18.3;AAA:16.3;CCC:29.1;BB:21.8
| 2.21
| 36
| 96
| 393
| 4.1
| 4
| 35
| 35
| 35
| true
| true
| true
| false
| 1.92
| 1.63
| 0.32
| null |
Hedge
|
SingleName_CDS: +87bps notional
| -13
| -23
|
DealerC
|
DealerAxed
| 10
| 95
| -66
| -2
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 158
|
Reviewed by risk; hedges staggered
|
C00172
|
CR4979
|
2024-08-24
|
Recovery
| 115
| 593
| 4.7
| 0.1
| 2,125,005,682
|
Consumer:10.1;Tech:21.6;Financials:18.8;Comm:18.6;Utilities:5.6;Energy:25.3
|
US:70.0;EU:13.8;APAC:10.2;EMEA:4.8;LATAM:1.2
|
AAA:18.3;A:20.7;B:32.6;BBB:21.3;BB:7.2
| 3.5
| 53
| 145
| 267
| 5.4
| 3.5
| 35
| 45
| 30
| false
| true
| true
| false
| 1.81
| 1.37
| 0.05
|
Materials:EW
|
Hedge
|
Treasury_Futures: +66bps notional
| -41
| -8
|
ECN1
|
DealerAxed
| 6
| 88
| 374
| -185
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 96
|
Escalate watchlist names
|
C00173
|
CR8693
|
2024-01-06
|
Recovery
| 146
| 440
| 6.5
| 1.1
| 322,709,208
|
Industrials:28.2;Utilities:36.2;Consumer:14.1;Tech:21.5
|
US:67.7;EU:11.6;APAC:6.6;EMEA:10.2;LATAM:3.9
|
BBB:31.2;BB:24.2;CCC:8.1;A:23.4;AAA:13.0
| 1.55
| 49
| 246
| 313
| 7.9
| 3
| 30
| 45
| 20
| true
| true
| true
| true
| 2.38
| 1.8
| 0.33
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -38
| -1
|
ECN1
|
All2All
| 2
| 92
| 220
| -344
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 259
|
Rotate into defensive sectors
|
C00174
|
CR7148
|
2024-03-29
|
Calm
| 67
| 283
| 3.9
| 2.2
| 1,152,998,499
|
Tech:18.5;RealEstate:19.1;Comm:28.1;Financials:19.2;Energy:15.1
|
US:61.0;EU:18.4;APAC:7.0;EMEA:4.7;LATAM:9.0
|
CCC:35.7;BB:11.9;BBB:14.1;AA:13.3;B:16.2;AAA:8.7
| 3.22
| 30.8
| 159
| 271
| 11.8
| 2
| 35
| 45
| 20
| false
| true
| true
| false
| 0.26
| 0.87
| 0.08
| null |
Hedge
|
iTraxx_XOVER: +85bps notional
| -23
| 1
|
ECN1
|
RFQ
| 1
| 94
| -33
| 147
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 101
|
Defer adds pending macro print
|
C00175
|
CR5789
|
2025-01-04
|
Tightening
| 148
| 366
| 4.8
| 1.2
| 2,922,524,060
|
Financials:8.1;Industrials:28.8;Tech:11.9;Energy:19.7;Healthcare:19.8;Consumer:11.8
|
US:67.2;EU:12.6;APAC:12.1;EMEA:4.1;LATAM:4.0
|
CCC:19.0;B:49.3;BB:13.0;BBB:18.7
| 4.12
| 24.9
| 202
| 417
| 8.6
| 3.5
| 20
| 45
| 30
| true
| true
| true
| true
| 0.17
| -0.21
| 0.02
|
Energy:EW
|
Hedge
|
Options_Payer: +177bps notional
| -11
| -1
|
DealerC
|
RFQ
| 5
| 97
| 54
| -77
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 117
|
Tighten HY exposure bands
|
C00176
|
CR8532
|
2025-01-04
|
Calm
| 68
| 356
| 3.8
| 1.5
| 1,817,414,361
|
Consumer:9.7;Financials:12.9;Healthcare:10.6;Tech:23.8;Utilities:23.8;Materials:19.1
|
US:60.1;EU:11.2;APAC:13.8;EMEA:13.7;LATAM:1.2
|
CCC:34.5;BBB:15.3;AAA:18.8;BB:31.4
| 0.83
| 38.2
| 200
| 329
| 16.4
| 2.5
| 25
| 45
| 25
| false
| true
| true
| false
| 0.86
| 0.43
| 0.2
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -38
| 45
|
ECN1
|
All2All
| 11
| 96
| 2
| -145
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 213
|
Defer adds pending macro print
|
C00177
|
CR4425
|
2024-06-23
|
Tightening
| 136
| 487
| 4.3
| 1.2
| 1,511,852,498
|
Financials:12.7;Energy:43.5;Industrials:43.8
|
US:72.2;EU:5.6;APAC:13.3;EMEA:2.8;LATAM:6.0
|
AAA:33.6;BB:26.4;BBB:33.6;B:6.4
| 4.46
| 35.2
| 255
| 205
| 13.4
| 4
| 25
| 55
| 35
| true
| true
| false
| true
| 1.72
| -0.12
| 0.54
|
Industrials:EW
|
Hedge
|
iTraxx_XOVER: +87bps notional
| 13
| 26
|
ECN1
|
RFQ
| 0
| 97
| 152
| -338
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 206
|
Reviewed by risk; hedges staggered
|
C00178
|
CR1491
|
2025-04-25
|
Recovery
| 159
| 561
| 5.1
| 0.2
| 129,172,494
|
RealEstate:31.4;Tech:28.9;Comm:25.0;Utilities:14.7
|
US:56.4;EU:19.1;APAC:9.4;EMEA:7.4;LATAM:7.7
|
CCC:23.6;AAA:32.0;A:30.9;BB:13.6
| 6.21
| 47
| 92
| 438
| 14.2
| 3
| 20
| 35
| 35
| true
| true
| true
| false
| 0.79
| 0.13
| 0.52
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 5
| 26
|
ECN1
|
Electronic
| 3
| 98
| 67
| -91
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 143
|
Tighten HY exposure bands
|
C00179
|
CR1826
|
2025-11-18
|
Calm
| 66
| 312
| 4.1
| 1.6
| 987,462,337
|
Comm:28.4;Healthcare:25.0;Tech:20.4;Energy:26.2
|
US:61.4;EU:6.9;APAC:10.4;EMEA:13.6;LATAM:7.6
|
B:8.4;BB:40.0;AA:43.4;CCC:8.2
| 0.86
| 51.9
| 229
| 336
| 10.8
| 2.5
| 25
| 45
| 25
| true
| true
| true
| true
| -0.15
| -0.03
| 0.44
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 8
| 34
|
ECN1
|
DealerAxed
| 5
| 96
| 169
| -362
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 166
|
Rotate into defensive sectors
|
C00180
|
CR4234
|
2025-05-20
|
Calm
| 112
| 413
| 4.2
| 2
| 123,366,967
|
Industrials:24.3;Materials:17.5;Tech:15.1;Consumer:22.8;Financials:20.3
|
US:58.2;EU:13.7;APAC:10.6;EMEA:11.1;LATAM:6.4
|
CCC:5.8;BB:3.8;AA:37.0;AAA:33.4;B:20.0
| 3.49
| 44.7
| 118
| 193
| 5.8
| 2.5
| 25
| 35
| 30
| false
| true
| false
| false
| -0.29
| 0.04
| 0.25
|
RealEstate:EW;Utilities:EW
|
Hedge
|
SingleName_CDS: +113bps notional
| 15
| 21
|
ECN1
|
RFQ
| 1
| 92
| 295
| -383
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 131
|
Rotate into defensive sectors
|
C00181
|
CR2889
|
2024-07-30
|
Tightening
| 146
| 496
| 4.2
| 1.7
| 319,701,558
|
Materials:18.5;Financials:40.7;RealEstate:40.8
|
US:60.8;EU:8.6;APAC:12.0;EMEA:10.1;LATAM:8.6
|
B:16.7;BBB:25.8;BB:24.9;CCC:32.6
| 7.31
| 62.6
| 95
| 424
| 8.7
| 2
| 30
| 35
| 35
| true
| true
| true
| false
| 0.17
| 0.73
| 0.56
|
Tech:EW
|
Hedge
|
CDX_IG: +55bps notional
| -4
| -23
|
DealerA
|
All2All
| 4
| 87
| 139
| -150
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 225
|
Reviewed by risk; hedges staggered
|
C00182
|
CR6705
|
2025-12-20
|
Calm
| 69
| 346
| 4.3
| 2.9
| 1,901,097,053
|
Consumer:16.7;Comm:41.3;Energy:41.9
|
US:77.0;EU:9.5;APAC:8.9;EMEA:3.7;LATAM:0.9
|
A:25.9;BB:13.6;AAA:16.1;BBB:30.3;CCC:14.1
| 7.33
| 32.1
| 251
| 320
| 14.7
| 3.5
| 30
| 45
| 20
| true
| true
| true
| true
| 1.32
| -0.07
| 0.36
|
Comm:EW;Materials:EW
|
Hedge
|
CDX_HY: +150bps notional
| 11
| -2
|
ECN2
|
All2All
| 12
| 100
| 235
| -218
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 127
|
Defer adds pending macro print
|
C00183
|
CR1749
|
2025-05-02
|
Recovery
| 148
| 426
| 5.8
| 1.6
| 1,580,313,292
|
Comm:32.0;Consumer:29.6;Financials:24.1;Industrials:14.2
|
US:59.3;EU:16.1;APAC:10.4;EMEA:9.3;LATAM:4.9
|
AAA:15.8;AA:22.3;A:26.7;B:7.0;BB:8.8;BBB:19.4
| 2.2
| 21.4
| 162
| 491
| 12.7
| 4
| 35
| 35
| 30
| false
| true
| false
| false
| 1.65
| 1.69
| -0.06
|
Utilities:EW
|
Hedge
|
SingleName_CDS: +93bps notional
| -12
| 7
|
ECN1
|
DealerAxed
| 12
| 91
| 136
| -266
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 115
|
Tighten HY exposure bands
|
C00184
|
CR1359
|
2024-04-09
|
Calm
| 108
| 311
| 3.7
| 1.8
| 1,554,077,613
|
Comm:11.5;Energy:29.3;Financials:17.2;Healthcare:42.1
|
US:63.6;EU:9.6;APAC:14.8;EMEA:5.6;LATAM:6.4
|
BB:22.8;B:6.7;CCC:9.9;A:24.5;BBB:16.2;AA:19.9
| 4.13
| 51.6
| 98
| 304
| 7.4
| 2
| 20
| 35
| 20
| true
| true
| true
| false
| 0.13
| 1.29
| 0.2
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -60
| -9
|
ECN1
|
All2All
| 6
| 94
| 232
| -85
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 168
|
Reviewed by risk; hedges staggered
|
C00185
|
CR5870
|
2024-03-24
|
Calm
| 112
| 307
| 4.3
| 2.5
| 1,588,578,031
|
Industrials:29.4;Financials:8.1;RealEstate:22.6;Consumer:7.9;Healthcare:19.9;Energy:12.2
|
US:62.5;EU:14.0;APAC:7.2;EMEA:11.6;LATAM:4.7
|
BBB:23.3;CCC:11.7;AAA:26.5;BB:11.9;B:18.6;A:8.0
| 1.35
| 64.7
| 266
| 274
| 7.3
| 2
| 35
| 55
| 35
| false
| true
| true
| true
| 0.89
| 0.26
| 0.25
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -11
| 15
|
DealerA
|
All2All
| 1
| 98
| 172
| -327
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 231
|
Rotate into defensive sectors
|
C00186
|
CR2412
|
2025-03-13
|
Stress
| 152
| 766
| 8.3
| -1.7
| 2,695,165,469
|
Utilities:9.0;Consumer:18.4;Materials:21.9;Energy:23.9;Industrials:10.8;Financials:16.0
|
US:69.9;EU:14.0;APAC:8.8;EMEA:4.0;LATAM:3.3
|
AA:58.3;CCC:12.3;BB:10.9;BBB:18.5
| 0.97
| 46
| 222
| 405
| 19.9
| 2.5
| 20
| 55
| 35
| true
| true
| false
| true
| 0.28
| 1.03
| 0.36
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -15
| -16
|
ECN2
|
DealerAxed
| 10
| 87
| 176
| 3
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 106
|
Escalate watchlist names
|
C00187
|
CR9712
|
2025-11-13
|
Calm
| 101
| 359
| 4.1
| 1.8
| 1,098,627,994
|
Utilities:17.1;Energy:46.8;Consumer:36.1
|
US:68.8;EU:9.4;APAC:9.6;EMEA:7.2;LATAM:4.9
|
AAA:6.3;BBB:19.8;BB:15.0;CCC:19.8;B:21.1;A:18.0
| 3.03
| 27.5
| 210
| 306
| 2.8
| 3
| 20
| 55
| 30
| true
| true
| true
| true
| 1.24
| 1.34
| -0.26
| null |
Hedge
|
CDX_IG: +87bps notional
| 18
| 44
|
ECN1
|
RFQ
| 11
| 90
| 238
| 149
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 188
|
Escalate watchlist names
|
C00188
|
CR5565
|
2025-04-04
|
Tightening
| 107
| 383
| 4.6
| 1.9
| 2,249,130,758
|
Tech:21.6;Consumer:24.3;RealEstate:24.7;Industrials:29.3
|
US:69.1;EU:6.0;APAC:10.1;EMEA:9.3;LATAM:5.6
|
A:44.9;CCC:14.2;BB:11.4;BBB:29.6
| 5.07
| 26.5
| 276
| 502
| 14.9
| 3.5
| 35
| 35
| 25
| false
| true
| true
| true
| -0.4
| 1.07
| -0.22
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -19
| -8
|
DealerA
|
Electronic
| 1
| 93
| 339
| -277
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 171
|
Escalate watchlist names
|
C00189
|
CR7452
|
2024-12-07
|
Tightening
| 146
| 518
| 4.8
| 1.9
| 615,190,341
|
Utilities:18.4;Materials:19.3;RealEstate:10.3;Tech:28.5;Financials:7.4;Healthcare:16.0
|
US:62.5;EU:16.3;APAC:8.4;EMEA:8.9;LATAM:4.0
|
A:40.3;CCC:8.2;BBB:42.4;BB:9.0
| 0.9
| 40.5
| 280
| 462
| 7.9
| 2.5
| 30
| 55
| 20
| false
| true
| false
| true
| 1.87
| 0.81
| -0.03
|
RealEstate:EW;Financials:EW
|
Hedge
|
iTraxx_MAIN: +89bps notional
| -54
| 14
|
ECN1
|
RFQ
| 7
| 90
| -178
| -298
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 159
|
Reviewed by risk; hedges staggered
|
C00190
|
CR9672
|
2024-06-17
|
Tightening
| 131
| 470
| 4.4
| 0.8
| 1,068,967,246
|
RealEstate:11.4;Financials:26.3;Comm:18.9;Materials:29.0;Healthcare:14.4
|
US:63.3;EU:12.8;APAC:11.5;EMEA:11.1;LATAM:1.3
|
CCC:29.2;AA:20.5;B:30.8;AAA:19.5
| 3.5
| 24.8
| 92
| 182
| 9.8
| 4
| 20
| 45
| 30
| true
| true
| true
| false
| 1.79
| 1.32
| 0.08
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -14
| 45
|
ECN1
|
Electronic
| 12
| 96
| 10
| -101
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 198
|
Defer adds pending macro print
|
C00191
|
CR2191
|
2025-12-14
|
Calm
| 114
| 356
| 4
| 1.6
| 988,135,699
|
Tech:29.8;Comm:27.4;RealEstate:23.6;Consumer:19.1
|
US:62.8;EU:15.2;APAC:8.5;EMEA:9.7;LATAM:3.8
|
B:30.8;A:20.1;BB:31.5;AA:17.6
| 6.6
| 43.5
| 209
| 408
| 17.2
| 4
| 30
| 35
| 35
| false
| true
| true
| true
| 0.18
| -0.17
| 0.45
|
Tech:EW;Materials:EW
|
Hedge
|
CDX_IG: +107bps notional
| -14
| 31
|
ECN2
|
RFQ
| 6
| 86
| 330
| 79
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 102
|
Rotate into defensive sectors
|
C00192
|
CR5075
|
2024-10-08
|
Stress
| 140
| 790
| 5.3
| -1
| 2,461,072,672
|
Energy:20.1;RealEstate:53.5;Comm:26.4
|
US:67.7;EU:5.9;APAC:14.1;EMEA:6.9;LATAM:5.3
|
AA:23.0;BBB:15.4;CCC:10.2;A:26.6;B:3.1;AAA:21.7
| 2.6
| 45.7
| 204
| 441
| 14.5
| 3.5
| 25
| 55
| 20
| true
| true
| false
| true
| 0.8
| 0.92
| -0.37
| null |
Hedge
|
SingleName_CDS: +187bps notional
| 19
| -20
|
ECN1
|
Electronic
| 1
| 96
| 42
| 47
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 256
|
Defer adds pending macro print
|
C00193
|
CR3251
|
2025-03-15
|
Calm
| 95
| 353
| 3.5
| 2.6
| 123,292,377
|
RealEstate:44.2;Utilities:17.3;Comm:38.5
|
US:67.8;EU:15.1;APAC:9.6;EMEA:4.0;LATAM:3.5
|
CCC:31.9;BB:18.3;AA:15.0;BBB:12.4;B:22.4
| 2.31
| 53.1
| 92
| 424
| 11.1
| 2.5
| 25
| 45
| 25
| true
| true
| true
| false
| 0.4
| 1.65
| 0.3
|
Utilities:EW;Tech:EW
|
Hedge
|
iTraxx_MAIN: +147bps notional
| 19
| -4
|
ECN2
|
RFQ
| 2
| 100
| 52
| -93
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 181
|
Tighten HY exposure bands
|
C00194
|
CR9641
|
2025-09-25
|
Recovery
| 174
| 448
| 4.8
| 0.4
| 461,090,387
|
Utilities:33.6;RealEstate:19.8;Energy:46.6
|
US:68.8;EU:6.5;APAC:9.2;EMEA:10.7;LATAM:4.9
|
CCC:9.4;A:33.9;BBB:11.2;B:9.1;AAA:28.6;BB:7.8
| 5.7
| 33
| 141
| 366
| 15.8
| 3.5
| 35
| 55
| 30
| true
| true
| false
| false
| 1.25
| 1.65
| -0.31
|
Comm:EW
|
Hedge
|
Options_Payer: +194bps notional
| -60
| 34
|
ECN1
|
Electronic
| 8
| 100
| 79
| -387
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 158
|
Reviewed by risk; hedges staggered
|
C00195
|
CR4567
|
2025-01-16
|
Calm
| 76
| 409
| 3.8
| 2.2
| 2,687,064,313
|
Energy:30.4;Materials:18.3;RealEstate:51.3
|
US:58.9;EU:12.9;APAC:13.2;EMEA:8.3;LATAM:6.8
|
CCC:6.2;B:6.6;AA:29.2;AAA:35.5;BBB:14.0;BB:8.5
| 3.79
| 57.5
| 147
| 147
| 17.8
| 2.5
| 20
| 55
| 25
| true
| true
| false
| false
| 0.17
| 1.12
| -0.02
|
Energy:EW
|
Hedge
|
CDX_HY: +171bps notional
| -4
| 44
|
DealerC
|
Electronic
| 2
| 98
| 285
| -286
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 120
|
Reviewed by risk; hedges staggered
|
C00196
|
CR9639
|
2024-05-21
|
Tightening
| 110
| 435
| 4.2
| 1.8
| 184,008,441
|
Energy:31.7;Comm:18.1;Healthcare:31.5;Utilities:18.7
|
US:70.2;EU:6.5;APAC:11.7;EMEA:7.5;LATAM:4.0
|
CCC:22.8;AAA:16.5;A:21.7;BBB:17.0;B:13.9;BB:8.1
| 7.3
| 22.5
| 262
| 152
| 17.9
| 4
| 25
| 55
| 30
| true
| true
| true
| true
| 1.21
| 0.08
| 0.16
| null |
Hedge
|
Treasury_Futures: +57bps notional
| 18
| -17
|
DealerB
|
RFQ
| 0
| 87
| 85
| -272
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 103
|
Defer adds pending macro print
|
C00197
|
CR0208
|
2025-01-20
|
Recovery
| 142
| 598
| 5.9
| 1.5
| 2,395,937,300
|
Energy:24.9;Financials:29.3;Healthcare:45.8
|
US:60.6;EU:18.2;APAC:9.5;EMEA:9.2;LATAM:2.5
|
BB:8.0;AAA:26.5;A:13.3;B:27.0;AA:9.8;CCC:15.2
| 4.15
| 56.2
| 240
| 279
| 14.9
| 2
| 30
| 55
| 25
| true
| true
| true
| true
| -0.39
| 1.5
| -0.31
| null |
Hedge
|
CDX_IG: +120bps notional
| -3
| -25
|
DealerA
|
RFQ
| 3
| 100
| 218
| -200
|
VAR>budget
|
PauseAdds
|
Portfolio VAR above budget
| 229
|
Tighten HY exposure bands
|
C00198
|
CR8164
|
2024-08-27
|
Calm
| 75
| 337
| 3.8
| 2.5
| 2,147,102,696
|
Energy:9.1;Tech:19.6;Utilities:13.7;Financials:23.3;Consumer:17.4;Industrials:17.0
|
US:55.0;EU:15.1;APAC:12.2;EMEA:10.6;LATAM:7.0
|
AA:22.4;CCC:11.7;B:11.5;A:29.8;AAA:15.7;BB:8.9
| 1.67
| 25.6
| 239
| 482
| 13.9
| 2.5
| 25
| 45
| 30
| false
| true
| true
| true
| 1.19
| 1.41
| -0.08
| null |
Hedge
|
iTraxx_XOVER: +182bps notional
| 1
| 45
|
DealerB
|
DealerAxed
| 12
| 90
| 238
| 16
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 251
|
Escalate watchlist names
|
C00199
|
CR0791
|
2024-08-20
|
Calm
| 99
| 280
| 3.9
| 2.3
| 2,938,960,597
|
Energy:17.8;Tech:24.1;Consumer:40.4;Healthcare:17.7
|
US:78.8;EU:5.4;APAC:7.8;EMEA:5.6;LATAM:2.4
|
CCC:7.7;BBB:39.3;BB:16.1;AAA:36.9
| 1.91
| 20.1
| 146
| 508
| 15.4
| 2
| 20
| 35
| 35
| true
| true
| false
| false
| 0.46
| -0.06
| -0.21
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 14
| 9
|
ECN1
|
Electronic
| 11
| 100
| 147
| 116
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 134
|
Escalate watchlist names
|
C00200
|
CR5986
|
2025-08-25
|
Recovery
| 164
| 515
| 5
| 0.8
| 308,385,053
|
Utilities:13.2;Comm:22.6;Healthcare:7.6;Industrials:35.0;Consumer:21.7
|
US:70.1;EU:11.4;APAC:12.5;EMEA:3.0;LATAM:2.9
|
CCC:22.1;BBB:28.4;A:21.5;AA:21.4;B:6.6
| 6.72
| 48.8
| 231
| 121
| 11.3
| 4
| 30
| 45
| 20
| true
| true
| true
| true
| 1.41
| 0.35
| -0.06
|
Materials:EW
|
Hedge
|
CDX_HY: +121bps notional
| 11
| 3
|
DealerB
|
All2All
| 2
| 94
| 49
| -112
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 96
|
Reviewed by risk; hedges staggered
|
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