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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C00301
|
CR1490
|
2025-05-30
|
Stress
| 167
| 823
| 6
| 0.5
| 2,122,270,195
|
Utilities:24.1;Consumer:22.6;Industrials:21.8;Comm:16.0;Financials:15.4
|
US:76.7;EU:5.0;APAC:8.1;EMEA:6.0;LATAM:4.2
|
BBB:33.2;CCC:6.1;AAA:37.3;B:14.5;BB:9.0
| 2.89
| 48.5
| 157
| 641
| 16.9
| 2.5
| 25
| 45
| 30
| false
| true
| false
| false
| 0.2
| 0.69
| -0.31
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -21
| 34
|
DealerA
|
Electronic
| 9
| 87
| 204
| -282
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 248
|
Escalate watchlist names
|
C00302
|
CR8340
|
2024-07-30
|
Calm
| 81
| 288
| 4.4
| 2.3
| 676,916,335
|
Financials:54.9;Energy:30.3;Materials:14.8
|
US:70.8;EU:12.6;APAC:7.7;EMEA:6.1;LATAM:3.0
|
AAA:9.1;BB:27.9;AA:17.0;CCC:7.0;A:17.4;B:21.7
| 5.2
| 59.9
| 179
| 312
| 12.8
| 2
| 20
| 55
| 25
| true
| true
| true
| false
| 0.17
| 0.48
| 0.16
|
Energy:EW
|
Hedge
|
Treasury_Futures: +163bps notional
| -39
| -19
|
ECN2
|
DealerAxed
| 6
| 90
| -186
| -279
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 221
|
Escalate watchlist names
|
C00303
|
CR6594
|
2024-12-17
|
Calm
| 69
| 372
| 4.3
| 2.2
| 945,752,665
|
Comm:22.9;Energy:37.3;Industrials:11.5;Healthcare:28.3
|
US:65.0;EU:10.4;APAC:9.5;EMEA:9.1;LATAM:6.1
|
BBB:30.6;AAA:24.7;AA:22.2;B:22.6
| 3.83
| 37
| 194
| 372
| 4.7
| 3
| 30
| 55
| 35
| true
| true
| false
| false
| 0.31
| -0.23
| 0.57
|
RealEstate:EW;Consumer:EW
|
Hedge
|
CDX_HY: +93bps notional
| -25
| 38
|
ECN2
|
Electronic
| 5
| 85
| 182
| -332
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 133
|
Reviewed by risk; hedges staggered
|
C00304
|
CR8829
|
2025-03-27
|
Recovery
| 143
| 565
| 6.3
| 0.9
| 2,068,402,785
|
Energy:10.5;Healthcare:7.4;Utilities:27.9;Industrials:24.0;Tech:17.7;RealEstate:12.4
|
US:62.0;EU:16.3;APAC:9.3;EMEA:5.6;LATAM:6.7
|
AA:29.8;A:23.5;BB:23.1;BBB:23.6
| 2.67
| 44.9
| 169
| 420
| 10.6
| 3.5
| 20
| 45
| 35
| true
| true
| false
| false
| 2.33
| -0.03
| -0.05
|
Utilities:EW
|
Hedge
|
CDX_IG: +185bps notional
| 11
| 34
|
DealerC
|
RFQ
| 2
| 90
| -47
| -475
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 183
|
Reviewed by risk; hedges staggered
|
C00305
|
CR7487
|
2025-11-14
|
Tightening
| 152
| 436
| 4.2
| 0.9
| 1,458,663,112
|
Healthcare:16.8;Consumer:17.8;Tech:9.6;Financials:26.8;Industrials:29.1
|
US:68.8;EU:5.5;APAC:13.8;EMEA:11.3;LATAM:0.5
|
A:26.2;CCC:42.1;AAA:17.6;BB:14.1
| 4.03
| 34.9
| 166
| 358
| 17.2
| 2
| 25
| 55
| 20
| true
| true
| true
| false
| 2.18
| 0.55
| -0.25
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 1
| -21
|
ECN1
|
All2All
| 7
| 94
| 126
| -471
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 238
|
Reviewed by risk; hedges staggered
|
C00306
|
CR0466
|
2025-11-25
|
Tightening
| 136
| 476
| 4.2
| 1.9
| 457,301,743
|
Industrials:23.9;Healthcare:10.2;Financials:31.3;Consumer:8.3;Materials:26.2
|
US:65.3;EU:15.3;APAC:7.3;EMEA:7.8;LATAM:4.3
|
BB:23.1;B:41.5;AAA:19.2;AA:16.3
| 3.69
| 23.8
| 226
| 383
| 5.5
| 3.5
| 35
| 55
| 25
| false
| true
| true
| true
| 0.65
| 0.57
| 0.54
| null |
Hedge
|
Options_Payer: +177bps notional
| -1
| -10
|
DealerB
|
DealerAxed
| 4
| 85
| -37
| -68
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 153
|
Defer adds pending macro print
|
C00307
|
CR7916
|
2024-08-11
|
Calm
| 104
| 305
| 3.4
| 2.6
| 952,917,842
|
Healthcare:28.2;Utilities:16.1;Financials:19.8;Tech:13.2;Consumer:22.7
|
US:68.1;EU:20.3;APAC:6.7;EMEA:3.3;LATAM:1.7
|
A:29.0;BB:9.1;BBB:35.2;B:6.2;CCC:7.5;AAA:12.9
| 1.7
| 32.9
| 208
| 231
| 16.1
| 3.5
| 35
| 45
| 35
| false
| true
| false
| true
| 2.28
| 1.64
| -0.25
|
Healthcare:EW;Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -37
| -25
|
DealerC
|
RFQ
| 1
| 97
| -175
| -312
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 165
|
Defer adds pending macro print
|
C00308
|
CR4153
|
2025-10-17
|
Stress
| 231
| 725
| 6.3
| -1
| 2,592,296,036
|
Healthcare:26.1;Tech:31.1;RealEstate:8.9;Industrials:13.8;Financials:20.1
|
US:71.5;EU:9.9;APAC:8.9;EMEA:3.7;LATAM:6.0
|
B:7.1;CCC:31.5;BB:13.6;AAA:47.8
| 1.68
| 47.5
| 202
| 377
| 13.1
| 4
| 20
| 55
| 35
| true
| true
| true
| true
| 2.03
| 0.2
| 0.35
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 5
| 38
|
DealerC
|
DealerAxed
| 4
| 88
| 250
| -382
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 98
|
Escalate watchlist names
|
C00309
|
CR9823
|
2025-09-29
|
Calm
| 72
| 315
| 3.2
| 3
| 2,484,330,983
|
Utilities:13.4;Materials:8.2;RealEstate:21.5;Healthcare:20.6;Industrials:17.9;Comm:18.4
|
US:58.2;EU:10.5;APAC:15.5;EMEA:8.9;LATAM:6.9
|
BBB:25.4;BB:9.4;A:22.3;AA:21.1;CCC:12.7;B:9.1
| 1.28
| 52
| 189
| 333
| 13.9
| 4
| 25
| 55
| 20
| false
| true
| true
| false
| 1.06
| 1.64
| 0.41
|
Industrials:EW
|
Hedge
|
CDX_IG: +162bps notional
| -3
| 10
|
DealerC
|
All2All
| 3
| 93
| 292
| 118
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 173
|
Rotate into defensive sectors
|
C00310
|
CR0759
|
2024-07-15
|
Stress
| 171
| 759
| 6.5
| -1.4
| 602,323,724
|
Consumer:21.6;Financials:17.9;Energy:35.2;Materials:25.3
|
US:59.8;EU:10.0;APAC:13.8;EMEA:10.6;LATAM:5.8
|
AAA:9.9;BB:32.7;CCC:11.2;B:26.7;BBB:19.5
| 3.25
| 44.2
| 266
| 282
| 15
| 2.5
| 30
| 55
| 35
| true
| true
| true
| true
| 1.4
| 1.37
| 0.03
| null |
Hedge
|
iTraxx_XOVER: +121bps notional
| -39
| 8
|
DealerC
|
Electronic
| 12
| 89
| -117
| -362
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 187
|
Escalate watchlist names
|
C00311
|
CR2469
|
2025-04-16
|
Tightening
| 114
| 377
| 3.9
| 1.6
| 1,188,493,892
|
Energy:25.3;Industrials:14.5;Utilities:10.1;Healthcare:24.8;Consumer:25.3
|
US:58.8;EU:16.8;APAC:14.3;EMEA:5.6;LATAM:4.5
|
BBB:18.1;BB:28.1;A:24.5;B:21.4;AA:7.9
| 7.01
| 51.8
| 229
| 500
| 4.5
| 2.5
| 30
| 55
| 20
| false
| true
| true
| true
| 2.32
| 1.49
| 0.44
|
Energy:EW
|
Hedge
|
SingleName_CDS: +135bps notional
| -6
| -19
|
DealerB
|
All2All
| 0
| 93
| -65
| -427
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 215
|
Rotate into defensive sectors
|
C00312
|
CR6639
|
2024-03-12
|
Recovery
| 143
| 554
| 5.2
| 0.9
| 433,832,658
|
Healthcare:7.9;Comm:24.0;Tech:24.5;Materials:9.5;Industrials:9.9;Utilities:24.2
|
US:62.7;EU:16.9;APAC:11.0;EMEA:5.0;LATAM:4.5
|
AAA:60.7;B:14.2;BB:10.5;CCC:14.5
| 3.47
| 55.7
| 208
| 333
| 8.3
| 3
| 30
| 45
| 25
| false
| true
| true
| true
| 1.62
| 1.59
| 0.59
|
Materials:EW
|
Hedge
|
CDX_HY: +151bps notional
| 15
| 0
|
ECN1
|
Electronic
| 0
| 98
| -204
| -111
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 97
|
Reviewed by risk; hedges staggered
|
C00313
|
CR2278
|
2024-01-28
|
Tightening
| 138
| 448
| 3.9
| 1.4
| 460,053,631
|
Materials:22.6;Healthcare:7.3;Energy:31.5;Comm:22.4;Industrials:16.2
|
US:68.0;EU:5.7;APAC:12.2;EMEA:5.9;LATAM:8.2
|
B:4.2;AAA:20.9;AA:38.3;A:32.1;BB:4.4
| 2.91
| 37.2
| 261
| 518
| 17.4
| 3.5
| 20
| 45
| 35
| true
| true
| false
| true
| 2.5
| 1.2
| 0.36
|
Comm:EW;RealEstate:EW
|
Hedge
|
Options_Payer: +168bps notional
| -18
| 39
|
DealerB
|
All2All
| 11
| 90
| 231
| 27
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 187
|
Tighten HY exposure bands
|
C00314
|
CR9637
|
2024-01-11
|
Recovery
| 144
| 477
| 5.6
| 0.3
| 2,502,618,595
|
Healthcare:31.9;Financials:26.5;Tech:7.2;RealEstate:25.2;Consumer:9.1
|
US:64.1;EU:8.9;APAC:8.1;EMEA:9.8;LATAM:9.1
|
AAA:22.2;CCC:21.1;BBB:11.5;B:11.3;BB:25.4;AA:8.5
| 5.52
| 61.8
| 152
| 154
| 2
| 3
| 35
| 55
| 35
| false
| true
| true
| false
| -0.05
| 0.29
| 0.26
|
Tech:EW
|
Hedge
|
Treasury_Futures: +80bps notional
| -41
| -25
|
DealerA
|
All2All
| 0
| 99
| -158
| 159
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 107
|
Tighten HY exposure bands
|
C00315
|
CR3479
|
2025-03-12
|
Calm
| 101
| 385
| 3.2
| 2.3
| 284,050,268
|
Comm:24.1;Financials:22.3;Healthcare:34.2;Industrials:19.5
|
US:64.7;EU:16.9;APAC:11.4;EMEA:4.7;LATAM:2.4
|
BBB:15.9;CCC:19.2;B:12.4;A:19.8;AAA:15.9;AA:16.9
| 4.94
| 31.9
| 153
| 125
| 9.5
| 4
| 25
| 35
| 30
| true
| true
| true
| false
| 0.08
| 0.35
| 0.24
|
Financials:EW
|
Hedge
|
CDX_HY: +182bps notional
| 11
| 26
|
DealerC
|
All2All
| 3
| 97
| 324
| -233
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 112
|
Rotate into defensive sectors
|
C00316
|
CR4033
|
2025-11-18
|
Recovery
| 141
| 611
| 4.9
| 1.3
| 1,721,249,308
|
Healthcare:24.8;Utilities:31.4;Tech:32.1;Energy:11.6
|
US:64.4;EU:12.1;APAC:11.1;EMEA:8.3;LATAM:4.0
|
BB:6.4;A:16.4;AAA:30.8;BBB:26.8;AA:15.7;B:4.0
| 0.8
| 43.7
| 113
| 377
| 4.1
| 3.5
| 35
| 35
| 25
| false
| true
| false
| false
| 1.92
| 1.1
| -0.13
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -16
| 43
|
DealerC
|
All2All
| 3
| 86
| -1
| -126
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 110
|
Defer adds pending macro print
|
C00317
|
CR5254
|
2024-12-08
|
Stress
| 150
| 612
| 5.4
| 0.4
| 2,209,045,554
|
Healthcare:16.2;Tech:33.3;RealEstate:30.3;Consumer:20.3
|
US:67.4;EU:7.9;APAC:11.3;EMEA:11.5;LATAM:1.9
|
CCC:39.5;B:26.7;AAA:14.7;BBB:19.0
| 6.2
| 32
| 242
| 267
| 22.4
| 4
| 30
| 55
| 30
| true
| true
| true
| true
| 2.14
| -0.01
| -0.32
|
RealEstate:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 17
| 7
|
DealerC
|
RFQ
| 9
| 99
| -199
| -103
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 209
|
Defer adds pending macro print
|
C00318
|
CR2904
|
2025-01-13
|
Calm
| 77
| 366
| 3.6
| 2.4
| 1,345,219,244
|
RealEstate:25.8;Energy:23.0;Tech:23.9;Materials:5.9;Healthcare:21.4
|
US:66.1;EU:14.6;APAC:5.9;EMEA:9.9;LATAM:3.5
|
AA:9.9;AAA:21.6;A:16.9;B:14.5;BBB:25.4;BB:11.7
| 3.99
| 25.9
| 143
| 382
| 6.5
| 3
| 20
| 45
| 20
| true
| true
| true
| false
| 0.99
| 0.67
| 0.04
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -13
| 27
|
ECN1
|
Electronic
| 5
| 86
| 150
| -169
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 233
|
Escalate watchlist names
|
C00319
|
CR3766
|
2024-06-07
|
Calm
| 89
| 301
| 4.1
| 2.4
| 2,484,322,308
|
Healthcare:46.9;Consumer:17.4;Utilities:14.9;Energy:20.8
|
US:59.4;EU:21.9;APAC:6.4;EMEA:9.3;LATAM:3.1
|
BB:9.4;A:15.0;BBB:32.8;AA:13.9;AAA:28.9
| 1.8
| 49.1
| 244
| 135
| 13
| 3
| 25
| 35
| 25
| true
| true
| false
| true
| 1.7
| 0.72
| -0.32
|
Materials:EW;Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -48
| -8
|
DealerB
|
All2All
| 5
| 87
| -5
| -215
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 224
|
Defer adds pending macro print
|
C00320
|
CR6034
|
2025-10-07
|
Stress
| 194
| 569
| 5.4
| 0.5
| 890,065,617
|
Tech:12.4;Energy:17.8;Healthcare:12.8;Financials:23.7;Comm:22.0;RealEstate:11.3
|
US:70.0;EU:12.2;APAC:8.7;EMEA:8.0;LATAM:1.0
|
CCC:9.9;A:40.4;BBB:20.9;BB:15.1;AA:13.7
| 4.17
| 59.3
| 293
| 282
| 11.9
| 3.5
| 35
| 45
| 30
| false
| true
| false
| true
| 0.22
| 1.36
| -0.06
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 7
| 12
|
DealerA
|
DealerAxed
| 7
| 93
| 42
| 43
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 254
|
Rotate into defensive sectors
|
C00321
|
CR7310
|
2024-12-07
|
Stress
| 233
| 766
| 5.8
| -1.4
| 1,260,439,125
|
Industrials:29.1;Consumer:27.0;Healthcare:43.8
|
US:78.9;EU:7.6;APAC:5.8;EMEA:5.2;LATAM:2.5
|
BB:22.4;CCC:9.7;A:14.1;AAA:15.6;B:38.2
| 0.71
| 26
| 293
| 517
| 9.3
| 3.5
| 25
| 45
| 35
| true
| true
| true
| true
| 1.19
| 0.26
| -0.17
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -60
| 12
|
DealerA
|
Electronic
| 4
| 88
| -61
| -151
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 121
|
Escalate watchlist names
|
C00322
|
CR6977
|
2025-11-18
|
Tightening
| 135
| 413
| 4.1
| 0.6
| 585,398,485
|
Comm:25.0;Industrials:36.3;Healthcare:38.8
|
US:70.5;EU:14.9;APAC:5.7;EMEA:8.5;LATAM:0.4
|
BBB:19.8;A:32.1;B:7.5;AAA:33.5;CCC:7.1
| 6.98
| 49.6
| 94
| 311
| 15.4
| 2
| 35
| 35
| 20
| true
| true
| false
| false
| 0.88
| 1.44
| 0.13
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -30
| 8
|
DealerA
|
Electronic
| 4
| 94
| 85
| -360
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 128
|
Tighten HY exposure bands
|
C00323
|
CR3449
|
2024-06-10
|
Calm
| 66
| 346
| 3.9
| 2.9
| 88,685,662
|
Materials:21.0;Energy:12.0;Industrials:20.7;RealEstate:21.6;Tech:14.6;Consumer:10.1
|
US:70.5;EU:5.7;APAC:8.9;EMEA:7.2;LATAM:7.6
|
A:29.8;BBB:37.2;CCC:4.1;AA:20.1;B:8.8
| 5.1
| 42.7
| 244
| 134
| 10.5
| 3.5
| 30
| 55
| 35
| false
| true
| false
| true
| 0.99
| 1.34
| 0.32
|
Consumer:EW;Comm:EW;Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -58
| 8
|
DealerC
|
Electronic
| 5
| 93
| 386
| -27
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 162
|
Reviewed by risk; hedges staggered
|
C00324
|
CR1437
|
2025-02-03
|
Calm
| 66
| 337
| 3.6
| 1.6
| 852,426,322
|
Healthcare:18.1;Materials:22.7;Energy:7.5;Consumer:25.5;Tech:26.2
|
US:53.5;EU:19.8;APAC:11.7;EMEA:8.4;LATAM:6.6
|
AA:20.5;AAA:20.8;BBB:14.5;B:33.8;BB:10.3
| 4.59
| 63.4
| 129
| 473
| 5.5
| 2.5
| 35
| 45
| 25
| false
| true
| true
| false
| 1.03
| -0.02
| 0.21
|
Financials:EW;Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -11
| 14
|
DealerA
|
Electronic
| 1
| 86
| 32
| 1
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 155
|
Defer adds pending macro print
|
C00325
|
CR3630
|
2024-12-07
|
Stress
| 184
| 747
| 7.7
| 0.1
| 2,226,898,708
|
Industrials:11.1;Materials:16.0;RealEstate:10.4;Comm:19.2;Utilities:17.7;Healthcare:25.6
|
US:78.8;EU:6.9;APAC:6.2;EMEA:3.5;LATAM:4.5
|
A:23.8;CCC:5.7;BBB:10.2;B:16.3;BB:17.9;AAA:26.2
| 1.09
| 20.3
| 322
| 635
| 20.1
| 2.5
| 20
| 35
| 35
| true
| true
| true
| true
| 1.03
| -0.16
| -0.18
|
RealEstate:EW;Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 6
| 38
|
DealerB
|
All2All
| 5
| 99
| -83
| 45
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 192
|
Escalate watchlist names
|
C00326
|
CR4162
|
2025-09-19
|
Tightening
| 122
| 507
| 4.3
| 2
| 1,574,176,750
|
Healthcare:13.6;RealEstate:16.0;Utilities:15.7;Energy:26.2;Tech:28.6
|
US:65.3;EU:13.6;APAC:6.6;EMEA:9.2;LATAM:5.4
|
AA:22.0;A:31.1;AAA:23.5;BBB:23.5
| 5.68
| 24.8
| 224
| 225
| 12.7
| 3.5
| 20
| 55
| 30
| true
| true
| false
| true
| -0.32
| 1.69
| -0.01
|
Materials:EW
|
Hedge
|
Treasury_Futures: +144bps notional
| 4
| 40
|
DealerC
|
RFQ
| 0
| 93
| 207
| -322
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 231
|
Defer adds pending macro print
|
C00327
|
CR8152
|
2025-01-26
|
Calm
| 71
| 353
| 3.9
| 2.5
| 2,418,012,401
|
Utilities:15.1;Financials:24.3;Consumer:30.0;Tech:30.6
|
US:67.1;EU:15.0;APAC:10.9;EMEA:6.3;LATAM:0.7
|
CCC:19.6;BBB:24.1;A:16.7;B:17.0;BB:22.7
| 3.15
| 27
| 126
| 437
| 12.2
| 3.5
| 25
| 45
| 20
| true
| true
| true
| false
| 1.58
| 0.88
| 0.56
|
Industrials:EW;Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 15
| 32
|
ECN2
|
RFQ
| 10
| 100
| 155
| -196
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 248
|
Defer adds pending macro print
|
C00328
|
CR5707
|
2024-05-12
|
Tightening
| 117
| 355
| 4.8
| 1
| 2,017,798,362
|
Comm:39.6;Healthcare:40.3;Materials:20.1
|
US:65.4;EU:8.9;APAC:14.1;EMEA:5.3;LATAM:6.2
|
A:12.0;CCC:19.4;B:16.3;AAA:18.7;BB:21.4;AA:12.4
| 6.88
| 48.7
| 206
| 408
| 10.4
| 3
| 20
| 35
| 25
| true
| true
| true
| true
| 1.31
| 0.77
| 0.44
|
Industrials:EW
|
Hedge
|
Treasury_Futures: +94bps notional
| 9
| 28
|
DealerC
|
Electronic
| 2
| 95
| 164
| -32
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 96
|
Tighten HY exposure bands
|
C00329
|
CR2070
|
2025-03-16
|
Tightening
| 123
| 425
| 5.2
| 1.4
| 190,933,321
|
Healthcare:18.1;Energy:15.9;Comm:14.7;RealEstate:51.3
|
US:69.6;EU:9.8;APAC:12.8;EMEA:4.0;LATAM:3.7
|
CCC:32.6;BBB:11.0;AA:10.5;A:24.4;AAA:21.5
| 0.95
| 51.7
| 190
| 183
| 14.7
| 4
| 35
| 35
| 30
| true
| true
| true
| false
| 2.12
| 0.5
| 0.59
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -43
| -2
|
DealerA
|
RFQ
| 7
| 93
| 175
| -370
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 151
|
Rotate into defensive sectors
|
C00330
|
CR5216
|
2025-08-21
|
Calm
| 84
| 316
| 4.3
| 2.5
| 2,148,430,505
|
Financials:22.5;RealEstate:12.0;Utilities:12.8;Energy:21.6;Materials:23.0;Tech:8.2
|
US:55.4;EU:16.9;APAC:14.2;EMEA:7.4;LATAM:6.2
|
A:16.8;AA:28.8;BBB:9.0;CCC:12.0;BB:33.4
| 1.08
| 64.8
| 117
| 484
| 14.1
| 2
| 25
| 55
| 30
| false
| true
| true
| false
| 0.25
| 0.34
| 0.06
| null |
Hedge
|
CDX_HY: +52bps notional
| -42
| -5
|
DealerA
|
DealerAxed
| 4
| 92
| -87
| -3
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 239
|
Escalate watchlist names
|
C00331
|
CR8699
|
2024-08-12
|
Tightening
| 142
| 461
| 4.1
| 1.9
| 2,159,324,387
|
Materials:15.4;Comm:42.8;Consumer:15.8;Utilities:26.0
|
US:56.9;EU:17.1;APAC:14.0;EMEA:11.1;LATAM:0.9
|
CCC:9.9;BB:11.4;AAA:38.6;BBB:23.9;B:16.1
| 3.09
| 40.6
| 111
| 381
| 2.5
| 3
| 20
| 55
| 20
| true
| true
| true
| false
| 1.34
| 1.18
| 0.05
|
Utilities:EW;Comm:EW;Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 5
| 44
|
DealerA
|
Electronic
| 3
| 90
| 52
| -436
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 237
|
Defer adds pending macro print
|
C00332
|
CR1441
|
2024-09-29
|
Stress
| 179
| 772
| 6.6
| -1.5
| 1,753,240,118
|
Healthcare:29.6;Tech:17.6;Energy:30.8;RealEstate:22.1
|
US:61.5;EU:16.4;APAC:10.5;EMEA:5.1;LATAM:6.5
|
B:14.3;BBB:28.6;A:24.9;AAA:32.2
| 2.64
| 32.5
| 241
| 301
| 15.7
| 3
| 20
| 45
| 30
| true
| true
| false
| true
| 1.94
| 0.86
| -0.13
| null |
Hedge
|
SingleName_CDS: +151bps notional
| 12
| 28
|
DealerC
|
DealerAxed
| 12
| 89
| 121
| -222
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 96
|
Rotate into defensive sectors
|
C00333
|
CR9434
|
2025-05-25
|
Stress
| 232
| 715
| 5.5
| -2
| 1,832,152,975
|
Healthcare:32.2;Energy:26.0;Comm:41.8
|
US:65.5;EU:18.7;APAC:5.9;EMEA:2.9;LATAM:7.1
|
BBB:23.1;BB:20.2;A:18.2;CCC:24.8;AA:13.8
| 2.06
| 43.9
| 139
| 656
| 15.8
| 2.5
| 35
| 45
| 30
| true
| true
| true
| false
| 0.38
| 0.29
| 0.28
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -30
| 15
|
DealerA
|
DealerAxed
| 9
| 96
| 403
| 169
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 196
|
Rotate into defensive sectors
|
C00334
|
CR6865
|
2024-02-08
|
Stress
| 178
| 785
| 7.4
| -0.4
| 351,014,636
|
Financials:23.2;Consumer:23.1;Materials:29.9;Utilities:15.0;Healthcare:8.8
|
US:68.4;EU:8.1;APAC:12.2;EMEA:11.2;LATAM:0.2
|
AAA:28.8;BBB:24.0;B:14.5;AA:32.8
| 6.36
| 52.6
| 258
| 646
| 22.2
| 3.5
| 35
| 35
| 35
| false
| true
| false
| true
| 0.96
| 0.63
| 0.11
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 7
| 0
|
ECN2
|
RFQ
| 6
| 89
| 241
| -113
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 97
|
Escalate watchlist names
|
C00335
|
CR9889
|
2025-05-26
|
Tightening
| 135
| 518
| 4.5
| 0.9
| 1,180,829,357
|
Industrials:15.2;Materials:39.1;Energy:45.7
|
US:66.2;EU:8.3;APAC:8.8;EMEA:8.6;LATAM:8.1
|
CCC:13.5;A:11.7;BB:11.0;AA:16.8;AAA:28.8;B:18.3
| 6.33
| 64.8
| 269
| 168
| 8.1
| 2
| 20
| 55
| 20
| true
| true
| true
| true
| -0.14
| 0.9
| 0.09
|
Financials:EW;Comm:EW;Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 10
| -24
|
ECN1
|
DealerAxed
| 3
| 99
| 419
| -290
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 110
|
Escalate watchlist names
|
C00336
|
CR0183
|
2025-08-31
|
Tightening
| 157
| 438
| 4.8
| 1.1
| 2,019,735,230
|
Financials:20.8;Energy:14.4;Materials:26.2;Tech:13.9;Industrials:11.1;Utilities:13.5
|
US:69.0;EU:7.0;APAC:13.1;EMEA:5.6;LATAM:5.3
|
B:18.6;AAA:21.6;A:16.2;BBB:18.1;BB:17.2;AA:8.2
| 3.93
| 43.2
| 111
| 285
| 14.3
| 4
| 20
| 35
| 25
| true
| true
| true
| false
| 0.99
| 0.19
| -0.07
|
Financials:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -49
| 13
|
ECN1
|
All2All
| 7
| 100
| -89
| -411
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 93
|
Tighten HY exposure bands
|
C00337
|
CR1929
|
2025-01-27
|
Calm
| 86
| 417
| 4.4
| 2.9
| 1,529,085,798
|
Tech:35.9;Materials:20.8;RealEstate:32.1;Comm:11.2
|
US:69.2;EU:13.3;APAC:7.3;EMEA:7.8;LATAM:2.4
|
B:19.6;BB:11.8;BBB:9.7;AA:14.6;AAA:21.3;A:23.0
| 6.83
| 49.9
| 272
| 317
| 7.3
| 3
| 35
| 35
| 20
| true
| true
| true
| true
| 0.38
| 1.31
| 0.15
|
Consumer:EW;Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -12
| -15
|
DealerC
|
All2All
| 7
| 99
| -88
| 29
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 247
|
Tighten HY exposure bands
|
C00338
|
CR8601
|
2025-02-08
|
Recovery
| 101
| 463
| 5.8
| 0.1
| 92,646,417
|
Financials:30.9;Energy:28.3;Materials:40.8
|
US:74.6;EU:7.0;APAC:8.1;EMEA:3.9;LATAM:6.4
|
AA:19.8;CCC:18.0;A:28.5;B:9.6;AAA:9.4;BBB:14.6
| 1.91
| 59.7
| 97
| 477
| 10.4
| 4
| 30
| 45
| 25
| true
| true
| true
| false
| 0.93
| -0.1
| 0.44
| null |
Hedge
|
Options_Payer: +191bps notional
| -43
| 4
|
DealerB
|
All2All
| 1
| 85
| -137
| -147
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 132
|
Escalate watchlist names
|
C00339
|
CR3231
|
2024-09-10
|
Calm
| 110
| 407
| 4
| 2.5
| 2,265,132,293
|
Comm:52.7;Materials:17.0;Energy:30.2
|
US:62.9;EU:6.6;APAC:15.1;EMEA:10.1;LATAM:5.4
|
B:16.5;CCC:6.8;BB:16.5;BBB:60.3
| 6.06
| 53.2
| 270
| 343
| 6.1
| 3.5
| 20
| 35
| 35
| true
| true
| true
| true
| -0.44
| 0.16
| 0.35
|
Consumer:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 13
| 23
|
ECN2
|
DealerAxed
| 7
| 90
| 238
| 58
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 94
|
Defer adds pending macro print
|
C00340
|
CR9979
|
2025-10-02
|
Calm
| 120
| 291
| 4.3
| 1.6
| 2,445,259,408
|
Consumer:15.9;Tech:25.0;RealEstate:24.2;Healthcare:19.9;Financials:6.1;Materials:8.9
|
US:59.8;EU:16.3;APAC:5.9;EMEA:11.4;LATAM:6.6
|
BBB:27.2;CCC:11.0;AA:42.8;BB:19.0
| 3.67
| 39.7
| 163
| 400
| 12.9
| 3
| 30
| 45
| 35
| false
| true
| false
| false
| 1.66
| 0.76
| -0.09
|
Utilities:EW;Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -40
| -4
|
ECN1
|
RFQ
| 2
| 95
| 227
| -395
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 141
|
Rotate into defensive sectors
|
C00341
|
CR3681
|
2024-01-14
|
Stress
| 226
| 655
| 5.3
| 0.2
| 895,993,718
|
RealEstate:19.6;Tech:35.4;Healthcare:23.5;Energy:21.6
|
US:61.9;EU:19.9;APAC:6.3;EMEA:7.0;LATAM:4.8
|
BB:19.2;AAA:33.1;CCC:12.4;A:22.1;BBB:13.1
| 6.31
| 64.6
| 172
| 482
| 19.9
| 2
| 30
| 35
| 30
| true
| true
| true
| false
| 0.03
| 1.26
| 0.55
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 11
| -18
|
ECN1
|
All2All
| 4
| 90
| 326
| 138
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 258
|
Defer adds pending macro print
|
C00342
|
CR8823
|
2024-12-07
|
Calm
| 90
| 406
| 3.8
| 3
| 2,146,414,261
|
Energy:21.5;Materials:24.4;Financials:9.2;Utilities:21.5;Comm:13.2;Healthcare:10.2
|
US:72.7;EU:13.1;APAC:7.3;EMEA:4.1;LATAM:2.8
|
B:37.6;BB:10.1;AA:21.5;AAA:30.8
| 3.96
| 37.4
| 88
| 476
| 9
| 2.5
| 20
| 35
| 35
| true
| true
| true
| false
| -0.22
| 1.57
| -0.22
|
Energy:EW;Utilities:EW
|
Hedge
|
iTraxx_MAIN: +76bps notional
| 17
| -6
|
DealerA
|
RFQ
| 11
| 92
| 444
| -81
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 225
|
Rotate into defensive sectors
|
C00343
|
CR7845
|
2024-08-02
|
Tightening
| 133
| 421
| 5.1
| 1.6
| 1,333,290,205
|
Consumer:24.9;Comm:32.1;Energy:11.4;Tech:11.0;Healthcare:20.5
|
US:71.5;EU:7.2;APAC:9.9;EMEA:7.9;LATAM:3.4
|
B:15.7;AAA:14.4;BB:14.4;CCC:21.2;A:10.8;BBB:23.6
| 3.77
| 62.3
| 172
| 290
| 17.5
| 3
| 25
| 35
| 30
| true
| true
| true
| false
| -0.49
| 1.19
| 0.55
|
Utilities:EW;RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 13
| 7
|
DealerA
|
DealerAxed
| 1
| 91
| 210
| -25
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 153
|
Defer adds pending macro print
|
C00344
|
CR0384
|
2024-10-28
|
Recovery
| 158
| 536
| 6.4
| 1.3
| 1,921,130,143
|
Healthcare:14.9;Consumer:29.1;Financials:9.3;Comm:18.0;Utilities:21.0;Industrials:7.7
|
US:74.8;EU:7.8;APAC:13.9;EMEA:3.2;LATAM:0.3
|
A:13.1;AA:20.1;AAA:19.0;BB:8.4;B:13.2;BBB:26.1
| 4.12
| 55.3
| 157
| 389
| 3.8
| 4
| 35
| 55
| 35
| false
| true
| false
| false
| 1.19
| 1.71
| -0.11
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -50
| 25
|
DealerC
|
DealerAxed
| 1
| 92
| -97
| -449
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 121
|
Rotate into defensive sectors
|
C00345
|
CR3047
|
2024-11-19
|
Recovery
| 167
| 495
| 6.4
| 0.7
| 1,631,366,227
|
Energy:41.3;Healthcare:40.8;Consumer:17.9
|
US:77.1;EU:6.0;APAC:6.8;EMEA:8.9;LATAM:1.1
|
BB:15.7;BBB:18.1;B:12.1;CCC:39.4;AA:14.6
| 3.39
| 37.9
| 99
| 129
| 16.1
| 3.5
| 25
| 45
| 25
| true
| true
| true
| false
| -0.19
| 1.8
| -0.34
|
Materials:EW;Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -4
| 11
|
ECN1
|
Electronic
| 11
| 86
| 287
| -124
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 120
|
Tighten HY exposure bands
|
C00346
|
CR6772
|
2025-07-06
|
Recovery
| 140
| 541
| 6.4
| 0.3
| 862,572,337
|
Tech:21.8;Healthcare:14.4;Utilities:18.6;RealEstate:27.9;Consumer:17.3
|
US:64.9;EU:16.6;APAC:9.0;EMEA:3.1;LATAM:6.3
|
B:2.8;CCC:11.9;AAA:28.4;BBB:25.8;BB:8.0;AA:23.0
| 4.66
| 30.4
| 263
| 263
| 10.3
| 4
| 20
| 55
| 30
| true
| true
| false
| true
| 2.11
| 0.12
| -0.3
| null |
Hedge
|
iTraxx_XOVER: +102bps notional
| -46
| 37
|
DealerA
|
Electronic
| 9
| 93
| 30
| -3
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 171
|
Defer adds pending macro print
|
C00347
|
CR4182
|
2024-02-25
|
Stress
| 224
| 719
| 5.7
| -1.8
| 214,391,187
|
Financials:8.6;Comm:28.4;Materials:26.1;Industrials:7.4;Utilities:29.5
|
US:62.1;EU:11.8;APAC:13.3;EMEA:8.7;LATAM:4.1
|
AA:25.2;AAA:8.4;A:31.2;CCC:8.3;BBB:26.9
| 4.63
| 50.6
| 291
| 636
| 8.5
| 2
| 20
| 45
| 20
| true
| true
| false
| true
| 2.04
| 0.54
| -0.1
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 20
| -10
|
ECN2
|
All2All
| 9
| 93
| 13
| 99
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 146
|
Tighten HY exposure bands
|
C00348
|
CR4473
|
2024-12-02
|
Stress
| 236
| 557
| 8.1
| 0.1
| 1,343,115,134
|
Healthcare:20.2;Materials:15.8;Utilities:64.0
|
US:62.4;EU:15.4;APAC:9.3;EMEA:8.5;LATAM:4.5
|
CCC:24.0;AAA:43.4;BB:11.6;B:20.9
| 3.65
| 60.8
| 270
| 331
| 20
| 3.5
| 20
| 55
| 25
| true
| true
| true
| true
| 1.36
| 0.18
| -0.22
|
Tech:EW;Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -3
| 39
|
DealerC
|
All2All
| 10
| 86
| 198
| -418
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 235
|
Rotate into defensive sectors
|
C00349
|
CR7343
|
2024-12-27
|
Calm
| 94
| 301
| 4.3
| 2.7
| 311,477,857
|
Healthcare:25.2;Consumer:45.4;RealEstate:29.3
|
US:71.4;EU:10.0;APAC:9.9;EMEA:4.8;LATAM:3.9
|
BBB:7.6;AA:20.8;AAA:15.3;BB:16.0;A:18.7;CCC:21.7
| 3.84
| 30.5
| 98
| 197
| 9
| 3.5
| 20
| 35
| 30
| true
| true
| true
| false
| 2.28
| 0.01
| 0.35
|
Industrials:EW;Consumer:EW
|
Hedge
|
CDX_HY: +58bps notional
| -7
| -12
|
ECN1
|
Electronic
| 6
| 95
| 275
| 43
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 230
|
Rotate into defensive sectors
|
C00350
|
CR5545
|
2025-10-15
|
Recovery
| 134
| 607
| 5.9
| 0.1
| 524,686,902
|
RealEstate:34.3;Consumer:26.1;Energy:39.6
|
US:66.6;EU:13.9;APAC:7.2;EMEA:9.3;LATAM:3.0
|
B:33.7;CCC:18.6;A:21.2;AA:14.0;AAA:12.5
| 7.01
| 43.5
| 185
| 326
| 2.9
| 2.5
| 20
| 35
| 30
| true
| true
| true
| false
| 1.82
| 0.17
| -0.16
|
Consumer:EW;Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -49
| 12
|
ECN1
|
Electronic
| 5
| 98
| 351
| -351
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 96
|
Defer adds pending macro print
|
C00351
|
CR7814
|
2024-04-06
|
Stress
| 257
| 665
| 6
| 0.1
| 2,800,297,942
|
Industrials:22.9;RealEstate:41.0;Materials:16.8;Financials:19.2
|
US:72.7;EU:8.1;APAC:11.5;EMEA:6.8;LATAM:0.8
|
B:8.3;AA:23.8;CCC:19.2;BBB:33.4;BB:15.3
| 5.61
| 49.5
| 275
| 341
| 9.8
| 2
| 25
| 55
| 30
| true
| true
| true
| true
| 0.42
| 0.38
| 0.52
|
Financials:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -14
| 31
|
ECN1
|
RFQ
| 9
| 98
| 35
| 76
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 91
|
Defer adds pending macro print
|
C00352
|
CR5343
|
2025-08-07
|
Tightening
| 92
| 418
| 4.8
| 1.7
| 779,132,787
|
Industrials:17.9;Consumer:10.0;Healthcare:28.1;Comm:20.3;Energy:11.2;Financials:12.5
|
US:59.2;EU:12.5;APAC:13.3;EMEA:9.0;LATAM:6.0
|
B:17.3;BBB:25.9;BB:8.4;A:21.3;AAA:15.6;CCC:11.5
| 2.72
| 50.8
| 199
| 222
| 11.7
| 2.5
| 35
| 35
| 20
| false
| true
| true
| false
| 0.08
| 0.52
| -0.1
|
Tech:EW;Financials:EW;RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -57
| 21
|
DealerA
|
All2All
| 4
| 92
| 20
| 164
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 160
|
Reviewed by risk; hedges staggered
|
C00353
|
CR5332
|
2025-05-30
|
Tightening
| 139
| 508
| 4.3
| 1.9
| 2,905,213,021
|
Materials:18.2;Consumer:59.1;RealEstate:22.7
|
US:63.4;EU:15.7;APAC:12.7;EMEA:4.4;LATAM:3.8
|
BBB:24.7;AAA:25.2;B:11.8;A:20.0;AA:18.4
| 0.51
| 62.7
| 206
| 395
| 4.4
| 3
| 35
| 45
| 25
| true
| true
| false
| true
| -0.3
| 0.2
| -0.26
|
Energy:EW
|
Hedge
|
CDX_IG: +139bps notional
| -13
| 5
|
DealerA
|
RFQ
| 12
| 95
| -152
| -315
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 123
|
Defer adds pending macro print
|
C00354
|
CR0450
|
2024-12-22
|
Calm
| 93
| 408
| 4.2
| 1.7
| 1,692,294,638
|
Healthcare:10.6;Financials:21.4;Utilities:30.5;Comm:37.6
|
US:70.4;EU:11.2;APAC:7.0;EMEA:7.8;LATAM:3.6
|
B:7.7;BB:7.3;CCC:10.2;BBB:18.1;AAA:27.0;AA:29.7
| 6.2
| 33.2
| 193
| 135
| 5.6
| 3.5
| 25
| 35
| 25
| true
| true
| true
| false
| 1.8
| 0.1
| -0.17
|
Industrials:EW
|
Hedge
|
iTraxx_MAIN: +180bps notional
| 2
| 35
|
ECN1
|
Electronic
| 2
| 91
| 60
| -353
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 133
|
Defer adds pending macro print
|
C00355
|
CR2673
|
2024-08-03
|
Calm
| 103
| 368
| 4
| 2.8
| 1,810,843,847
|
Consumer:23.3;Materials:19.9;Industrials:30.7;Tech:7.5;Comm:18.6
|
US:71.1;EU:13.2;APAC:5.9;EMEA:3.9;LATAM:5.9
|
BB:28.6;A:24.5;AA:24.6;CCC:22.3
| 6.03
| 31
| 240
| 165
| 4.1
| 2
| 30
| 55
| 30
| true
| true
| true
| true
| 0.71
| 1.12
| 0.35
|
Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -18
| 39
|
DealerA
|
All2All
| 3
| 89
| 173
| 48
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 152
|
Reviewed by risk; hedges staggered
|
C00356
|
CR1568
|
2024-04-12
|
Stress
| 227
| 568
| 5.8
| -0.4
| 1,459,346,745
|
Consumer:34.4;Healthcare:26.6;Tech:11.7;Comm:14.0;RealEstate:13.3
|
US:61.7;EU:12.8;APAC:15.9;EMEA:6.5;LATAM:3.2
|
A:9.2;AAA:16.2;AA:17.2;CCC:22.7;BBB:13.6;BB:21.0
| 3.74
| 47.1
| 166
| 621
| 18.5
| 2
| 25
| 35
| 20
| true
| true
| true
| false
| 0.79
| 0.36
| 0.4
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 1
| 23
|
DealerC
|
Electronic
| 11
| 93
| 209
| 107
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 197
|
Escalate watchlist names
|
C00357
|
CR9191
|
2024-05-27
|
Recovery
| 146
| 504
| 5.2
| 1.6
| 253,695,190
|
Energy:22.5;Materials:19.5;RealEstate:21.3;Comm:12.5;Utilities:10.7;Consumer:13.4
|
US:59.0;EU:16.9;APAC:8.6;EMEA:10.8;LATAM:4.8
|
B:20.2;AAA:16.9;BBB:25.9;BB:19.3;CCC:17.7
| 7.26
| 29.9
| 110
| 290
| 14.2
| 2
| 30
| 35
| 35
| false
| true
| true
| false
| 1.9
| 0.45
| 0.26
|
Consumer:EW
|
Hedge
|
iTraxx_XOVER: +173bps notional
| 4
| -20
|
DealerC
|
All2All
| 8
| 91
| 398
| -260
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 158
|
Escalate watchlist names
|
C00358
|
CR2037
|
2025-09-08
|
Tightening
| 106
| 453
| 4.3
| 1.6
| 867,313,946
|
Healthcare:21.6;Materials:39.1;Tech:16.3;Consumer:23.0
|
US:69.8;EU:12.8;APAC:10.0;EMEA:5.2;LATAM:2.2
|
AA:34.0;BBB:14.4;BB:8.0;B:11.5;AAA:32.1
| 4.79
| 42.5
| 175
| 514
| 2.7
| 2
| 30
| 35
| 35
| true
| true
| false
| false
| 1.07
| 0.53
| -0.23
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 11
| -4
|
DealerA
|
All2All
| 9
| 91
| 419
| -261
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 170
|
Escalate watchlist names
|
C00359
|
CR9441
|
2024-11-17
|
Tightening
| 94
| 492
| 4
| 1.8
| 2,926,563,864
|
Industrials:13.9;Materials:23.8;Energy:24.3;Utilities:25.3;Tech:12.7
|
US:69.3;EU:10.8;APAC:9.5;EMEA:8.1;LATAM:2.3
|
BBB:15.1;AA:16.6;A:20.1;B:13.6;AAA:16.1;BB:18.6
| 5.58
| 29.5
| 116
| 512
| 13.4
| 3.5
| 25
| 35
| 30
| true
| true
| true
| false
| 1.17
| -0.18
| 0.42
| null |
Hedge
|
CDX_IG: +87bps notional
| -59
| 21
|
ECN1
|
DealerAxed
| 8
| 89
| 234
| -326
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 176
|
Escalate watchlist names
|
C00360
|
CR9913
|
2024-07-13
|
Tightening
| 153
| 372
| 5.1
| 1.7
| 1,671,819,741
|
RealEstate:31.8;Utilities:18.7;Materials:49.5
|
US:64.1;EU:6.1;APAC:12.7;EMEA:8.2;LATAM:8.8
|
BB:11.6;A:28.8;AAA:18.0;AA:41.6
| 5.57
| 34.8
| 194
| 220
| 4.3
| 3.5
| 35
| 55
| 30
| true
| true
| false
| false
| 0.93
| 0.6
| -0.1
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 8
| -24
|
ECN1
|
RFQ
| 7
| 97
| -63
| -299
|
Region>limit
|
PauseAdds
|
Regional concentration above limit
| 219
|
Tighten HY exposure bands
|
C00361
|
CR3672
|
2024-12-09
|
Tightening
| 105
| 463
| 4.4
| 0.7
| 1,248,878,098
|
Utilities:19.4;Materials:21.0;RealEstate:12.7;Energy:12.5;Industrials:22.2;Tech:12.2
|
US:63.0;EU:12.6;APAC:13.3;EMEA:3.9;LATAM:7.1
|
B:4.9;AA:35.0;A:19.9;AAA:23.0;CCC:17.2
| 6.23
| 37.4
| 95
| 215
| 7.7
| 2.5
| 20
| 55
| 35
| true
| true
| false
| false
| 0.7
| 0.88
| -0.12
| null |
Hedge
|
CDX_HY: +132bps notional
| 15
| 28
|
DealerA
|
All2All
| 2
| 85
| 145
| -2
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 131
|
Reviewed by risk; hedges staggered
|
C00362
|
CR1279
|
2025-04-09
|
Calm
| 113
| 354
| 3.6
| 2.1
| 2,500,049,207
|
Industrials:10.5;Comm:20.3;RealEstate:14.2;Financials:32.2;Energy:11.1;Tech:11.7
|
US:69.3;EU:12.5;APAC:8.3;EMEA:6.4;LATAM:3.6
|
BBB:20.3;AAA:8.7;AA:30.8;CCC:9.8;BB:30.4
| 5.31
| 52.4
| 266
| 269
| 8.8
| 3
| 35
| 35
| 25
| false
| true
| true
| true
| 2.11
| 0.3
| 0.3
|
Comm:EW;Energy:EW;Materials:EW
|
Hedge
|
CDX_HY: +125bps notional
| 6
| -4
|
DealerA
|
Electronic
| 2
| 89
| 304
| -236
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 175
|
Reviewed by risk; hedges staggered
|
C00363
|
CR9972
|
2024-01-11
|
Stress
| 177
| 679
| 6.4
| 0.5
| 99,887,696
|
Healthcare:30.3;Industrials:8.8;Tech:28.0;Consumer:7.8;Materials:25.1
|
US:71.1;EU:12.6;APAC:6.1;EMEA:8.8;LATAM:1.5
|
BBB:21.1;A:9.3;AA:25.7;BB:16.1;B:9.5;AAA:18.3
| 5.93
| 22.2
| 268
| 501
| 8.5
| 2.5
| 25
| 35
| 30
| true
| true
| false
| true
| 1.68
| -0.23
| 0.57
| null |
Hedge
|
CDX_IG: +186bps notional
| -31
| 43
|
DealerB
|
All2All
| 2
| 97
| 110
| -258
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 152
|
Rotate into defensive sectors
|
C00364
|
CR5479
|
2025-04-27
|
Tightening
| 153
| 426
| 3.9
| 0.8
| 2,013,448,264
|
Comm:16.8;Consumer:28.4;Energy:18.6;Financials:22.1;Utilities:14.1
|
US:57.7;EU:16.8;APAC:11.2;EMEA:11.0;LATAM:3.2
|
AA:16.6;AAA:21.4;BB:20.2;B:29.6;A:12.3
| 7.29
| 20.2
| 86
| 230
| 12.3
| 3.5
| 35
| 45
| 20
| false
| true
| true
| false
| 0.5
| 0.19
| 0.2
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -27
| 44
|
ECN2
|
Electronic
| 12
| 89
| 114
| -104
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 217
|
Escalate watchlist names
|
C00365
|
CR3808
|
2025-03-12
|
Calm
| 89
| 332
| 4.1
| 2.4
| 2,143,919,037
|
Energy:16.3;RealEstate:15.8;Healthcare:9.3;Utilities:18.2;Consumer:21.4;Tech:19.0
|
US:70.9;EU:7.3;APAC:14.0;EMEA:4.9;LATAM:2.9
|
A:30.0;AAA:17.9;B:13.2;CCC:38.9
| 4.83
| 20.7
| 265
| 288
| 2.8
| 4
| 30
| 45
| 35
| false
| true
| true
| true
| 2.46
| 0.01
| 0.32
| null |
Hedge
|
SingleName_CDS: +129bps notional
| -46
| 11
|
DealerA
|
RFQ
| 2
| 100
| 372
| -138
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 224
|
Rotate into defensive sectors
|
C00366
|
CR7146
|
2024-01-17
|
Recovery
| 180
| 543
| 5.7
| 1.7
| 1,941,957,726
|
Consumer:14.0;Industrials:24.3;Comm:9.7;Materials:17.0;Financials:11.6;Healthcare:23.4
|
US:68.4;EU:10.5;APAC:7.3;EMEA:7.1;LATAM:6.7
|
AA:19.6;CCC:9.2;AAA:18.7;BBB:19.8;BB:32.8
| 1.67
| 58.1
| 238
| 497
| 2.9
| 4
| 20
| 55
| 20
| true
| true
| true
| true
| 2.38
| 0.76
| -0.25
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -31
| 24
|
ECN1
|
Electronic
| 4
| 90
| 342
| -327
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 230
|
Escalate watchlist names
|
C00367
|
CR3988
|
2025-08-21
|
Calm
| 82
| 391
| 4.1
| 1.6
| 675,274,896
|
Utilities:21.0;Energy:6.7;Tech:22.2;Comm:28.5;Consumer:21.6
|
US:59.6;EU:8.9;APAC:17.7;EMEA:9.5;LATAM:4.3
|
BB:11.1;A:29.2;CCC:7.9;AA:26.1;BBB:11.0;AAA:14.8
| 4.29
| 50.8
| 92
| 309
| 2.5
| 2.5
| 20
| 35
| 35
| true
| true
| false
| false
| 0.69
| -0.06
| -0.12
|
Consumer:EW;Financials:EW
|
Hedge
|
CDX_IG: +100bps notional
| 18
| 37
|
DealerB
|
DealerAxed
| 8
| 85
| 288
| -209
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 133
|
Tighten HY exposure bands
|
C00368
|
CR7371
|
2025-07-24
|
Tightening
| 91
| 437
| 4.2
| 1.3
| 2,698,550,969
|
Materials:52.5;Energy:23.2;Tech:24.3
|
US:68.5;EU:9.7;APAC:11.0;EMEA:7.7;LATAM:3.0
|
BBB:36.0;B:20.7;AAA:24.1;CCC:19.3
| 4.85
| 22.7
| 184
| 243
| 8
| 4
| 20
| 35
| 30
| true
| true
| true
| false
| 1.45
| 0.17
| -0.14
|
Industrials:EW;Utilities:EW
|
Hedge
|
CDX_IG: +110bps notional
| -30
| -11
|
DealerB
|
All2All
| 12
| 96
| -116
| 170
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 191
|
Reviewed by risk; hedges staggered
|
C00369
|
CR5138
|
2024-07-12
|
Recovery
| 146
| 484
| 5.8
| 2
| 81,025,572
|
Industrials:20.9;RealEstate:47.8;Energy:11.8;Comm:19.5
|
US:62.0;EU:12.9;APAC:8.8;EMEA:10.3;LATAM:6.0
|
CCC:25.0;A:26.4;BB:16.6;AAA:32.0
| 1.87
| 48.8
| 109
| 271
| 17.2
| 2.5
| 30
| 55
| 25
| true
| true
| true
| false
| 0.64
| 1.75
| -0.17
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -8
| -19
|
ECN2
|
DealerAxed
| 2
| 88
| 182
| -263
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 235
|
Tighten HY exposure bands
|
C00370
|
CR7841
|
2024-03-11
|
Calm
| 95
| 281
| 3.4
| 1.8
| 1,417,852,366
|
Materials:12.0;Healthcare:27.2;Utilities:25.2;Energy:9.7;Comm:25.9
|
US:59.7;EU:10.4;APAC:13.5;EMEA:9.9;LATAM:6.5
|
A:22.4;AA:16.7;B:13.5;CCC:8.1;BBB:39.3
| 5.45
| 38.9
| 172
| 165
| 10.6
| 2.5
| 30
| 55
| 30
| false
| true
| false
| false
| 0.97
| 0.38
| -0.26
|
RealEstate:EW;Healthcare:EW
|
Hedge
|
CDX_HY: +188bps notional
| -31
| -1
|
ECN1
|
All2All
| 12
| 93
| -203
| -129
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 250
|
Defer adds pending macro print
|
C00371
|
CR5977
|
2025-09-19
|
Stress
| 160
| 678
| 7.9
| 0.5
| 1,826,700,241
|
Healthcare:52.5;Consumer:36.9;Tech:10.6
|
US:70.3;EU:6.3;APAC:8.1;EMEA:14.1;LATAM:1.2
|
BB:22.8;BBB:10.7;A:26.4;B:13.2;AA:22.1;CCC:4.9
| 2.86
| 31
| 321
| 557
| 9
| 2
| 30
| 35
| 35
| true
| true
| true
| true
| -0.01
| 0.69
| -0.22
|
Consumer:EW
|
Hedge
|
CDX_IG: +175bps notional
| -15
| -15
|
DealerA
|
RFQ
| 9
| 94
| 267
| 100
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 207
|
Reviewed by risk; hedges staggered
|
C00372
|
CR2561
|
2024-06-13
|
Calm
| 111
| 317
| 4
| 1.7
| 1,843,327,950
|
Consumer:26.2;Financials:18.6;Comm:55.1
|
US:71.3;EU:9.5;APAC:13.0;EMEA:5.5;LATAM:0.7
|
BB:16.6;AA:18.1;A:23.6;CCC:19.0;BBB:22.7
| 2.5
| 50.4
| 136
| 209
| 13.9
| 4
| 25
| 55
| 35
| true
| true
| true
| false
| 0.1
| 0.97
| 0.16
|
Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 5
| -1
|
ECN2
|
RFQ
| 9
| 89
| 227
| -405
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 169
|
Rotate into defensive sectors
|
C00373
|
CR9230
|
2025-10-03
|
Stress
| 224
| 721
| 7.9
| -0.2
| 2,405,105,694
|
Consumer:47.2;Materials:37.3;Comm:15.5
|
US:66.9;EU:14.9;APAC:6.6;EMEA:4.9;LATAM:6.7
|
BBB:28.6;A:11.3;AAA:28.4;B:12.4;CCC:19.3
| 5.7
| 53.1
| 270
| 295
| 16
| 3
| 20
| 45
| 20
| true
| true
| true
| true
| 2.34
| 0.78
| 0.56
| null |
Hedge
|
Options_Payer: +135bps notional
| -31
| 19
|
DealerB
|
RFQ
| 9
| 94
| -45
| -5
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 218
|
Defer adds pending macro print
|
C00374
|
CR4330
|
2025-09-30
|
Tightening
| 137
| 508
| 5
| 1.2
| 696,135,039
|
Utilities:31.2;Industrials:20.4;Financials:48.4
|
US:66.6;EU:11.2;APAC:6.5;EMEA:12.2;LATAM:3.5
|
BB:17.3;A:21.4;AAA:37.8;AA:23.5
| 1.55
| 25.9
| 105
| 347
| 7.9
| 3.5
| 30
| 35
| 35
| true
| true
| false
| false
| 2.14
| 1.24
| 0.45
|
Industrials:EW;Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -41
| 13
|
DealerA
|
Electronic
| 12
| 89
| 340
| -292
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 123
|
Escalate watchlist names
|
C00375
|
CR9960
|
2025-11-14
|
Calm
| 76
| 307
| 3.3
| 2.4
| 1,118,751,244
|
RealEstate:39.5;Financials:45.7;Energy:14.8
|
US:56.8;EU:10.7;APAC:15.7;EMEA:11.0;LATAM:5.8
|
BB:34.4;AAA:16.0;CCC:6.5;BBB:20.2;A:11.0;AA:11.9
| 2.24
| 45.9
| 265
| 339
| 14.2
| 2.5
| 25
| 35
| 20
| true
| true
| true
| true
| 2.19
| 0.22
| -0.04
|
Healthcare:EW;Tech:EW
|
Hedge
|
Treasury_Futures: +120bps notional
| -13
| 21
|
ECN2
|
All2All
| 1
| 95
| -72
| -407
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 195
|
Defer adds pending macro print
|
C00376
|
CR0067
|
2025-06-01
|
Stress
| 198
| 799
| 6.3
| -0.6
| 849,214,469
|
Consumer:25.9;Energy:23.7;Comm:15.9;RealEstate:34.5
|
US:58.2;EU:22.1;APAC:8.1;EMEA:9.3;LATAM:2.3
|
A:28.7;B:10.9;BBB:27.1;AAA:33.3
| 3.76
| 22.2
| 247
| 405
| 7.3
| 2.5
| 20
| 35
| 30
| true
| true
| false
| true
| 1.97
| 0.43
| 0.24
|
Comm:EW;Healthcare:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -10
| 34
|
ECN2
|
Electronic
| 2
| 90
| 170
| -104
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 136
|
Rotate into defensive sectors
|
C00377
|
CR2351
|
2024-04-04
|
Stress
| 192
| 835
| 8.1
| -1.4
| 1,034,420,063
|
Tech:44.7;RealEstate:14.5;Financials:40.8
|
US:66.1;EU:19.2;APAC:7.2;EMEA:6.9;LATAM:0.6
|
AA:16.7;BBB:29.9;CCC:26.4;A:27.0
| 4.23
| 63
| 188
| 459
| 11.7
| 4
| 20
| 45
| 25
| true
| true
| true
| false
| 1.17
| 0.28
| 0.59
|
Industrials:EW
|
Hedge
|
Options_Payer: +83bps notional
| -16
| 14
|
ECN1
|
DealerAxed
| 3
| 99
| 352
| -400
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 112
|
Escalate watchlist names
|
C00378
|
CR2278
|
2025-07-21
|
Calm
| 92
| 381
| 4.5
| 2
| 2,223,078,677
|
Healthcare:21.2;Utilities:38.9;Materials:28.2;Financials:11.7
|
US:65.6;EU:16.1;APAC:6.1;EMEA:5.0;LATAM:7.3
|
B:22.9;CCC:13.1;A:22.7;BB:41.2
| 3.48
| 48.4
| 184
| 183
| 17.3
| 3
| 30
| 45
| 25
| true
| true
| true
| false
| 1.09
| 1.36
| -0.25
| null |
Hedge
|
iTraxx_XOVER: +182bps notional
| -47
| 36
|
ECN1
|
RFQ
| 6
| 98
| -195
| -292
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 105
|
Tighten HY exposure bands
|
C00379
|
CR0703
|
2024-08-27
|
Tightening
| 132
| 379
| 4.8
| 1
| 676,344,226
|
Tech:16.3;Utilities:14.9;Materials:12.6;Energy:22.2;Industrials:13.2;Healthcare:20.8
|
US:56.3;EU:16.1;APAC:14.6;EMEA:8.1;LATAM:4.9
|
B:11.2;CCC:11.9;A:32.6;BBB:44.3
| 2.31
| 51.5
| 141
| 479
| 10.7
| 2.5
| 20
| 45
| 20
| true
| true
| true
| false
| 0.69
| 0.38
| -0.09
| null |
Hedge
|
SingleName_CDS: +122bps notional
| 17
| 27
|
DealerB
|
DealerAxed
| 3
| 88
| 332
| -102
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 158
|
Escalate watchlist names
|
C00380
|
CR0979
|
2024-10-05
|
Calm
| 93
| 363
| 3.9
| 1.5
| 2,130,019,880
|
Comm:34.8;Energy:18.6;RealEstate:11.4;Materials:16.8;Financials:18.5
|
US:54.3;EU:14.0;APAC:15.6;EMEA:10.4;LATAM:5.6
|
B:11.0;BB:5.4;A:47.6;BBB:36.0
| 5.57
| 56.1
| 215
| 454
| 10.5
| 2
| 30
| 35
| 30
| true
| true
| false
| true
| -0.23
| 0.22
| 0.48
| null |
Hedge
|
iTraxx_XOVER: +75bps notional
| -3
| -5
|
DealerB
|
DealerAxed
| 12
| 89
| 261
| 110
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 99
|
Escalate watchlist names
|
C00381
|
CR3050
|
2025-12-17
|
Stress
| 165
| 752
| 7.3
| -1.1
| 1,396,446,110
|
Healthcare:35.7;RealEstate:32.9;Consumer:31.4
|
US:78.5;EU:9.0;APAC:5.3;EMEA:6.8;LATAM:0.5
|
BBB:25.9;A:23.4;AA:40.3;CCC:10.4
| 6.11
| 28
| 248
| 407
| 18
| 4
| 20
| 55
| 20
| true
| true
| false
| true
| 1.89
| 1.15
| 0.24
|
Consumer:EW;Tech:EW;Healthcare:EW
|
Hedge
|
Treasury_Futures: +199bps notional
| -12
| 44
|
DealerA
|
All2All
| 8
| 86
| -171
| -203
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 142
|
Escalate watchlist names
|
C00382
|
CR8683
|
2024-04-06
|
Calm
| 112
| 293
| 4.5
| 1.7
| 272,292,565
|
Energy:12.1;RealEstate:34.1;Utilities:13.2;Consumer:27.3;Healthcare:13.3
|
US:74.4;EU:10.7;APAC:6.7;EMEA:6.7;LATAM:1.5
|
B:39.3;AA:17.0;AAA:28.2;BBB:15.5
| 5.59
| 52.8
| 256
| 195
| 11.4
| 2.5
| 30
| 55
| 20
| true
| true
| true
| true
| 1.18
| 0.89
| 0.21
|
Healthcare:EW;Financials:EW
|
Hedge
|
iTraxx_MAIN: +67bps notional
| 19
| -3
|
ECN2
|
Electronic
| 9
| 94
| 363
| -29
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 183
|
Escalate watchlist names
|
C00383
|
CR3876
|
2025-09-19
|
Stress
| 185
| 752
| 7.9
| -1.9
| 1,104,902,570
|
Comm:26.9;Tech:8.0;Consumer:26.0;Energy:16.9;Materials:22.2
|
US:60.2;EU:13.4;APAC:10.5;EMEA:8.9;LATAM:7.0
|
CCC:6.6;AAA:19.7;AA:16.7;B:15.9;A:22.2;BBB:19.0
| 7.42
| 50.4
| 286
| 401
| 16.3
| 3.5
| 35
| 55
| 30
| false
| true
| false
| true
| -0.29
| 0.68
| 0.07
|
Healthcare:EW
|
Hedge
|
CDX_HY: +118bps notional
| -20
| -8
|
DealerB
|
Electronic
| 11
| 93
| 78
| -110
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 162
|
Escalate watchlist names
|
C00384
|
CR1952
|
2025-02-09
|
Recovery
| 117
| 624
| 6.3
| 1.6
| 978,421,708
|
Energy:23.1;Healthcare:33.3;Consumer:43.6
|
US:64.7;EU:16.7;APAC:11.4;EMEA:3.7;LATAM:3.4
|
AAA:13.8;CCC:7.7;BB:8.2;BBB:30.0;AA:15.4;A:24.8
| 3.14
| 53.2
| 197
| 357
| 4.4
| 3
| 20
| 35
| 30
| true
| true
| false
| false
| -0.41
| 0.21
| 0.02
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 1
| 19
|
DealerC
|
Electronic
| 1
| 97
| 104
| 66
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 247
|
Rotate into defensive sectors
|
C00385
|
CR1786
|
2025-10-06
|
Tightening
| 124
| 423
| 5
| 1.6
| 1,519,458,956
|
Energy:28.7;Tech:29.1;Industrials:31.3;Comm:10.9
|
US:62.2;EU:15.0;APAC:11.1;EMEA:7.0;LATAM:4.8
|
A:15.0;AAA:43.7;AA:30.9;B:10.3
| 5.74
| 33.9
| 92
| 416
| 2.2
| 4
| 30
| 35
| 30
| true
| true
| false
| false
| 0.73
| 0.5
| -0.1
| null |
Hedge
|
Options_Payer: +197bps notional
| 20
| 20
|
DealerC
|
Electronic
| 11
| 88
| 97
| -97
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 107
|
Rotate into defensive sectors
|
C00386
|
CR3842
|
2024-02-09
|
Stress
| 210
| 615
| 7.3
| -0.2
| 457,446,813
|
Materials:19.4;Comm:11.0;Tech:23.7;Utilities:8.6;Consumer:11.6;Financials:25.7
|
US:61.9;EU:14.5;APAC:9.8;EMEA:9.5;LATAM:4.2
|
A:21.0;BB:14.5;AAA:8.8;B:10.0;BBB:25.5;CCC:20.2
| 2.94
| 49.5
| 185
| 511
| 7.2
| 2
| 35
| 55
| 20
| false
| true
| true
| false
| 1.42
| 1.06
| -0.01
|
Materials:EW
|
Hedge
|
Options_Payer: +180bps notional
| -19
| 14
|
ECN1
|
RFQ
| 11
| 87
| -142
| -40
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 198
|
Defer adds pending macro print
|
C00387
|
CR6475
|
2025-12-19
|
Stress
| 211
| 844
| 6.6
| -1.5
| 2,453,041,780
|
Consumer:19.1;Utilities:32.8;Materials:15.4;Energy:32.7
|
US:73.0;EU:10.2;APAC:8.9;EMEA:3.8;LATAM:4.2
|
A:29.5;AAA:10.8;B:3.0;AA:29.3;BBB:27.3
| 6.94
| 59.6
| 194
| 556
| 18.3
| 3
| 20
| 55
| 35
| true
| true
| false
| false
| 0.79
| 0.45
| 0.51
|
Utilities:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -15
| -14
|
ECN2
|
All2All
| 12
| 86
| -29
| -264
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 257
|
Rotate into defensive sectors
|
C00388
|
CR6976
|
2025-05-27
|
Stress
| 143
| 765
| 5.4
| 0
| 1,662,990,496
|
Energy:18.4;RealEstate:39.8;Healthcare:18.0;Comm:23.8
|
US:70.1;EU:15.9;APAC:9.0;EMEA:3.8;LATAM:1.2
|
BBB:21.5;CCC:8.9;AA:21.8;B:28.0;AAA:19.8
| 0.49
| 40.1
| 359
| 490
| 14.3
| 2
| 20
| 45
| 35
| true
| true
| true
| true
| -0.15
| 1.05
| 0.54
|
Healthcare:EW
|
Hedge
|
iTraxx_XOVER: +67bps notional
| 16
| 42
|
DealerB
|
DealerAxed
| 5
| 88
| 53
| -66
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 113
|
Defer adds pending macro print
|
C00389
|
CR4640
|
2025-02-23
|
Tightening
| 108
| 384
| 4.3
| 1.7
| 475,856,267
|
Consumer:23.4;Comm:18.4;Materials:15.0;Financials:23.9;Tech:6.4;Healthcare:12.9
|
US:74.4;EU:7.6;APAC:11.9;EMEA:5.6;LATAM:0.5
|
BBB:27.2;AA:9.6;BB:16.4;B:3.3;A:26.4;CCC:17.1
| 2.44
| 59.2
| 176
| 418
| 6.4
| 2.5
| 35
| 55
| 25
| false
| true
| true
| false
| 1.11
| 0.52
| -0.28
| null |
Hedge
|
Treasury_Futures: +65bps notional
| -35
| 10
|
DealerA
|
RFQ
| 11
| 94
| 62
| 54
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 165
|
Escalate watchlist names
|
C00390
|
CR9920
|
2024-01-25
|
Calm
| 77
| 328
| 3.4
| 1.7
| 806,547,029
|
Energy:24.1;Healthcare:24.9;Industrials:23.9;Consumer:16.8;RealEstate:10.3
|
US:69.2;EU:9.8;APAC:14.0;EMEA:6.2;LATAM:0.7
|
BBB:9.3;AAA:25.5;A:26.4;CCC:38.8
| 1.7
| 37.7
| 159
| 438
| 8.1
| 2
| 30
| 35
| 25
| false
| true
| true
| false
| 0.95
| 0.56
| 0.58
| null |
Hedge
|
CDX_HY: +196bps notional
| -20
| 12
|
DealerB
|
DealerAxed
| 3
| 98
| 313
| -402
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 185
|
Tighten HY exposure bands
|
C00391
|
CR9839
|
2024-09-03
|
Calm
| 92
| 409
| 4
| 2.8
| 1,954,708,482
|
RealEstate:21.9;Tech:13.6;Healthcare:15.0;Comm:17.8;Consumer:12.6;Energy:19.1
|
US:68.6;EU:7.0;APAC:8.6;EMEA:12.6;LATAM:3.2
|
B:14.1;A:19.5;AAA:22.1;CCC:22.3;BBB:9.1;AA:12.8
| 1.2
| 36.6
| 119
| 182
| 8.1
| 2
| 25
| 55
| 35
| false
| true
| true
| false
| 0.74
| 1.54
| -0.31
|
Financials:EW;Utilities:EW
|
Hedge
|
iTraxx_XOVER: +132bps notional
| -28
| 9
|
ECN1
|
DealerAxed
| 12
| 96
| 238
| 72
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 209
|
Escalate watchlist names
|
C00392
|
CR2712
|
2025-07-15
|
Stress
| 153
| 833
| 7.7
| 0.3
| 2,450,194,407
|
Consumer:25.5;Healthcare:14.8;Energy:19.6;Materials:30.1;Utilities:9.9
|
US:65.4;EU:16.0;APAC:7.4;EMEA:10.6;LATAM:0.7
|
BB:10.0;BBB:28.8;CCC:14.9;AA:46.3
| 5.18
| 46.5
| 194
| 542
| 14.7
| 4
| 30
| 55
| 25
| true
| true
| false
| false
| 1.66
| -0.09
| 0.02
|
Tech:EW
|
Hedge
|
iTraxx_MAIN: +155bps notional
| -10
| -10
|
DealerA
|
All2All
| 10
| 93
| 206
| 143
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 114
|
Tighten HY exposure bands
|
C00393
|
CR8485
|
2025-12-02
|
Stress
| 183
| 629
| 7.1
| -0.5
| 80,374,429
|
Tech:36.4;Materials:29.9;Consumer:23.8;Healthcare:9.9
|
US:62.1;EU:9.9;APAC:14.0;EMEA:4.9;LATAM:9.1
|
CCC:26.8;AA:20.9;A:37.1;AAA:15.2
| 1.42
| 37.2
| 263
| 494
| 19.3
| 4
| 30
| 45
| 25
| true
| true
| true
| true
| -0.29
| 0.53
| 0.2
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 20
| 40
|
DealerA
|
DealerAxed
| 4
| 97
| 433
| -278
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 227
|
Reviewed by risk; hedges staggered
|
C00394
|
CR3581
|
2025-08-13
|
Tightening
| 135
| 505
| 4.7
| 1.6
| 957,617,332
|
RealEstate:19.4;Financials:51.3;Energy:29.3
|
US:71.2;EU:8.9;APAC:8.6;EMEA:6.0;LATAM:5.2
|
B:48.8;CCC:15.4;AAA:13.5;A:22.3
| 4.99
| 54.1
| 105
| 280
| 6.1
| 4
| 30
| 45
| 35
| true
| true
| true
| false
| 2.28
| 0.5
| -0.16
|
Financials:EW;Materials:EW;Energy:EW
|
Hedge
|
SingleName_CDS: +141bps notional
| 12
| 2
|
ECN2
|
All2All
| 3
| 86
| -144
| -370
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 169
|
Reviewed by risk; hedges staggered
|
C00395
|
CR7536
|
2024-06-14
|
Calm
| 108
| 411
| 3.6
| 2.9
| 1,174,198,893
|
Financials:26.8;Energy:28.2;Consumer:30.6;RealEstate:14.4
|
US:68.2;EU:9.5;APAC:12.3;EMEA:6.1;LATAM:3.9
|
B:8.7;AAA:36.1;AA:33.2;BBB:21.9
| 3.94
| 49.1
| 111
| 229
| 7.1
| 2
| 20
| 45
| 20
| true
| true
| false
| false
| 2.02
| 0.45
| 0.37
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -8
| 1
|
ECN2
|
All2All
| 3
| 92
| 240
| -263
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 184
|
Tighten HY exposure bands
|
C00396
|
CR0978
|
2024-03-09
|
Recovery
| 100
| 491
| 5.7
| 0.4
| 403,473,596
|
Utilities:28.8;Financials:19.7;RealEstate:35.3;Materials:16.2
|
US:61.1;EU:18.5;APAC:6.1;EMEA:11.8;LATAM:2.6
|
AA:22.0;AAA:25.0;BBB:28.2;BB:12.8;B:12.0
| 5.96
| 37.6
| 269
| 403
| 13.4
| 3.5
| 35
| 45
| 20
| true
| true
| true
| true
| 0.47
| 0.07
| 0.44
|
Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -42
| -16
|
ECN1
|
All2All
| 1
| 86
| 416
| 72
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 125
|
Rotate into defensive sectors
|
C00397
|
CR4023
|
2024-07-02
|
Tightening
| 150
| 438
| 5
| 1.4
| 1,975,053,039
|
Industrials:24.5;Tech:10.9;Utilities:20.5;Financials:17.7;Comm:26.4
|
US:65.9;EU:15.1;APAC:5.4;EMEA:8.4;LATAM:5.2
|
AAA:30.8;CCC:14.9;B:18.6;AA:35.7
| 7.25
| 29.9
| 118
| 271
| 17
| 3
| 30
| 45
| 30
| false
| true
| true
| false
| 1.64
| -0.01
| 0.29
|
Industrials:EW;RealEstate:EW
|
Hedge
|
CDX_HY: +99bps notional
| -51
| 26
|
DealerB
|
Electronic
| 1
| 100
| -27
| -265
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 166
|
Escalate watchlist names
|
C00398
|
CR8122
|
2024-04-02
|
Stress
| 171
| 645
| 7.6
| 0.5
| 1,613,558,406
|
Healthcare:31.4;Tech:49.7;Comm:18.9
|
US:59.9;EU:18.5;APAC:7.0;EMEA:6.9;LATAM:7.7
|
CCC:26.7;B:8.8;BB:18.4;BBB:33.7;AAA:12.4
| 2.46
| 39.2
| 355
| 515
| 9.8
| 2.5
| 20
| 45
| 25
| true
| true
| true
| true
| 1.98
| 0.18
| -0.34
|
RealEstate:EW
|
Hedge
|
iTraxx_XOVER: +71bps notional
| -27
| -17
|
ECN2
|
Electronic
| 8
| 96
| -10
| -22
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 199
|
Escalate watchlist names
|
C00399
|
CR6984
|
2025-06-05
|
Stress
| 174
| 618
| 8.3
| -1.4
| 421,237,170
|
Comm:46.5;Energy:37.4;Materials:16.1
|
US:65.4;EU:17.5;APAC:7.4;EMEA:4.6;LATAM:5.0
|
BBB:24.5;CCC:34.8;B:23.5;AA:17.2
| 5.04
| 21.6
| 345
| 490
| 13.6
| 3.5
| 35
| 45
| 35
| true
| true
| true
| true
| 0.15
| 0.82
| 0.41
|
Utilities:EW;RealEstate:EW;Materials:EW
|
Hedge
|
CDX_IG: +66bps notional
| -1
| -5
|
DealerC
|
RFQ
| 5
| 99
| 82
| -259
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 143
|
Reviewed by risk; hedges staggered
|
C00400
|
CR3331
|
2024-12-09
|
Calm
| 118
| 389
| 3.9
| 2.3
| 1,538,676,171
|
Comm:30.3;Healthcare:26.9;Materials:8.8;Financials:34.1
|
US:62.3;EU:19.4;APAC:7.6;EMEA:4.2;LATAM:6.6
|
BB:14.6;B:7.1;AA:26.5;AAA:51.9
| 5.59
| 30.5
| 238
| 432
| 13.7
| 2
| 35
| 55
| 30
| false
| true
| false
| true
| 1
| 0.41
| 0.54
| null |
Hedge
|
iTraxx_MAIN: +161bps notional
| -38
| 27
|
ECN1
|
DealerAxed
| 11
| 96
| 403
| -100
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 239
|
Rotate into defensive sectors
|
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