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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C00501
|
CR0148
|
2024-02-19
|
Tightening
| 101
| 358
| 4.3
| 1.1
| 2,239,621,552
|
Consumer:13.8;Healthcare:23.7;Financials:30.2;Industrials:20.9;Comm:11.3
|
US:80.6;EU:5.2;APAC:6.9;EMEA:3.8;LATAM:3.5
|
AA:26.4;A:26.8;BBB:16.6;BB:20.6;CCC:9.6
| 1.81
| 46.3
| 142
| 255
| 12
| 4
| 20
| 45
| 35
| true
| true
| false
| false
| 1.01
| 1.75
| 0.2
|
Industrials:EW
|
Hedge
|
CDX_IG: +180bps notional
| -60
| 5
|
DealerA
|
DealerAxed
| 0
| 100
| 193
| -254
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 112
|
Tighten HY exposure bands
|
C00502
|
CR8695
|
2024-02-08
|
Calm
| 73
| 310
| 3.4
| 2
| 880,732,813
|
Energy:9.8;Materials:12.0;Industrials:21.1;Financials:16.8;Utilities:19.9;RealEstate:20.5
|
US:68.2;EU:12.0;APAC:6.7;EMEA:5.9;LATAM:7.2
|
A:8.4;CCC:29.5;B:10.1;BB:31.5;BBB:20.5
| 1.3
| 33.5
| 239
| 270
| 10
| 2.5
| 35
| 35
| 30
| false
| true
| true
| true
| 0.81
| 0.05
| 0.25
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -58
| 9
|
DealerB
|
Electronic
| 3
| 91
| -43
| -362
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 134
|
Tighten HY exposure bands
|
C00503
|
CR0620
|
2025-03-22
|
Calm
| 96
| 339
| 3.4
| 2.6
| 2,857,706,214
|
Healthcare:21.8;RealEstate:13.8;Tech:26.1;Consumer:22.2;Energy:16.1
|
US:65.0;EU:13.6;APAC:10.7;EMEA:6.9;LATAM:3.8
|
A:35.0;BB:19.1;BBB:26.5;CCC:19.4
| 6.21
| 34.1
| 157
| 415
| 17.9
| 2.5
| 30
| 45
| 35
| false
| true
| true
| false
| 1.39
| -0.23
| 0.6
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -52
| 1
|
ECN2
|
All2All
| 4
| 88
| 393
| 14
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 102
|
Defer adds pending macro print
|
C00504
|
CR2774
|
2025-09-23
|
Stress
| 220
| 755
| 5.4
| 0.7
| 456,578,424
|
Tech:32.2;Energy:41.1;Utilities:26.7
|
US:57.7;EU:14.2;APAC:13.6;EMEA:11.3;LATAM:3.2
|
BB:26.6;B:11.2;BBB:31.8;AAA:30.4
| 6.48
| 59.2
| 293
| 645
| 12.9
| 3.5
| 20
| 35
| 35
| true
| true
| true
| true
| 1.98
| 0.66
| -0.22
| null |
Hedge
|
Treasury_Futures: +155bps notional
| -30
| -16
|
ECN1
|
Electronic
| 5
| 94
| -57
| -270
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 220
|
Reviewed by risk; hedges staggered
|
C00505
|
CR7169
|
2025-10-03
|
Calm
| 111
| 377
| 4.3
| 1.7
| 311,118,202
|
Energy:10.6;Comm:13.3;Utilities:28.8;Tech:21.4;Industrials:12.7;Materials:13.3
|
US:63.5;EU:13.5;APAC:8.0;EMEA:9.5;LATAM:5.5
|
AA:15.4;A:16.5;BBB:35.4;B:12.0;BB:20.7
| 1.47
| 60.6
| 203
| 375
| 15
| 2
| 35
| 45
| 25
| false
| true
| true
| true
| 0.4
| 0.6
| 0.29
|
Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -28
| 33
|
DealerC
|
Electronic
| 7
| 97
| 9
| -182
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 162
|
Defer adds pending macro print
|
C00506
|
CR3569
|
2025-12-01
|
Stress
| 255
| 655
| 5.4
| -1.2
| 1,972,008,519
|
Materials:25.0;Consumer:12.7;Financials:15.9;RealEstate:10.8;Utilities:27.6;Industrials:8.0
|
US:79.3;EU:8.0;APAC:7.7;EMEA:5.0;LATAM:0.2
|
AA:24.2;BB:9.5;AAA:32.0;BBB:34.2
| 4.97
| 63.2
| 356
| 530
| 11.5
| 4
| 35
| 35
| 20
| false
| true
| false
| true
| 0.54
| 1.7
| 0.57
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -3
| -23
|
DealerA
|
RFQ
| 3
| 86
| -96
| -7
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 258
|
Rotate into defensive sectors
|
C00507
|
CR0851
|
2025-02-06
|
Recovery
| 151
| 537
| 4.8
| 1.6
| 2,539,475,614
|
Consumer:29.4;Energy:20.7;Tech:28.1;Healthcare:21.7
|
US:63.6;EU:7.3;APAC:8.7;EMEA:12.1;LATAM:8.2
|
AA:25.9;BBB:23.5;B:10.3;AAA:16.2;BB:24.1
| 1.71
| 47.9
| 153
| 187
| 7.6
| 3
| 30
| 35
| 35
| false
| true
| false
| false
| 0.35
| 0.94
| 0.42
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -14
| -9
|
DealerC
|
Electronic
| 6
| 93
| 320
| -126
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 230
|
Escalate watchlist names
|
C00508
|
CR3375
|
2024-08-21
|
Stress
| 140
| 593
| 7.8
| -0.5
| 1,521,054,610
|
Materials:16.0;Comm:10.4;Utilities:8.7;Healthcare:19.2;Financials:11.3;Consumer:34.3
|
US:63.2;EU:10.5;APAC:13.9;EMEA:6.6;LATAM:5.8
|
BB:10.6;B:11.5;BBB:40.2;AA:12.8;AAA:24.9
| 6.87
| 36.2
| 299
| 300
| 8.3
| 2
| 25
| 35
| 20
| true
| true
| true
| true
| -0.25
| 1.77
| -0
|
Healthcare:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -20
| 26
|
ECN1
|
All2All
| 2
| 90
| 267
| -10
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 104
|
Defer adds pending macro print
|
C00509
|
CR6750
|
2024-04-11
|
Recovery
| 151
| 508
| 5.5
| 1.8
| 1,917,859,170
|
Comm:47.1;RealEstate:39.6;Materials:13.4
|
US:72.6;EU:9.7;APAC:7.6;EMEA:3.7;LATAM:6.4
|
BB:12.8;B:8.8;A:14.4;BBB:31.9;AA:32.2
| 4.97
| 25.5
| 156
| 215
| 6.2
| 3
| 25
| 45
| 20
| true
| true
| true
| false
| 2.02
| 0.09
| 0.58
|
Materials:EW
|
Hedge
|
Treasury_Futures: +104bps notional
| 18
| 27
|
ECN1
|
All2All
| 0
| 95
| -54
| -25
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 100
|
Tighten HY exposure bands
|
C00510
|
CR3785
|
2024-04-05
|
Calm
| 109
| 405
| 3.8
| 2.5
| 563,147,198
|
Healthcare:33.9;Energy:10.5;Consumer:41.7;Comm:14.0
|
US:72.1;EU:12.1;APAC:5.1;EMEA:7.0;LATAM:3.8
|
A:19.8;CCC:36.8;AA:13.5;AAA:7.2;BBB:22.8
| 5.34
| 20.1
| 201
| 228
| 4.4
| 2
| 30
| 45
| 35
| true
| true
| true
| true
| 2.16
| 0.8
| -0.04
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -57
| 1
|
ECN1
|
DealerAxed
| 3
| 87
| 15
| 75
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 135
|
Defer adds pending macro print
|
C00511
|
CR2004
|
2025-12-24
|
Calm
| 72
| 290
| 3.6
| 2.9
| 943,346,689
|
RealEstate:20.6;Financials:42.2;Comm:37.2
|
US:67.0;EU:13.5;APAC:10.7;EMEA:7.2;LATAM:1.6
|
BB:46.9;A:12.7;BBB:29.8;AAA:10.5
| 4.91
| 25.3
| 209
| 288
| 17.1
| 2
| 20
| 55
| 30
| true
| true
| true
| true
| 0.64
| 1.72
| 0.08
|
Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -46
| -22
|
ECN2
|
Electronic
| 9
| 92
| 111
| -286
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 163
|
Rotate into defensive sectors
|
C00512
|
CR5443
|
2025-03-06
|
Recovery
| 128
| 478
| 6.3
| -0
| 1,485,751,569
|
Utilities:12.1;RealEstate:26.5;Consumer:18.0;Tech:33.2;Industrials:10.2
|
US:66.3;EU:11.0;APAC:10.4;EMEA:8.1;LATAM:4.1
|
BBB:17.5;A:8.2;BB:12.8;CCC:17.8;AAA:13.3;B:30.4
| 5.42
| 60.8
| 177
| 359
| 6.7
| 2
| 30
| 45
| 35
| true
| true
| true
| false
| 0.93
| 1.75
| 0.24
|
Industrials:EW
|
Hedge
|
CDX_IG: +135bps notional
| -19
| -4
|
DealerB
|
RFQ
| 12
| 91
| 75
| 14
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 144
|
Rotate into defensive sectors
|
C00513
|
CR9114
|
2025-04-24
|
Tightening
| 142
| 384
| 4.7
| 1.7
| 1,910,288,248
|
Financials:12.1;Materials:38.6;Energy:16.0;Industrials:33.3
|
US:63.2;EU:15.5;APAC:14.2;EMEA:6.1;LATAM:1.0
|
BBB:44.4;B:10.1;CCC:14.5;A:30.9
| 5.94
| 48
| 120
| 278
| 2.8
| 2.5
| 20
| 55
| 30
| true
| true
| false
| false
| -0.48
| 1.52
| -0.37
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -13
| -20
|
DealerC
|
RFQ
| 8
| 90
| -136
| -395
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 188
|
Rotate into defensive sectors
|
C00514
|
CR3503
|
2024-07-14
|
Stress
| 221
| 810
| 5.6
| -0.5
| 2,566,631,081
|
Consumer:16.6;Utilities:18.7;Industrials:20.3;Energy:22.4;Tech:8.3;Comm:13.8
|
US:70.5;EU:15.7;APAC:7.2;EMEA:5.2;LATAM:1.4
|
B:6.6;CCC:10.7;BBB:23.2;AA:35.0;A:24.6
| 2.14
| 26.4
| 287
| 278
| 8.1
| 2
| 30
| 35
| 20
| false
| true
| false
| true
| 1.43
| 1.13
| 0.47
|
Utilities:EW
|
Hedge
|
CDX_IG: +118bps notional
| -26
| 1
|
DealerC
|
RFQ
| 6
| 98
| 45
| -50
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 170
|
Escalate watchlist names
|
C00515
|
CR7124
|
2025-04-07
|
Calm
| 95
| 349
| 4
| 2.6
| 1,774,604,986
|
Utilities:14.8;RealEstate:38.8;Financials:25.0;Consumer:21.4
|
US:66.4;EU:6.8;APAC:9.9;EMEA:9.8;LATAM:7.2
|
AAA:19.3;CCC:18.0;B:9.7;BBB:21.6;A:31.4
| 5.56
| 50.7
| 176
| 432
| 12.2
| 3
| 20
| 35
| 30
| true
| true
| false
| false
| 0.64
| -0.04
| -0.31
|
Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 14
| -10
|
DealerC
|
RFQ
| 7
| 95
| 53
| -176
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 196
|
Escalate watchlist names
|
C00516
|
CR0739
|
2024-05-30
|
Stress
| 248
| 743
| 7.7
| -0.5
| 745,051,860
|
Energy:23.2;Financials:9.5;Healthcare:28.2;Tech:18.9;Industrials:20.2
|
US:66.0;EU:8.4;APAC:10.9;EMEA:8.1;LATAM:6.6
|
AA:45.2;B:7.2;CCC:17.2;A:30.3
| 5.82
| 42.5
| 177
| 515
| 7.8
| 2.5
| 20
| 45
| 35
| true
| true
| false
| false
| 1.61
| 0.67
| 0.26
|
Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -32
| -24
|
ECN1
|
DealerAxed
| 3
| 85
| -106
| -285
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 210
|
Tighten HY exposure bands
|
C00517
|
CR9690
|
2024-12-12
|
Calm
| 116
| 296
| 3.4
| 2.8
| 2,668,662,157
|
Comm:11.9;Industrials:28.2;Energy:24.9;Utilities:9.7;Consumer:25.4
|
US:68.5;EU:7.0;APAC:13.3;EMEA:4.8;LATAM:6.4
|
AA:18.1;BB:15.7;AAA:36.3;B:12.9;BBB:17.0
| 6.29
| 51.9
| 143
| 163
| 15.7
| 2
| 20
| 35
| 20
| true
| true
| true
| false
| 0.47
| 0.69
| 0.35
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 10
| 42
|
DealerB
|
Electronic
| 8
| 98
| 110
| -389
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 215
|
Escalate watchlist names
|
C00518
|
CR8302
|
2025-07-28
|
Calm
| 92
| 348
| 4.1
| 2.9
| 2,772,199,739
|
RealEstate:13.1;Consumer:16.2;Energy:29.1;Financials:32.0;Comm:9.5
|
US:71.3;EU:7.6;APAC:6.0;EMEA:11.0;LATAM:4.1
|
BBB:15.1;B:32.1;AAA:28.4;CCC:9.9;BB:14.4
| 3.25
| 37
| 81
| 317
| 8.4
| 2.5
| 35
| 45
| 20
| false
| true
| true
| false
| 0.69
| 1.5
| -0.05
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 13
| -15
|
ECN2
|
DealerAxed
| 12
| 93
| 146
| -72
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 180
|
Defer adds pending macro print
|
C00519
|
CR4229
|
2025-08-10
|
Tightening
| 94
| 423
| 5.1
| 1.7
| 1,418,451,147
|
Industrials:12.1;Tech:15.5;Healthcare:27.1;Financials:22.0;Consumer:23.3
|
US:69.3;EU:15.0;APAC:11.4;EMEA:2.8;LATAM:1.4
|
BBB:17.9;AAA:32.0;A:15.2;BB:34.8
| 1.3
| 20.1
| 176
| 238
| 9.4
| 2.5
| 30
| 55
| 35
| false
| true
| false
| false
| -0.24
| -0.02
| -0.21
| null |
Hedge
|
SingleName_CDS: +161bps notional
| -12
| 9
|
DealerC
|
RFQ
| 12
| 89
| 212
| -409
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 217
|
Tighten HY exposure bands
|
C00520
|
CR3630
|
2024-01-19
|
Stress
| 171
| 720
| 5.1
| -1.5
| 1,011,252,253
|
Materials:24.6;Tech:24.6;Healthcare:35.6;Energy:15.2
|
US:57.2;EU:11.0;APAC:14.5;EMEA:12.0;LATAM:5.3
|
BB:14.0;AAA:18.2;B:25.0;AA:17.8;A:6.6;BBB:18.5
| 0.84
| 64.5
| 242
| 473
| 8.3
| 3.5
| 20
| 35
| 30
| true
| true
| true
| true
| 1.2
| 0.49
| 0.24
|
Utilities:EW
|
Hedge
|
CDX_HY: +157bps notional
| 12
| -9
|
ECN2
|
All2All
| 12
| 95
| 172
| 159
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 97
|
Defer adds pending macro print
|
C00521
|
CR3989
|
2024-10-28
|
Calm
| 70
| 315
| 3.3
| 1.9
| 320,550,515
|
RealEstate:10.7;Financials:30.2;Utilities:31.7;Tech:27.3
|
US:67.5;EU:12.9;APAC:12.1;EMEA:6.7;LATAM:0.7
|
B:31.7;AA:11.7;A:29.2;BB:27.4
| 1.36
| 33.7
| 248
| 165
| 5.2
| 2.5
| 35
| 55
| 30
| false
| true
| true
| true
| 1.83
| 1.78
| -0.05
| null |
Hedge
|
CDX_HY: +196bps notional
| -39
| 1
|
DealerB
|
Electronic
| 2
| 98
| -161
| -35
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 213
|
Reviewed by risk; hedges staggered
|
C00522
|
CR2245
|
2025-11-10
|
Tightening
| 136
| 500
| 4.1
| 0.9
| 580,874,311
|
Industrials:20.4;Consumer:29.8;Comm:33.1;Utilities:16.8
|
US:69.3;EU:12.1;APAC:8.8;EMEA:7.1;LATAM:2.7
|
BB:20.8;B:26.3;BBB:19.4;AA:33.5
| 4.12
| 37
| 93
| 193
| 6
| 3.5
| 25
| 35
| 30
| true
| true
| true
| false
| 0.02
| -0.03
| 0.2
|
Materials:EW
|
Hedge
|
CDX_HY: +173bps notional
| -23
| 33
|
DealerB
|
All2All
| 5
| 91
| -18
| -238
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 111
|
Tighten HY exposure bands
|
C00523
|
CR8193
|
2024-03-28
|
Recovery
| 102
| 457
| 5.3
| -0.2
| 2,699,437,765
|
Utilities:40.3;Comm:10.8;Financials:48.9
|
US:59.8;EU:17.6;APAC:10.7;EMEA:9.9;LATAM:1.9
|
A:39.5;BB:12.5;B:7.7;BBB:40.3
| 2
| 59.9
| 248
| 438
| 9
| 3.5
| 25
| 55
| 30
| true
| true
| false
| true
| 1.32
| -0.01
| 0.24
| null |
Hedge
|
Treasury_Futures: +124bps notional
| -25
| 35
|
ECN2
|
DealerAxed
| 12
| 91
| 82
| -262
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 216
|
Defer adds pending macro print
|
C00524
|
CR8918
|
2024-07-02
|
Recovery
| 103
| 511
| 5.5
| 1
| 1,559,551,073
|
Comm:53.7;Healthcare:14.7;Utilities:31.6
|
US:64.7;EU:14.1;APAC:11.3;EMEA:5.4;LATAM:4.5
|
BB:21.3;BBB:19.9;A:18.7;AA:19.7;AAA:20.4
| 5.07
| 30.2
| 248
| 219
| 7.6
| 2
| 20
| 45
| 25
| true
| true
| false
| true
| 0.69
| 1.49
| 0.49
|
Materials:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -21
| 18
|
DealerC
|
RFQ
| 10
| 94
| 139
| -421
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 187
|
Tighten HY exposure bands
|
C00525
|
CR1684
|
2024-03-22
|
Recovery
| 180
| 435
| 6
| 1
| 106,955,272
|
Utilities:12.4;Consumer:21.6;Industrials:22.3;RealEstate:10.9;Comm:32.8
|
US:69.6;EU:6.7;APAC:6.8;EMEA:12.9;LATAM:4.0
|
CCC:9.0;A:36.9;BBB:28.4;AA:25.7
| 0.57
| 52.7
| 116
| 517
| 12
| 3.5
| 35
| 55
| 30
| false
| true
| false
| false
| 1.27
| 1
| -0.08
|
Industrials:EW;Materials:EW
|
Hedge
|
Options_Payer: +127bps notional
| -22
| -19
|
ECN1
|
Electronic
| 9
| 90
| -115
| -338
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 166
|
Escalate watchlist names
|
C00526
|
CR2115
|
2025-12-01
|
Tightening
| 108
| 480
| 4.3
| 2
| 562,316,799
|
Industrials:38.2;Tech:38.7;Financials:23.1
|
US:74.8;EU:11.2;APAC:5.8;EMEA:7.8;LATAM:0.3
|
AA:28.0;BB:8.6;A:43.1;BBB:14.0;CCC:6.2
| 5.68
| 52
| 87
| 197
| 11.2
| 2.5
| 20
| 45
| 20
| true
| true
| false
| false
| 1.26
| -0.25
| 0.38
|
Industrials:EW;Consumer:EW
|
Hedge
|
CDX_IG: +62bps notional
| 15
| 19
|
DealerC
|
All2All
| 12
| 97
| 323
| -213
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 217
|
Defer adds pending macro print
|
C00527
|
CR9417
|
2024-09-29
|
Recovery
| 175
| 606
| 5.7
| 0.5
| 1,030,291,599
|
Materials:19.6;Financials:14.7;Industrials:10.7;Consumer:20.0;RealEstate:15.2;Energy:19.7
|
US:63.0;EU:16.0;APAC:9.1;EMEA:10.1;LATAM:1.8
|
AA:50.6;B:8.1;AAA:22.8;BBB:18.5
| 2.85
| 24
| 229
| 387
| 2.3
| 3.5
| 30
| 45
| 35
| false
| true
| false
| true
| 2.18
| 0.3
| 0.06
|
RealEstate:EW
|
Hedge
|
iTraxx_MAIN: +163bps notional
| -31
| 23
|
DealerC
|
DealerAxed
| 10
| 92
| 216
| -180
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 176
|
Defer adds pending macro print
|
C00528
|
CR2082
|
2024-04-29
|
Stress
| 255
| 648
| 5.2
| -1.1
| 1,222,335,237
|
Financials:23.2;Tech:20.3;Utilities:16.2;Materials:8.9;RealEstate:31.4
|
US:71.1;EU:16.1;APAC:8.4;EMEA:3.7;LATAM:0.7
|
BB:7.7;AAA:30.0;B:10.8;AA:23.0;BBB:15.2;CCC:13.3
| 4.95
| 24.5
| 208
| 360
| 22.1
| 2
| 30
| 35
| 25
| true
| true
| true
| true
| 1.17
| -0.21
| -0.11
|
Utilities:EW
|
Hedge
|
CDX_IG: +103bps notional
| -44
| 1
|
DealerC
|
All2All
| 9
| 87
| 254
| -101
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 248
|
Escalate watchlist names
|
C00529
|
CR9967
|
2025-06-03
|
Stress
| 153
| 728
| 8.2
| -1.4
| 791,554,409
|
Healthcare:31.8;Consumer:39.6;Comm:16.5;RealEstate:12.1
|
US:71.4;EU:11.8;APAC:7.3;EMEA:3.7;LATAM:5.9
|
BBB:17.6;CCC:20.1;AAA:15.4;AA:12.4;B:8.2;BB:26.3
| 1.92
| 50.6
| 332
| 521
| 7.4
| 2.5
| 20
| 55
| 30
| true
| true
| true
| true
| -0.16
| -0.11
| 0.6
|
Healthcare:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -56
| -4
|
DealerC
|
Electronic
| 11
| 93
| -73
| -269
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 260
|
Tighten HY exposure bands
|
C00530
|
CR7094
|
2025-10-19
|
Calm
| 106
| 293
| 3.8
| 2.9
| 1,679,895,773
|
Energy:30.8;Healthcare:40.8;RealEstate:28.4
|
US:71.9;EU:8.0;APAC:8.8;EMEA:7.1;LATAM:4.1
|
BB:30.0;AAA:9.1;CCC:37.6;B:23.2
| 3.56
| 58.7
| 81
| 163
| 3.2
| 2.5
| 30
| 35
| 25
| true
| true
| true
| false
| 1.39
| 0.25
| -0.05
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -10
| -18
|
DealerC
|
RFQ
| 8
| 88
| 275
| 71
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 133
|
Rotate into defensive sectors
|
C00531
|
CR9428
|
2024-11-21
|
Stress
| 251
| 691
| 6
| -0.2
| 1,976,866,279
|
Utilities:57.7;Healthcare:22.8;Financials:19.5
|
US:68.5;EU:16.8;APAC:10.3;EMEA:3.9;LATAM:0.5
|
AAA:20.4;AA:11.0;B:30.8;BB:37.7
| 2.24
| 37.7
| 357
| 316
| 13.4
| 2.5
| 20
| 35
| 30
| true
| true
| true
| true
| 0.1
| 0.3
| 0.45
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -17
| 5
|
ECN1
|
RFQ
| 7
| 98
| 36
| -170
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 204
|
Rotate into defensive sectors
|
C00532
|
CR3375
|
2024-08-28
|
Calm
| 68
| 394
| 3.4
| 2.4
| 497,980,976
|
Healthcare:36.6;Materials:22.9;Industrials:40.6
|
US:66.2;EU:8.3;APAC:15.4;EMEA:6.6;LATAM:3.5
|
BB:25.2;AA:24.1;BBB:23.3;CCC:27.4
| 4.61
| 51.9
| 215
| 502
| 10.8
| 4
| 25
| 35
| 30
| true
| true
| true
| true
| 1.34
| 0.32
| -0.13
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -12
| 17
|
DealerB
|
All2All
| 2
| 97
| 353
| -385
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 215
|
Reviewed by risk; hedges staggered
|
C00533
|
CR3791
|
2024-12-23
|
Calm
| 80
| 420
| 4.2
| 1.7
| 2,493,108,143
|
Comm:21.9;Consumer:25.5;Tech:29.4;Materials:23.2
|
US:68.8;EU:8.3;APAC:8.7;EMEA:10.1;LATAM:4.0
|
BB:12.6;BBB:21.2;AAA:17.9;A:32.3;AA:15.9
| 3.17
| 38.2
| 200
| 440
| 13.2
| 3.5
| 20
| 45
| 35
| true
| true
| false
| false
| -0.08
| 1.66
| 0.03
|
Consumer:EW;Energy:EW
|
Hedge
|
Treasury_Futures: +57bps notional
| -58
| 45
|
DealerA
|
RFQ
| 4
| 85
| -124
| -305
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 241
|
Tighten HY exposure bands
|
C00534
|
CR9550
|
2024-05-10
|
Tightening
| 116
| 406
| 4
| 0.9
| 1,842,387,625
|
Tech:13.6;RealEstate:30.1;Healthcare:13.5;Comm:42.9
|
US:69.3;EU:11.1;APAC:6.4;EMEA:11.1;LATAM:2.0
|
A:38.1;BB:18.0;AAA:35.5;B:8.3
| 3.61
| 40.1
| 84
| 478
| 4.5
| 4
| 30
| 35
| 25
| true
| true
| true
| false
| 1.79
| -0.06
| -0.36
|
Consumer:EW
|
Hedge
|
Options_Payer: +198bps notional
| -56
| 9
|
ECN2
|
RFQ
| 12
| 91
| -36
| -264
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 97
|
Tighten HY exposure bands
|
C00535
|
CR3818
|
2025-02-12
|
Stress
| 246
| 605
| 7
| 0.6
| 2,376,211,590
|
Energy:18.5;Utilities:28.6;Comm:37.1;RealEstate:15.8
|
US:61.1;EU:8.0;APAC:11.0;EMEA:13.3;LATAM:6.6
|
CCC:18.9;A:15.9;BB:21.6;B:34.5;AA:9.1
| 0.67
| 47.7
| 167
| 454
| 13.1
| 2
| 30
| 55
| 20
| true
| true
| true
| false
| -0.28
| 1.59
| -0.39
|
Energy:EW;Materials:EW;Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -13
| -6
|
DealerC
|
All2All
| 6
| 89
| 122
| 149
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 207
|
Tighten HY exposure bands
|
C00536
|
CR3549
|
2025-04-03
|
Recovery
| 172
| 621
| 5
| 0.4
| 499,215,903
|
Materials:19.4;Comm:16.6;RealEstate:17.8;Tech:33.0;Utilities:13.2
|
US:66.2;EU:17.8;APAC:11.5;EMEA:3.4;LATAM:1.2
|
BB:10.9;A:15.8;B:32.6;CCC:23.3;AAA:17.4
| 6.65
| 46.3
| 215
| 470
| 10.5
| 2.5
| 30
| 45
| 25
| true
| true
| true
| true
| 1.16
| 0.16
| -0.28
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -36
| 16
|
DealerA
|
All2All
| 8
| 96
| 370
| -295
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 93
|
Tighten HY exposure bands
|
C00537
|
CR7924
|
2025-10-06
|
Stress
| 240
| 586
| 8.3
| -1
| 1,528,400,214
|
Materials:20.1;Tech:44.1;RealEstate:35.9
|
US:66.7;EU:10.7;APAC:11.9;EMEA:9.0;LATAM:1.6
|
B:34.0;BB:26.9;AA:23.1;BBB:16.1
| 6.25
| 50.1
| 179
| 550
| 7.9
| 4
| 25
| 35
| 30
| true
| true
| true
| false
| 0.81
| 0.28
| 0.16
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -56
| 16
|
DealerB
|
Electronic
| 12
| 95
| 40
| -246
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 128
|
Tighten HY exposure bands
|
C00538
|
CR3787
|
2024-06-05
|
Calm
| 89
| 402
| 4.2
| 1.7
| 285,948,531
|
Comm:48.6;Healthcare:26.0;Materials:25.4
|
US:69.8;EU:17.1;APAC:9.3;EMEA:3.3;LATAM:0.5
|
B:31.1;A:16.5;CCC:24.7;BB:27.7
| 2.89
| 28.7
| 156
| 415
| 11.7
| 3
| 30
| 55
| 35
| true
| true
| true
| false
| 0.25
| 0.61
| 0.04
|
Healthcare:EW
|
Hedge
|
CDX_IG: +172bps notional
| 19
| -4
|
DealerC
|
Electronic
| 3
| 97
| -22
| -187
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 127
|
Reviewed by risk; hedges staggered
|
C00539
|
CR6360
|
2025-03-26
|
Calm
| 66
| 295
| 4.2
| 2.9
| 1,909,862,966
|
Energy:19.6;RealEstate:23.4;Utilities:20.3;Healthcare:11.9;Financials:12.6;Consumer:12.2
|
US:57.8;EU:18.9;APAC:8.2;EMEA:9.4;LATAM:5.7
|
A:20.7;B:25.9;AAA:22.0;AA:18.0;BBB:13.4
| 4.77
| 44.6
| 170
| 259
| 15.7
| 2
| 35
| 55
| 30
| false
| true
| false
| false
| 2.15
| 1.63
| 0.03
|
Energy:EW
|
Hedge
|
SingleName_CDS: +150bps notional
| 17
| 33
|
ECN2
|
Electronic
| 12
| 88
| -192
| -354
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 126
|
Tighten HY exposure bands
|
C00540
|
CR6114
|
2025-01-22
|
Calm
| 93
| 416
| 4.2
| 2.5
| 1,990,499,238
|
Financials:29.8;Materials:23.1;Utilities:47.2
|
US:63.0;EU:10.7;APAC:13.1;EMEA:5.1;LATAM:8.1
|
B:12.8;BB:10.1;BBB:38.0;A:14.1;CCC:25.0
| 7.22
| 27.4
| 123
| 277
| 5.7
| 4
| 25
| 45
| 30
| true
| true
| true
| false
| 0.92
| 0.37
| -0.24
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 14
| 41
|
DealerC
|
All2All
| 12
| 91
| 71
| -69
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 260
|
Reviewed by risk; hedges staggered
|
C00541
|
CR5769
|
2025-12-11
|
Calm
| 67
| 396
| 3.3
| 2.1
| 1,318,561,374
|
Consumer:36.9;RealEstate:15.7;Utilities:9.6;Healthcare:37.8
|
US:65.1;EU:16.1;APAC:7.8;EMEA:8.4;LATAM:2.6
|
AAA:21.8;A:24.6;BB:4.8;AA:18.4;B:15.1;CCC:15.3
| 3.38
| 45.1
| 221
| 244
| 16.6
| 3
| 25
| 55
| 20
| true
| true
| true
| true
| 2.32
| 1.36
| -0.3
|
RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -9
| 0
|
DealerC
|
DealerAxed
| 7
| 94
| -124
| -253
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 140
|
Reviewed by risk; hedges staggered
|
C00542
|
CR9519
|
2024-11-30
|
Calm
| 110
| 393
| 4.3
| 2.8
| 1,034,733,999
|
Utilities:18.3;Consumer:22.3;Industrials:18.9;Comm:40.5
|
US:67.3;EU:11.0;APAC:5.9;EMEA:9.1;LATAM:6.7
|
BB:20.1;CCC:18.2;AA:18.5;AAA:13.2;BBB:30.0
| 5.89
| 29.5
| 218
| 123
| 16.4
| 3
| 30
| 55
| 25
| true
| true
| true
| true
| 1.42
| 0.91
| 0.31
| null |
Hedge
|
CDX_IG: +186bps notional
| 4
| 33
|
DealerB
|
All2All
| 8
| 94
| 197
| -379
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 163
|
Reviewed by risk; hedges staggered
|
C00543
|
CR2911
|
2025-03-24
|
Stress
| 196
| 760
| 6
| -1.3
| 507,308,268
|
Materials:19.9;RealEstate:16.2;Financials:25.4;Healthcare:7.1;Industrials:8.9;Consumer:22.4
|
US:70.1;EU:11.1;APAC:13.7;EMEA:3.6;LATAM:1.5
|
CCC:21.4;BB:29.0;A:15.8;B:33.9
| 2.41
| 26.1
| 283
| 308
| 4.9
| 2
| 25
| 55
| 25
| true
| true
| true
| true
| 1.23
| 0.93
| 0.54
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -38
| 37
|
DealerA
|
RFQ
| 10
| 96
| 8
| -352
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 234
|
Tighten HY exposure bands
|
C00544
|
CR8734
|
2025-11-17
|
Stress
| 166
| 563
| 5.4
| -1.6
| 1,594,717,334
|
Industrials:9.6;Financials:9.3;Tech:9.6;Energy:23.8;Healthcare:21.8;Materials:25.9
|
US:59.1;EU:10.8;APAC:14.0;EMEA:11.4;LATAM:4.6
|
B:7.5;A:17.9;BBB:19.0;BB:5.6;AA:29.9;AAA:20.1
| 1.84
| 62.5
| 323
| 441
| 16.4
| 2.5
| 35
| 55
| 20
| false
| true
| false
| true
| -0.41
| 0.11
| -0.26
| null |
Hedge
|
Options_Payer: +99bps notional
| 18
| -20
|
ECN1
|
Electronic
| 7
| 99
| -71
| 78
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 162
|
Tighten HY exposure bands
|
C00545
|
CR5200
|
2025-11-27
|
Calm
| 103
| 388
| 3.5
| 1.7
| 2,150,999,541
|
Comm:15.2;RealEstate:29.1;Tech:31.2;Energy:24.6
|
US:57.9;EU:15.5;APAC:13.0;EMEA:8.7;LATAM:4.9
|
AA:18.2;CCC:20.7;BBB:17.1;A:22.6;AAA:16.0;B:5.5
| 6.52
| 58.2
| 154
| 410
| 8.7
| 2.5
| 35
| 55
| 35
| false
| true
| false
| false
| -0.07
| 1.09
| 0.54
| null |
Hedge
|
iTraxx_MAIN: +149bps notional
| -53
| -23
|
DealerC
|
RFQ
| 10
| 99
| 162
| -361
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 255
|
Escalate watchlist names
|
C00546
|
CR4888
|
2024-02-14
|
Recovery
| 135
| 644
| 6.1
| 0.7
| 1,715,449,194
|
Comm:59.5;Healthcare:14.9;Utilities:25.6
|
US:63.4;EU:16.1;APAC:7.5;EMEA:7.3;LATAM:5.7
|
A:20.3;CCC:20.7;BB:33.4;AAA:25.6
| 4.83
| 51.5
| 250
| 176
| 16.9
| 3.5
| 25
| 55
| 35
| true
| true
| true
| true
| -0.38
| -0.19
| 0.24
| null |
Hedge
|
SingleName_CDS: +65bps notional
| -31
| -2
|
ECN1
|
Electronic
| 11
| 89
| 308
| -10
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 145
|
Rotate into defensive sectors
|
C00547
|
CR8011
|
2024-04-27
|
Stress
| 144
| 615
| 7.7
| -1.3
| 253,029,741
|
Industrials:25.7;Utilities:25.2;RealEstate:21.5;Tech:6.7;Healthcare:20.9
|
US:57.0;EU:17.2;APAC:14.8;EMEA:3.6;LATAM:7.5
|
CCC:12.7;BB:12.0;AAA:9.9;A:26.9;B:14.3;BBB:24.2
| 1.03
| 37
| 237
| 669
| 6.8
| 3.5
| 25
| 45
| 30
| true
| true
| true
| true
| 0.35
| -0.15
| -0.08
| null |
Hedge
|
CDX_IG: +186bps notional
| -9
| -16
|
DealerC
|
All2All
| 8
| 92
| -64
| -74
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 161
|
Tighten HY exposure bands
|
C00548
|
CR1545
|
2024-03-26
|
Calm
| 107
| 311
| 4.4
| 2.6
| 1,459,822,451
|
Materials:25.5;Consumer:59.8;Comm:14.8
|
US:72.2;EU:7.6;APAC:12.6;EMEA:5.0;LATAM:2.5
|
BBB:44.7;AA:31.5;B:11.8;CCC:12.0
| 5.91
| 56.3
| 235
| 211
| 4
| 3.5
| 20
| 35
| 30
| true
| true
| false
| true
| -0.47
| -0.1
| -0.07
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 4
| 21
|
ECN2
|
Electronic
| 11
| 97
| 288
| -170
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 257
|
Tighten HY exposure bands
|
C00549
|
CR1880
|
2025-02-07
|
Calm
| 78
| 351
| 3.7
| 2.4
| 1,826,384,698
|
Consumer:30.5;Financials:17.6;Healthcare:27.8;Utilities:15.4;Industrials:8.7
|
US:65.7;EU:11.3;APAC:12.0;EMEA:10.2;LATAM:0.9
|
AAA:13.1;CCC:17.6;BBB:13.3;B:11.3;A:44.7
| 0.86
| 20.8
| 186
| 178
| 12.6
| 3
| 25
| 45
| 35
| true
| true
| false
| false
| 2.41
| 1.69
| -0.23
|
Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -24
| -19
|
ECN1
|
Electronic
| 11
| 88
| -180
| 113
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 193
|
Escalate watchlist names
|
C00550
|
CR1021
|
2025-05-10
|
Recovery
| 142
| 433
| 5.2
| 0.6
| 107,224,567
|
RealEstate:32.6;Consumer:11.7;Healthcare:22.3;Industrials:33.5
|
US:67.7;EU:8.2;APAC:11.1;EMEA:4.4;LATAM:8.6
|
BB:9.0;A:19.5;CCC:7.6;B:39.0;AA:13.1;AAA:11.8
| 2.75
| 42.4
| 154
| 444
| 12.9
| 2.5
| 20
| 45
| 30
| true
| true
| true
| false
| 0.04
| 0.53
| -0.28
|
Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -19
| 9
|
ECN2
|
DealerAxed
| 9
| 94
| -123
| -297
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 174
|
Escalate watchlist names
|
C00551
|
CR5446
|
2025-06-29
|
Tightening
| 113
| 513
| 5.2
| 1.7
| 1,393,149,585
|
Tech:24.8;RealEstate:28.5;Financials:11.7;Energy:18.2;Industrials:16.8
|
US:61.6;EU:18.9;APAC:12.0;EMEA:3.1;LATAM:4.4
|
B:19.5;AAA:23.1;A:22.8;AA:23.6;BBB:11.0
| 1.28
| 26
| 233
| 126
| 17.4
| 2
| 35
| 45
| 20
| false
| true
| false
| true
| 0.89
| -0.01
| 0.49
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -4
| 0
|
ECN2
|
DealerAxed
| 11
| 86
| 228
| -107
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 110
|
Rotate into defensive sectors
|
C00552
|
CR4592
|
2024-10-05
|
Tightening
| 132
| 493
| 4
| 1.6
| 1,313,067,044
|
Energy:49.1;Healthcare:11.1;Utilities:39.9
|
US:73.1;EU:5.3;APAC:11.8;EMEA:3.5;LATAM:6.3
|
A:20.1;BBB:18.1;AA:17.9;CCC:15.6;AAA:12.8;B:15.5
| 5.23
| 57.2
| 140
| 393
| 12.6
| 2.5
| 25
| 55
| 30
| true
| true
| true
| false
| 0.52
| -0.11
| -0.22
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -52
| 18
|
ECN2
|
DealerAxed
| 12
| 85
| 334
| -269
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 96
|
Rotate into defensive sectors
|
C00553
|
CR6383
|
2025-05-05
|
Recovery
| 101
| 487
| 6.5
| 0.1
| 2,032,348,004
|
RealEstate:45.9;Healthcare:12.9;Comm:41.2
|
US:73.0;EU:14.2;APAC:7.0;EMEA:3.1;LATAM:2.7
|
BB:6.0;BBB:22.4;A:17.5;B:9.8;AAA:11.0;AA:33.3
| 4.23
| 47.9
| 256
| 136
| 2
| 4
| 30
| 35
| 20
| true
| true
| false
| true
| 1.89
| 1.24
| 0.54
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -13
| 43
|
DealerB
|
All2All
| 4
| 97
| 390
| 5
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 109
|
Reviewed by risk; hedges staggered
|
C00554
|
CR8301
|
2024-02-23
|
Recovery
| 172
| 561
| 4.6
| 0.9
| 485,329,904
|
Tech:22.2;RealEstate:22.3;Comm:26.5;Materials:29.0
|
US:72.4;EU:6.8;APAC:12.5;EMEA:4.6;LATAM:3.7
|
AA:28.2;BBB:22.0;B:20.7;BB:5.7;AAA:14.9;CCC:8.4
| 7.29
| 61.7
| 130
| 234
| 17.6
| 3
| 35
| 35
| 20
| false
| true
| true
| false
| -0.12
| 0.26
| -0.16
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -31
| 2
|
ECN2
|
Electronic
| 0
| 93
| 261
| -36
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 136
|
Reviewed by risk; hedges staggered
|
C00555
|
CR2830
|
2024-03-04
|
Calm
| 112
| 380
| 3.4
| 2.4
| 1,592,310,207
|
Energy:11.3;RealEstate:9.2;Consumer:14.3;Utilities:25.6;Industrials:12.5;Comm:27.2
|
US:63.3;EU:14.7;APAC:8.7;EMEA:10.7;LATAM:2.5
|
BBB:29.7;CCC:12.4;B:8.8;AAA:19.9;AA:19.9;BB:9.4
| 1.67
| 30.6
| 90
| 207
| 16.4
| 4
| 35
| 55
| 30
| false
| true
| true
| false
| 1.68
| 0.89
| 0.04
| null |
Hedge
|
Options_Payer: +65bps notional
| -11
| -16
|
DealerA
|
All2All
| 1
| 86
| 4
| 44
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 230
|
Tighten HY exposure bands
|
C00556
|
CR9468
|
2024-03-01
|
Tightening
| 135
| 380
| 4
| 1.8
| 1,074,862,667
|
Utilities:20.6;Consumer:17.7;Financials:9.6;Materials:19.2;RealEstate:23.5;Healthcare:9.3
|
US:65.0;EU:12.0;APAC:5.6;EMEA:12.2;LATAM:5.3
|
BBB:17.2;B:14.7;BB:41.7;AAA:26.4
| 1.45
| 54.1
| 270
| 164
| 16.4
| 2
| 20
| 45
| 20
| true
| true
| true
| true
| 1.52
| 0.31
| -0.36
|
Materials:EW
|
Hedge
|
CDX_HY: +98bps notional
| 20
| 22
|
ECN2
|
RFQ
| 7
| 91
| -71
| -197
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 136
|
Rotate into defensive sectors
|
C00557
|
CR2506
|
2024-01-25
|
Recovery
| 134
| 476
| 6.2
| 0.7
| 2,504,917,935
|
Healthcare:35.9;Financials:33.8;Energy:30.3
|
US:53.8;EU:18.7;APAC:12.5;EMEA:10.3;LATAM:4.7
|
BBB:19.9;B:15.6;BB:26.9;AAA:10.7;A:13.6;AA:13.3
| 4.99
| 49.7
| 147
| 296
| 2.9
| 2.5
| 25
| 35
| 20
| true
| true
| true
| false
| 1.48
| 0.21
| -0.24
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -21
| 3
|
ECN1
|
All2All
| 7
| 92
| 188
| 41
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 238
|
Reviewed by risk; hedges staggered
|
C00558
|
CR2215
|
2024-06-05
|
Tightening
| 125
| 480
| 3.9
| 1.1
| 1,132,128,025
|
Consumer:27.4;Comm:58.4;Energy:14.1
|
US:68.1;EU:6.3;APAC:11.9;EMEA:6.6;LATAM:7.2
|
BBB:42.3;BB:18.0;A:25.2;CCC:14.5
| 0.57
| 46.8
| 225
| 270
| 8.2
| 3.5
| 20
| 35
| 25
| true
| true
| true
| true
| 1.27
| 1.22
| -0.19
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 14
| -4
|
ECN2
|
DealerAxed
| 6
| 90
| 81
| -214
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 252
|
Reviewed by risk; hedges staggered
|
C00559
|
CR2410
|
2025-09-07
|
Calm
| 107
| 371
| 3.4
| 2
| 1,178,742,756
|
Healthcare:30.3;Industrials:28.0;Utilities:22.8;Materials:18.9
|
US:68.8;EU:18.2;APAC:7.2;EMEA:4.1;LATAM:1.8
|
AAA:35.3;BBB:20.8;A:20.9;B:6.5;AA:16.6
| 1.06
| 62
| 261
| 188
| 15.3
| 3.5
| 20
| 55
| 30
| true
| true
| false
| true
| 0.14
| 0.77
| -0.31
|
RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 12
| -11
|
DealerA
|
All2All
| 10
| 98
| 136
| -177
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 117
|
Rotate into defensive sectors
|
C00560
|
CR7354
|
2024-04-20
|
Calm
| 78
| 418
| 3.8
| 2.5
| 2,479,895,830
|
Consumer:34.7;Tech:20.3;Materials:22.5;Energy:22.5
|
US:62.5;EU:20.0;APAC:11.9;EMEA:3.2;LATAM:2.3
|
BB:6.1;CCC:13.2;B:10.8;AAA:37.4;BBB:32.5
| 5.09
| 47.3
| 162
| 282
| 3.9
| 2.5
| 25
| 55
| 35
| true
| true
| false
| false
| 0.79
| 1.16
| -0.23
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -6
| 6
|
ECN1
|
Electronic
| 9
| 87
| 280
| -211
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 191
|
Escalate watchlist names
|
C00561
|
CR1076
|
2025-08-13
|
Tightening
| 106
| 461
| 4
| 0.9
| 445,739,952
|
Industrials:22.6;Comm:25.5;Consumer:39.7;RealEstate:12.2
|
US:62.4;EU:11.9;APAC:9.0;EMEA:9.9;LATAM:6.8
|
CCC:24.4;B:23.6;BBB:13.2;AAA:12.0;AA:16.2;A:10.6
| 3.76
| 56
| 92
| 438
| 3.3
| 4
| 25
| 55
| 30
| true
| true
| true
| false
| 0.08
| 1.34
| -0.15
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 19
| -25
|
DealerA
|
RFQ
| 1
| 85
| 126
| -39
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 165
|
Rotate into defensive sectors
|
C00562
|
CR2227
|
2024-05-02
|
Calm
| 103
| 319
| 3.6
| 2.8
| 2,049,973,877
|
Industrials:27.1;RealEstate:39.9;Utilities:33.1
|
US:55.9;EU:14.6;APAC:13.6;EMEA:8.7;LATAM:7.2
|
AAA:41.2;A:24.6;AA:17.7;BB:9.0;CCC:7.4
| 6.73
| 45.6
| 180
| 236
| 12.1
| 3
| 30
| 55
| 20
| true
| true
| false
| false
| -0.1
| -0.04
| -0.4
| null |
Hedge
|
Treasury_Futures: +117bps notional
| 9
| 27
|
DealerC
|
Electronic
| 7
| 87
| -99
| -138
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 248
|
Rotate into defensive sectors
|
C00563
|
CR7288
|
2024-04-25
|
Recovery
| 168
| 645
| 5.4
| -0
| 2,938,032,947
|
Consumer:33.1;Industrials:31.2;Utilities:35.7
|
US:72.9;EU:10.6;APAC:10.2;EMEA:5.9;LATAM:0.4
|
A:10.8;B:33.5;BB:28.2;AAA:13.6;CCC:13.8
| 6.58
| 34.2
| 146
| 350
| 10.9
| 2
| 35
| 55
| 35
| true
| true
| true
| false
| 0.55
| 0.21
| -0.07
|
RealEstate:EW;Financials:EW;Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 0
| 43
|
DealerA
|
Electronic
| 8
| 87
| 353
| 88
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 237
|
Rotate into defensive sectors
|
C00564
|
CR9199
|
2025-07-02
|
Calm
| 85
| 319
| 4.4
| 1.5
| 1,821,259,195
|
Financials:21.7;Tech:17.9;Consumer:11.6;Comm:19.7;Energy:8.6;RealEstate:20.5
|
US:66.1;EU:15.1;APAC:10.4;EMEA:3.4;LATAM:5.0
|
BB:21.4;BBB:19.6;AA:20.3;B:27.1;AAA:11.6
| 1.84
| 44.6
| 258
| 337
| 16.5
| 3.5
| 25
| 55
| 20
| false
| true
| true
| true
| 2.27
| 1.54
| -0.06
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -22
| 45
|
DealerA
|
RFQ
| 10
| 94
| 175
| -433
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 92
|
Reviewed by risk; hedges staggered
|
C00565
|
CR1408
|
2024-06-20
|
Recovery
| 159
| 484
| 5.7
| 1.6
| 2,981,148,463
|
Comm:13.0;Energy:19.6;RealEstate:17.7;Industrials:33.4;Materials:16.2
|
US:62.5;EU:15.3;APAC:12.9;EMEA:8.0;LATAM:1.4
|
AA:26.1;BBB:20.1;B:11.3;BB:4.7;A:29.8;CCC:8.0
| 1.47
| 45.4
| 222
| 445
| 7
| 2
| 30
| 35
| 20
| true
| true
| true
| true
| -0.45
| 1.2
| -0.39
|
RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -8
| 45
|
ECN2
|
DealerAxed
| 9
| 100
| -126
| -94
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 151
|
Rotate into defensive sectors
|
C00566
|
CR2752
|
2024-01-28
|
Tightening
| 113
| 385
| 4.3
| 0.8
| 507,795,466
|
Utilities:22.4;Materials:14.6;RealEstate:25.4;Financials:37.6
|
US:67.8;EU:15.1;APAC:6.9;EMEA:9.6;LATAM:0.6
|
BB:8.0;AAA:31.9;BBB:23.8;CCC:9.0;B:27.4
| 6.26
| 35.6
| 128
| 238
| 2.7
| 2.5
| 25
| 55
| 25
| true
| true
| true
| false
| -0.13
| 1.79
| 0.53
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -37
| -3
|
ECN2
|
All2All
| 4
| 97
| 130
| -60
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 246
|
Defer adds pending macro print
|
C00567
|
CR5554
|
2024-08-11
|
Tightening
| 93
| 371
| 4.2
| 0.6
| 2,487,564,905
|
Healthcare:28.3;Industrials:17.8;Energy:15.8;Comm:29.8;Tech:8.2
|
US:64.3;EU:16.6;APAC:6.4;EMEA:9.9;LATAM:2.8
|
BB:14.4;BBB:13.7;AAA:35.1;B:23.8;A:13.0
| 7.26
| 44.2
| 146
| 479
| 11.4
| 3
| 20
| 45
| 35
| true
| true
| true
| false
| 1.25
| 1.14
| 0.29
|
Comm:EW;Industrials:EW;Consumer:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -51
| -13
|
DealerA
|
DealerAxed
| 4
| 96
| 378
| 11
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 112
|
Reviewed by risk; hedges staggered
|
C00568
|
CR9147
|
2024-11-23
|
Tightening
| 102
| 419
| 4.2
| 1.9
| 675,510,053
|
Utilities:16.1;Comm:14.4;Industrials:12.7;Tech:29.6;Materials:8.0;Healthcare:19.2
|
US:64.4;EU:15.9;APAC:9.1;EMEA:8.1;LATAM:2.5
|
AA:29.3;CCC:9.0;BBB:17.0;A:24.1;B:15.6;BB:5.0
| 6.49
| 31.8
| 182
| 344
| 14.1
| 3
| 25
| 45
| 35
| true
| true
| false
| false
| 2.35
| 1.5
| 0.35
|
Utilities:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 4
| -10
|
ECN1
|
Electronic
| 9
| 100
| 168
| 22
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 203
|
Rotate into defensive sectors
|
C00569
|
CR9328
|
2025-12-16
|
Calm
| 85
| 329
| 3.8
| 2.7
| 1,631,804,200
|
Healthcare:38.5;Utilities:44.5;Materials:17.0
|
US:70.3;EU:6.7;APAC:11.6;EMEA:7.0;LATAM:4.4
|
A:42.6;AAA:36.6;BBB:17.4;BB:3.4
| 7.08
| 40.4
| 205
| 327
| 2.9
| 4
| 25
| 35
| 35
| true
| true
| false
| true
| -0.43
| 1.18
| -0.21
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -51
| 35
|
ECN1
|
Electronic
| 4
| 92
| 48
| -275
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 99
|
Reviewed by risk; hedges staggered
|
C00570
|
CR2368
|
2025-02-09
|
Calm
| 82
| 288
| 3.9
| 2.3
| 2,053,675,117
|
RealEstate:18.1;Industrials:21.7;Tech:19.0;Financials:14.9;Energy:14.3;Utilities:12.0
|
US:69.0;EU:10.2;APAC:8.4;EMEA:8.9;LATAM:3.4
|
AA:16.8;A:43.0;BB:17.4;AAA:22.9
| 3.34
| 38.7
| 234
| 374
| 6.7
| 2
| 35
| 35
| 30
| false
| true
| false
| true
| 0.2
| 0.75
| 0.59
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 20
| -25
|
DealerA
|
All2All
| 10
| 98
| 282
| -193
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 124
|
Defer adds pending macro print
|
C00571
|
CR4727
|
2024-11-21
|
Recovery
| 135
| 460
| 6.4
| 1.8
| 983,341,007
|
Energy:17.2;Consumer:14.4;Industrials:30.5;RealEstate:7.2;Financials:30.7
|
US:64.1;EU:15.3;APAC:8.6;EMEA:4.1;LATAM:7.8
|
BBB:21.2;AAA:21.7;AA:19.3;CCC:11.2;A:26.6
| 2.23
| 38.8
| 164
| 143
| 15.9
| 3.5
| 20
| 45
| 20
| true
| true
| false
| false
| 2.39
| -0.17
| -0.08
|
Industrials:EW
|
Hedge
|
iTraxx_XOVER: +196bps notional
| -48
| -25
|
DealerC
|
RFQ
| 6
| 90
| 38
| -45
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 258
|
Defer adds pending macro print
|
C00572
|
CR3012
|
2024-05-31
|
Tightening
| 112
| 461
| 4.2
| 0.7
| 2,447,191,342
|
Materials:28.7;Utilities:20.1;Healthcare:16.7;Energy:34.5
|
US:65.4;EU:14.5;APAC:6.2;EMEA:11.9;LATAM:2.0
|
A:31.2;BBB:34.8;B:12.4;AAA:18.0;CCC:3.6
| 1.93
| 21.7
| 275
| 285
| 3.1
| 3.5
| 35
| 35
| 35
| false
| true
| false
| true
| 2.43
| 1.78
| -0.07
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -16
| 31
|
ECN2
|
DealerAxed
| 11
| 98
| -66
| -72
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 188
|
Defer adds pending macro print
|
C00573
|
CR3498
|
2025-10-23
|
Stress
| 149
| 835
| 6.2
| -1.1
| 2,683,867,381
|
Utilities:31.1;Healthcare:18.9;Financials:30.8;Materials:19.2
|
US:66.2;EU:9.8;APAC:10.2;EMEA:10.0;LATAM:3.8
|
BB:15.0;AA:10.5;CCC:15.5;B:15.9;AAA:22.7;A:20.4
| 5.08
| 38
| 354
| 495
| 19.4
| 4
| 35
| 35
| 20
| false
| true
| true
| true
| 2.42
| 1.25
| 0.28
|
Financials:EW
|
Hedge
|
Treasury_Futures: +190bps notional
| -17
| 9
|
DealerB
|
RFQ
| 12
| 95
| 383
| -369
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 201
|
Defer adds pending macro print
|
C00574
|
CR7720
|
2025-07-14
|
Tightening
| 109
| 470
| 3.8
| 1.2
| 432,633,999
|
Tech:18.6;Healthcare:21.4;Consumer:60.0
|
US:62.7;EU:7.2;APAC:15.9;EMEA:12.6;LATAM:1.4
|
CCC:28.1;AA:30.5;AAA:36.2;B:5.3
| 4.56
| 59.9
| 172
| 350
| 17.7
| 2
| 35
| 55
| 25
| true
| true
| true
| false
| 0.68
| 1.56
| -0.36
| null |
Hedge
|
iTraxx_XOVER: +102bps notional
| -33
| -14
|
DealerA
|
Electronic
| 8
| 92
| 90
| -218
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 106
|
Rotate into defensive sectors
|
C00575
|
CR2546
|
2025-04-29
|
Calm
| 66
| 299
| 4.2
| 2.5
| 1,923,761,998
|
Energy:46.8;Industrials:16.4;Comm:36.8
|
US:57.4;EU:19.6;APAC:7.0;EMEA:9.6;LATAM:6.4
|
B:11.8;CCC:27.6;AAA:31.8;A:28.8
| 3.15
| 64
| 143
| 161
| 7.3
| 2
| 20
| 55
| 35
| true
| true
| true
| false
| 1.25
| 1.24
| 0.52
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -8
| 27
|
DealerA
|
All2All
| 2
| 89
| -117
| -252
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 133
|
Defer adds pending macro print
|
C00576
|
CR0208
|
2025-09-18
|
Calm
| 75
| 295
| 3.3
| 2.6
| 605,204,213
|
Healthcare:29.4;Comm:19.8;Energy:33.8;Utilities:16.9
|
US:62.6;EU:15.9;APAC:11.3;EMEA:7.4;LATAM:2.8
|
CCC:29.5;BBB:22.3;A:14.9;AA:10.7;B:22.6
| 2.75
| 27
| 117
| 403
| 9.2
| 4
| 35
| 35
| 20
| false
| true
| true
| false
| 1.32
| -0.13
| 0.5
|
Comm:EW
|
Hedge
|
Treasury_Futures: +79bps notional
| -38
| 5
|
ECN1
|
RFQ
| 8
| 86
| 272
| -51
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 129
|
Tighten HY exposure bands
|
C00577
|
CR4829
|
2025-02-04
|
Stress
| 246
| 658
| 6.4
| 0.5
| 1,932,486,454
|
Comm:14.2;Utilities:35.1;Consumer:22.3;Energy:28.5
|
US:62.1;EU:12.1;APAC:13.4;EMEA:11.4;LATAM:1.0
|
BBB:8.6;AAA:7.8;BB:31.0;A:13.6;CCC:19.4;B:19.6
| 0.76
| 58.1
| 174
| 682
| 7.5
| 3.5
| 30
| 45
| 20
| true
| true
| true
| false
| -0.14
| 0.96
| 0.02
|
Industrials:EW
|
Hedge
|
iTraxx_XOVER: +59bps notional
| 17
| 6
|
ECN2
|
Electronic
| 5
| 92
| 351
| -264
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 185
|
Tighten HY exposure bands
|
C00578
|
CR3650
|
2025-07-08
|
Stress
| 196
| 722
| 7.1
| -0.4
| 1,119,708,186
|
Consumer:12.3;Utilities:25.5;Healthcare:26.9;Comm:14.9;RealEstate:20.5
|
US:61.8;EU:15.0;APAC:9.8;EMEA:7.4;LATAM:6.1
|
AA:12.2;B:19.3;BBB:16.2;A:10.0;AAA:25.8;BB:16.4
| 1.14
| 37.7
| 322
| 658
| 9.4
| 3.5
| 25
| 35
| 25
| true
| true
| true
| true
| 1.63
| -0.22
| 0.21
|
Financials:EW;Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -37
| 2
|
DealerC
|
RFQ
| 9
| 94
| -48
| -266
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 229
|
Escalate watchlist names
|
C00579
|
CR3489
|
2024-12-22
|
Stress
| 248
| 698
| 7.1
| -2
| 1,854,344,997
|
Tech:14.7;Industrials:11.6;Consumer:13.8;Financials:21.4;Materials:18.3;Comm:20.2
|
US:67.6;EU:8.9;APAC:5.8;EMEA:10.6;LATAM:7.0
|
BBB:24.4;CCC:26.6;BB:11.3;AAA:10.8;B:26.8
| 4.8
| 26.1
| 269
| 397
| 21.9
| 2.5
| 20
| 55
| 25
| true
| true
| true
| true
| 0.91
| -0.3
| 0.5
| null |
Hedge
|
CDX_HY: +108bps notional
| -25
| 1
|
DealerC
|
DealerAxed
| 7
| 90
| -76
| -192
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 139
|
Reviewed by risk; hedges staggered
|
C00580
|
CR5364
|
2024-06-08
|
Recovery
| 100
| 456
| 6.1
| 0.9
| 1,725,580,995
|
Industrials:13.2;Energy:15.0;Utilities:25.3;Healthcare:46.6
|
US:73.3;EU:10.8;APAC:7.4;EMEA:5.0;LATAM:3.4
|
A:19.6;BB:27.4;BBB:18.9;AAA:15.6;CCC:18.5
| 7.38
| 41.9
| 216
| 125
| 10.8
| 4
| 20
| 45
| 20
| true
| true
| true
| true
| -0.35
| -0.2
| 0.21
|
RealEstate:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 4
| 4
|
DealerB
|
RFQ
| 11
| 93
| 152
| 125
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 247
|
Escalate watchlist names
|
C00581
|
CR9242
|
2024-02-27
|
Calm
| 87
| 402
| 4.4
| 2.1
| 302,110,173
|
Consumer:25.0;Healthcare:36.5;Tech:20.9;Comm:17.7
|
US:68.5;EU:13.9;APAC:10.7;EMEA:2.6;LATAM:4.3
|
B:18.4;BBB:22.6;AA:17.2;CCC:22.8;A:19.1
| 3.35
| 41.6
| 280
| 271
| 7.5
| 3.5
| 35
| 45
| 30
| true
| true
| true
| true
| 0.43
| -0.24
| -0.03
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 11
| 1
|
DealerB
|
RFQ
| 2
| 89
| 39
| 52
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 119
|
Reviewed by risk; hedges staggered
|
C00582
|
CR2891
|
2025-03-03
|
Tightening
| 125
| 361
| 4
| 1.9
| 973,792,679
|
Materials:16.4;Energy:12.3;Comm:23.1;Utilities:14.3;Tech:16.0;Industrials:17.8
|
US:62.3;EU:10.9;APAC:12.2;EMEA:11.2;LATAM:3.3
|
BBB:21.2;CCC:29.6;B:14.3;BB:22.3;AA:12.6
| 0.64
| 22.6
| 229
| 335
| 9.6
| 3
| 35
| 55
| 20
| false
| true
| true
| true
| 2.43
| 0.2
| 0.41
|
Materials:EW;Tech:EW
|
Hedge
|
Options_Payer: +103bps notional
| -59
| 18
|
DealerA
|
All2All
| 12
| 89
| 66
| -9
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 159
|
Defer adds pending macro print
|
C00583
|
CR3042
|
2024-11-29
|
Tightening
| 109
| 501
| 4.2
| 0.6
| 216,974,286
|
Comm:6.6;RealEstate:17.7;Utilities:17.7;Consumer:8.9;Financials:18.0;Tech:31.1
|
US:63.0;EU:18.3;APAC:7.9;EMEA:3.0;LATAM:7.8
|
A:34.9;B:23.0;BBB:10.9;BB:31.2
| 6.54
| 26.3
| 128
| 413
| 13.7
| 2
| 20
| 55
| 30
| true
| true
| true
| false
| 0.63
| 1.11
| -0.21
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -54
| -25
|
DealerB
|
RFQ
| 5
| 99
| 15
| -129
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 134
|
Escalate watchlist names
|
C00584
|
CR5573
|
2025-10-27
|
Calm
| 101
| 390
| 3.5
| 1.6
| 1,378,972,482
|
Tech:39.5;Comm:33.2;RealEstate:27.4
|
US:65.4;EU:18.5;APAC:11.9;EMEA:4.0;LATAM:0.2
|
CCC:17.3;BB:19.3;B:18.6;AAA:44.9
| 4.71
| 26.2
| 152
| 189
| 16.7
| 3
| 35
| 35
| 25
| true
| true
| true
| false
| -0.25
| 1.67
| 0.51
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -1
| 21
|
DealerC
|
RFQ
| 11
| 92
| 302
| -263
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 192
|
Reviewed by risk; hedges staggered
|
C00585
|
CR0963
|
2024-10-06
|
Recovery
| 176
| 459
| 5.8
| 0.5
| 502,769,990
|
Comm:30.4;Materials:46.8;Healthcare:22.7
|
US:64.5;EU:14.3;APAC:7.7;EMEA:10.1;LATAM:3.4
|
B:25.7;BB:11.1;BBB:10.4;AA:16.0;CCC:18.5;AAA:18.3
| 1.07
| 52.6
| 260
| 482
| 11.6
| 2.5
| 25
| 35
| 20
| true
| true
| true
| true
| 1.16
| 0.38
| 0.23
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -19
| -15
|
DealerB
|
All2All
| 2
| 95
| -111
| -41
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 101
|
Defer adds pending macro print
|
C00586
|
CR8485
|
2024-04-13
|
Stress
| 191
| 736
| 8.4
| -0.4
| 446,201,652
|
Materials:11.8;Tech:25.8;Energy:9.2;Healthcare:9.0;RealEstate:25.4;Utilities:18.9
|
US:65.8;EU:17.8;APAC:7.4;EMEA:8.2;LATAM:0.8
|
B:15.0;A:7.9;CCC:28.2;AA:14.8;BBB:15.9;AAA:18.2
| 4.18
| 53.8
| 390
| 569
| 16.5
| 2.5
| 30
| 55
| 30
| false
| true
| true
| true
| 2.35
| -0.19
| 0.14
|
Healthcare:EW;Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 8
| 14
|
DealerA
|
RFQ
| 2
| 94
| 141
| -370
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 184
|
Escalate watchlist names
|
C00587
|
CR8444
|
2025-06-18
|
Calm
| 73
| 324
| 3.9
| 2.5
| 756,116,710
|
Industrials:14.5;Energy:20.4;Comm:15.5;Healthcare:13.2;RealEstate:22.5;Financials:13.8
|
US:74.9;EU:7.1;APAC:6.1;EMEA:9.4;LATAM:2.6
|
CCC:9.7;AAA:8.3;A:20.0;BB:24.1;B:19.6;AA:18.3
| 3.1
| 48.4
| 253
| 313
| 10
| 2
| 35
| 55
| 20
| false
| true
| true
| true
| 1.06
| 1.02
| 0.33
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -49
| 16
|
ECN2
|
All2All
| 7
| 85
| 169
| 6
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 99
|
Reviewed by risk; hedges staggered
|
C00588
|
CR7224
|
2024-08-15
|
Calm
| 116
| 290
| 3.5
| 2.4
| 2,760,009,599
|
Tech:9.0;Healthcare:25.8;Utilities:21.1;Materials:25.2;Industrials:10.0;Consumer:8.9
|
US:63.8;EU:9.4;APAC:11.5;EMEA:8.2;LATAM:6.9
|
CCC:16.2;BB:12.4;BBB:22.4;B:13.8;AAA:35.2
| 2.61
| 61.6
| 104
| 370
| 9.5
| 3.5
| 20
| 55
| 25
| true
| true
| true
| false
| 0.89
| 0.96
| -0.19
|
Financials:EW;Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -13
| 41
|
ECN1
|
DealerAxed
| 8
| 91
| 40
| 53
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 90
|
Reviewed by risk; hedges staggered
|
C00589
|
CR2616
|
2024-05-23
|
Tightening
| 152
| 367
| 4.8
| 1.7
| 701,116,726
|
Tech:20.1;Energy:21.6;Consumer:21.7;Utilities:23.0;Materials:13.7
|
US:71.7;EU:6.9;APAC:7.7;EMEA:5.3;LATAM:8.5
|
CCC:8.7;BB:28.3;B:26.0;AAA:20.3;A:16.7
| 0.89
| 41
| 89
| 337
| 10.3
| 3.5
| 25
| 55
| 25
| false
| true
| true
| false
| -0.36
| 1.3
| 0.32
|
Consumer:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -37
| -16
|
DealerA
|
RFQ
| 8
| 98
| 58
| 116
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 160
|
Escalate watchlist names
|
C00590
|
CR9524
|
2025-01-09
|
Calm
| 110
| 388
| 4.1
| 2.6
| 1,074,080,866
|
Utilities:12.3;RealEstate:10.9;Industrials:10.1;Consumer:34.5;Tech:32.3
|
US:64.3;EU:9.9;APAC:10.8;EMEA:10.0;LATAM:5.0
|
AAA:39.7;B:12.7;CCC:9.1;BB:8.0;A:30.6
| 1.06
| 23
| 84
| 515
| 15.7
| 4
| 25
| 55
| 20
| true
| true
| true
| false
| 1.45
| -0.02
| 0.01
|
Comm:EW;Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -48
| 45
|
DealerB
|
All2All
| 3
| 92
| 96
| -24
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 253
|
Escalate watchlist names
|
C00591
|
CR3292
|
2025-06-06
|
Calm
| 82
| 373
| 4.4
| 1.9
| 1,397,509,744
|
Consumer:16.9;RealEstate:12.0;Financials:9.8;Tech:12.1;Energy:25.7;Healthcare:23.6
|
US:64.9;EU:15.6;APAC:8.2;EMEA:5.0;LATAM:6.3
|
BB:6.5;A:18.7;B:18.6;AA:14.6;BBB:21.4;AAA:20.2
| 2.45
| 56.4
| 105
| 225
| 10.5
| 4
| 20
| 35
| 20
| true
| true
| true
| false
| 0.36
| 0.61
| -0.07
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -51
| 22
|
ECN1
|
All2All
| 9
| 96
| 377
| -29
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 237
|
Reviewed by risk; hedges staggered
|
C00592
|
CR9801
|
2024-03-23
|
Stress
| 255
| 653
| 5.8
| -1.8
| 520,997,114
|
Consumer:20.6;Industrials:23.6;Tech:7.2;Energy:7.7;Comm:19.9;Financials:21.0
|
US:57.0;EU:18.7;APAC:16.4;EMEA:7.2;LATAM:0.6
|
BB:16.5;B:5.6;A:35.5;AAA:20.3;CCC:10.6;AA:11.5
| 2.29
| 48.4
| 316
| 395
| 14.7
| 3
| 25
| 35
| 35
| false
| true
| false
| true
| -0.01
| 0.7
| -0.36
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -12
| 38
|
DealerC
|
All2All
| 12
| 97
| -7
| 58
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 96
|
Reviewed by risk; hedges staggered
|
C00593
|
CR1354
|
2024-11-30
|
Stress
| 257
| 718
| 7.5
| -2
| 2,899,373,481
|
Healthcare:14.1;Materials:25.2;RealEstate:20.4;Comm:10.8;Industrials:29.5
|
US:55.8;EU:21.2;APAC:11.9;EMEA:9.6;LATAM:1.5
|
AA:8.6;A:24.3;AAA:9.4;CCC:21.5;BBB:6.6;BB:29.6
| 3.68
| 60.2
| 189
| 593
| 11.6
| 3
| 30
| 35
| 25
| false
| true
| true
| false
| 1.18
| 0.24
| -0.2
|
Comm:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -25
| 13
|
ECN2
|
RFQ
| 5
| 86
| -211
| -147
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 176
|
Defer adds pending macro print
|
C00594
|
CR5954
|
2025-05-16
|
Stress
| 251
| 783
| 5.9
| 0.1
| 2,316,733,432
|
Comm:11.2;Consumer:21.6;Industrials:13.4;Utilities:26.3;Materials:27.6
|
US:65.8;EU:17.0;APAC:6.5;EMEA:4.5;LATAM:6.1
|
AAA:7.5;BB:15.8;BBB:19.1;AA:22.8;A:22.9;B:11.9
| 5.94
| 54.8
| 307
| 533
| 21.7
| 2
| 25
| 35
| 30
| true
| true
| false
| true
| 1.97
| 1.67
| -0.19
|
RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 10
| 35
|
ECN2
|
Electronic
| 4
| 100
| 123
| 100
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 128
|
Defer adds pending macro print
|
C00595
|
CR8735
|
2025-03-15
|
Stress
| 239
| 676
| 7.4
| -1.5
| 2,412,749,295
|
Financials:25.4;RealEstate:9.8;Materials:13.1;Healthcare:21.1;Energy:7.2;Utilities:23.4
|
US:59.2;EU:18.3;APAC:6.7;EMEA:10.6;LATAM:5.3
|
CCC:11.6;A:32.7;BBB:13.1;BB:24.1;AA:18.6
| 2.47
| 55.1
| 308
| 375
| 19.2
| 2
| 35
| 35
| 35
| false
| true
| true
| true
| 0.22
| 1.08
| 0.52
|
Comm:EW
|
Hedge
|
iTraxx_MAIN: +190bps notional
| -2
| 8
|
DealerC
|
RFQ
| 3
| 90
| 364
| -115
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 137
|
Rotate into defensive sectors
|
C00596
|
CR6701
|
2025-03-05
|
Stress
| 196
| 799
| 5.6
| -1
| 815,837,518
|
Industrials:48.2;Consumer:18.0;Energy:33.9
|
US:56.1;EU:16.2;APAC:12.5;EMEA:9.2;LATAM:6.0
|
B:15.6;BBB:39.3;A:33.8;CCC:11.3
| 2.86
| 28.4
| 268
| 280
| 10.5
| 3.5
| 35
| 35
| 35
| true
| true
| false
| true
| -0.43
| 0.71
| 0.37
|
Industrials:EW
|
Hedge
|
Options_Payer: +81bps notional
| -22
| -24
|
DealerA
|
DealerAxed
| 10
| 90
| -170
| -25
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 119
|
Reviewed by risk; hedges staggered
|
C00597
|
CR2962
|
2025-10-30
|
Calm
| 116
| 389
| 3.3
| 2.9
| 532,244,832
|
Consumer:23.6;Utilities:27.6;Healthcare:19.4;Comm:6.7;RealEstate:22.7
|
US:67.8;EU:15.6;APAC:7.5;EMEA:3.6;LATAM:5.5
|
AA:14.8;B:23.1;BB:23.6;BBB:8.2;CCC:18.4;AAA:12.0
| 0.79
| 58.9
| 89
| 470
| 12.2
| 2
| 20
| 45
| 25
| true
| true
| true
| false
| 0.62
| 0.24
| 0.5
|
Materials:EW;Financials:EW;Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -52
| 4
|
DealerA
|
RFQ
| 0
| 90
| 59
| -149
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 232
|
Tighten HY exposure bands
|
C00598
|
CR9307
|
2024-08-22
|
Calm
| 87
| 292
| 4.2
| 2
| 1,819,735,448
|
Materials:7.2;RealEstate:25.2;Tech:14.3;Energy:19.8;Healthcare:16.1;Industrials:17.3
|
US:73.3;EU:9.7;APAC:8.4;EMEA:7.6;LATAM:1.0
|
BBB:21.3;B:21.2;BB:17.1;AAA:23.3;A:17.0
| 0.56
| 27
| 158
| 359
| 2.6
| 4
| 30
| 45
| 30
| false
| true
| true
| false
| 2.41
| 1.24
| 0.45
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -30
| -22
|
DealerA
|
All2All
| 5
| 100
| -128
| 35
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 167
|
Rotate into defensive sectors
|
C00599
|
CR7741
|
2024-10-08
|
Tightening
| 100
| 470
| 5.1
| 1.7
| 2,208,696,145
|
Consumer:18.8;Industrials:9.7;Healthcare:17.4;Financials:10.8;RealEstate:14.0;Comm:29.3
|
US:67.1;EU:9.0;APAC:10.0;EMEA:7.1;LATAM:6.8
|
AAA:21.3;BB:11.0;CCC:8.6;AA:23.4;B:11.4;BBB:24.2
| 4.03
| 57.5
| 244
| 407
| 7.6
| 2.5
| 25
| 55
| 35
| true
| true
| false
| true
| 2.5
| 1.55
| -0.24
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -6
| 7
|
DealerC
|
Electronic
| 5
| 94
| 195
| 112
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 202
|
Reviewed by risk; hedges staggered
|
C00600
|
CR6705
|
2025-05-09
|
Recovery
| 164
| 527
| 6.5
| -0.3
| 247,248,537
|
Industrials:41.6;Comm:19.0;Healthcare:39.4
|
US:58.1;EU:15.5;APAC:13.3;EMEA:7.8;LATAM:5.3
|
A:20.7;AA:22.1;BBB:24.6;AAA:14.9;BB:17.7
| 1.61
| 28.6
| 172
| 344
| 11.7
| 3.5
| 30
| 35
| 25
| true
| true
| false
| false
| -0.05
| 1.59
| 0.56
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -8
| -8
|
DealerA
|
RFQ
| 4
| 96
| 118
| -218
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 141
|
Rotate into defensive sectors
|
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