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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C00601
|
CR7327
|
2024-07-01
|
Stress
| 163
| 655
| 8.5
| -0
| 326,440,130
|
Financials:18.0;Tech:22.9;RealEstate:17.3;Industrials:18.8;Comm:13.9;Healthcare:9.1
|
US:67.5;EU:13.3;APAC:10.8;EMEA:5.9;LATAM:2.6
|
AA:14.2;BBB:22.0;B:28.2;A:35.6
| 3.57
| 45.2
| 248
| 337
| 5.2
| 2.5
| 30
| 55
| 25
| false
| true
| true
| true
| -0.3
| 0.07
| -0.38
|
Tech:EW;Healthcare:EW
|
Hedge
|
iTraxx_MAIN: +64bps notional
| 19
| -19
|
DealerB
|
RFQ
| 8
| 93
| -155
| -119
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 230
|
Reviewed by risk; hedges staggered
|
C00602
|
CR3445
|
2025-10-26
|
Recovery
| 124
| 587
| 4.8
| 0.7
| 1,008,548,721
|
Materials:31.1;Consumer:18.2;RealEstate:20.1;Comm:30.7
|
US:70.6;EU:10.9;APAC:13.1;EMEA:3.4;LATAM:2.1
|
BB:18.2;AAA:26.7;B:8.5;BBB:26.9;CCC:19.7
| 1.7
| 23.4
| 147
| 459
| 14.2
| 3.5
| 25
| 45
| 35
| true
| true
| true
| false
| -0.22
| 0.76
| -0.1
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 4
| -15
|
ECN2
|
RFQ
| 12
| 93
| -75
| 69
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 127
|
Tighten HY exposure bands
|
C00603
|
CR0135
|
2024-01-10
|
Recovery
| 111
| 493
| 5.3
| 0.1
| 350,060,921
|
Energy:26.5;Healthcare:31.1;Materials:13.8;Comm:28.5
|
US:69.4;EU:13.8;APAC:9.1;EMEA:4.5;LATAM:3.2
|
B:11.7;AAA:46.9;CCC:7.3;BBB:34.1
| 2.58
| 31.7
| 191
| 224
| 14.4
| 4
| 25
| 55
| 25
| true
| true
| false
| false
| 1.75
| 0.41
| -0.34
|
Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -57
| -25
|
DealerA
|
All2All
| 0
| 89
| 212
| 165
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 222
|
Reviewed by risk; hedges staggered
|
C00604
|
CR0870
|
2024-07-09
|
Recovery
| 176
| 576
| 6.1
| 1.1
| 1,936,201,186
|
RealEstate:7.3;Comm:23.6;Financials:13.9;Healthcare:20.5;Utilities:13.9;Consumer:20.8
|
US:71.7;EU:12.5;APAC:8.4;EMEA:6.7;LATAM:0.6
|
A:18.2;BBB:42.7;BB:9.9;B:11.2;AAA:18.0
| 5.67
| 51.4
| 255
| 181
| 2.7
| 2
| 25
| 45
| 35
| false
| true
| false
| true
| 0.12
| 1.48
| 0.16
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 13
| 7
|
ECN1
|
Electronic
| 12
| 94
| -142
| -171
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 201
|
Escalate watchlist names
|
C00605
|
CR6549
|
2025-06-24
|
Tightening
| 96
| 408
| 4.7
| 2
| 2,167,951,379
|
Energy:7.4;Consumer:31.4;Comm:24.2;Financials:14.1;Materials:22.9
|
US:70.6;EU:5.8;APAC:14.0;EMEA:4.4;LATAM:5.2
|
B:12.0;A:11.5;AAA:32.5;BB:6.8;AA:30.9;CCC:6.3
| 3.8
| 48.6
| 176
| 464
| 16.8
| 4
| 20
| 35
| 35
| true
| true
| false
| false
| 1.14
| 0.94
| 0.03
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 17
| 29
|
ECN1
|
RFQ
| 4
| 89
| -139
| -52
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 211
|
Rotate into defensive sectors
|
C00606
|
CR8593
|
2024-04-22
|
Stress
| 237
| 580
| 5.3
| -1.9
| 474,001,724
|
Healthcare:19.4;Comm:24.1;Financials:16.0;RealEstate:23.0;Industrials:17.5
|
US:52.4;EU:19.8;APAC:12.2;EMEA:9.8;LATAM:5.8
|
AA:24.5;A:23.9;B:27.9;CCC:23.6
| 3.63
| 49.5
| 284
| 332
| 21
| 3
| 25
| 55
| 35
| false
| false
| true
| true
| 1.27
| 0.81
| 0.05
|
Industrials:EW
|
Hedge
|
SingleName_CDS: +74bps notional
| -11
| 27
|
ECN2
|
DealerAxed
| 6
| 90
| 167
| -245
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 147
|
Rotate into defensive sectors
|
C00607
|
CR3335
|
2025-11-18
|
Stress
| 173
| 658
| 7.9
| -1.4
| 378,695,847
|
Industrials:32.3;Materials:25.4;RealEstate:42.2
|
US:65.0;EU:12.6;APAC:7.2;EMEA:10.7;LATAM:4.6
|
A:20.9;AA:21.3;BBB:22.2;B:11.0;CCC:13.6;BB:11.1
| 2.82
| 46.6
| 282
| 656
| 11.9
| 4
| 30
| 35
| 35
| true
| true
| true
| true
| 1.79
| 1.75
| 0.23
|
Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -24
| 20
|
ECN1
|
All2All
| 4
| 92
| 207
| -230
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 222
|
Defer adds pending macro print
|
C00608
|
CR4676
|
2024-02-18
|
Calm
| 114
| 365
| 4.5
| 2.8
| 2,351,174,364
|
Healthcare:19.4;Comm:13.9;Industrials:17.6;Financials:9.0;RealEstate:27.4;Energy:12.6
|
US:69.1;EU:6.8;APAC:11.3;EMEA:9.3;LATAM:3.5
|
BBB:32.5;CCC:11.6;BB:12.8;AA:21.7;B:21.5
| 6.39
| 46.4
| 153
| 402
| 16.8
| 4
| 30
| 35
| 20
| false
| true
| true
| false
| 0.11
| 0.37
| 0.5
|
Utilities:EW
|
Hedge
|
CDX_IG: +137bps notional
| -35
| 42
|
ECN2
|
Electronic
| 11
| 87
| 256
| 165
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 123
|
Defer adds pending macro print
|
C00609
|
CR3868
|
2025-08-04
|
Calm
| 73
| 360
| 3.5
| 1.8
| 2,432,840,065
|
Energy:9.6;Industrials:9.7;Financials:16.3;Utilities:29.0;Comm:16.3;Tech:19.2
|
US:60.3;EU:17.7;APAC:12.0;EMEA:5.6;LATAM:4.4
|
A:10.1;B:36.8;BBB:19.9;AA:17.6;AAA:15.6
| 6.8
| 55.2
| 173
| 295
| 9.2
| 2
| 30
| 35
| 25
| false
| true
| true
| false
| -0.32
| -0.13
| -0.31
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -23
| 29
|
DealerA
|
All2All
| 2
| 85
| -144
| -432
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 208
|
Defer adds pending macro print
|
C00610
|
CR6524
|
2025-05-09
|
Calm
| 70
| 284
| 3.5
| 1.9
| 1,143,392,381
|
Industrials:23.3;Financials:41.0;Consumer:11.1;Energy:24.5
|
US:64.4;EU:7.4;APAC:12.6;EMEA:8.7;LATAM:7.0
|
A:11.1;AA:31.8;CCC:7.1;BBB:26.7;AAA:23.3
| 3.81
| 53.3
| 164
| 336
| 6.2
| 2
| 20
| 45
| 35
| true
| true
| false
| false
| 1.18
| 0.61
| 0.04
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -8
| -20
|
ECN2
|
DealerAxed
| 3
| 96
| 292
| -349
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 159
|
Tighten HY exposure bands
|
C00611
|
CR2514
|
2024-09-21
|
Recovery
| 157
| 579
| 4.8
| 2
| 2,943,350,160
|
Healthcare:18.2;Industrials:25.9;RealEstate:18.3;Consumer:12.5;Tech:25.1
|
US:72.0;EU:8.1;APAC:10.7;EMEA:3.7;LATAM:5.5
|
CCC:9.9;BBB:18.1;BB:16.0;AA:17.4;A:38.6
| 2.89
| 28.9
| 262
| 284
| 7.7
| 3
| 20
| 35
| 20
| true
| true
| true
| true
| 2.31
| 0.25
| -0.37
|
Utilities:EW
|
Hedge
|
SingleName_CDS: +152bps notional
| 10
| -20
|
DealerA
|
RFQ
| 10
| 92
| -85
| -344
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 108
|
Defer adds pending macro print
|
C00612
|
CR8070
|
2024-11-14
|
Calm
| 105
| 366
| 3.6
| 1.8
| 2,409,525,243
|
Energy:42.2;Consumer:24.8;Financials:33.0
|
US:81.5;EU:6.2;APAC:7.2;EMEA:3.6;LATAM:1.6
|
AAA:11.4;CCC:13.2;B:20.4;A:23.7;BBB:14.6;AA:16.7
| 7.14
| 33.5
| 86
| 234
| 17.7
| 4
| 35
| 55
| 35
| true
| true
| false
| false
| -0.27
| 1.71
| -0.01
| null |
Hedge
|
iTraxx_XOVER: +61bps notional
| 0
| -12
|
DealerB
|
RFQ
| 3
| 98
| 47
| -225
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 202
|
Reviewed by risk; hedges staggered
|
C00613
|
CR4453
|
2024-12-20
|
Tightening
| 151
| 512
| 5.1
| 0.7
| 1,563,539,272
|
Materials:30.4;RealEstate:26.4;Tech:43.2
|
US:69.5;EU:15.5;APAC:5.3;EMEA:6.1;LATAM:3.6
|
AA:15.0;A:22.3;AAA:25.7;B:17.1;BB:19.8
| 1.83
| 63.2
| 137
| 511
| 2.4
| 3
| 20
| 45
| 25
| true
| true
| true
| false
| 0.76
| 0.85
| 0.36
|
Utilities:EW
|
Hedge
|
Treasury_Futures: +157bps notional
| -28
| 16
|
DealerB
|
Electronic
| 8
| 95
| -167
| -346
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 143
|
Tighten HY exposure bands
|
C00614
|
CR6799
|
2024-12-21
|
Tightening
| 146
| 436
| 4.4
| 0.9
| 1,686,116,451
|
Financials:16.3;Energy:30.3;Utilities:25.2;RealEstate:28.2
|
US:75.3;EU:10.3;APAC:7.5;EMEA:6.1;LATAM:0.9
|
B:10.8;BBB:21.6;AAA:17.9;CCC:23.1;BB:26.6
| 1.37
| 28
| 111
| 129
| 8.1
| 2
| 35
| 35
| 30
| false
| true
| true
| false
| 2.08
| 0.35
| 0.26
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -45
| 11
|
ECN2
|
All2All
| 9
| 95
| -184
| -262
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 147
|
Defer adds pending macro print
|
C00615
|
CR3478
|
2024-02-23
|
Calm
| 109
| 419
| 3.6
| 2.1
| 2,537,107,176
|
Financials:23.0;Industrials:13.6;RealEstate:16.5;Healthcare:22.1;Consumer:10.6;Materials:14.2
|
US:65.5;EU:11.9;APAC:9.8;EMEA:5.1;LATAM:7.7
|
BB:5.8;AA:16.9;A:25.2;CCC:11.9;B:12.4;AAA:27.7
| 3.11
| 32.6
| 211
| 307
| 5.6
| 4
| 35
| 45
| 25
| false
| true
| true
| true
| 2.38
| -0.26
| 0.19
|
Consumer:EW;Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -52
| -23
|
DealerB
|
RFQ
| 3
| 92
| 265
| -32
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 112
|
Tighten HY exposure bands
|
C00616
|
CR0921
|
2025-02-20
|
Calm
| 120
| 401
| 4.4
| 1.7
| 2,437,963,108
|
Energy:10.7;Comm:20.7;Utilities:32.9;Financials:17.0;RealEstate:18.6
|
US:55.9;EU:17.6;APAC:15.1;EMEA:6.0;LATAM:5.5
|
BBB:28.7;BB:28.1;B:20.4;A:13.4;CCC:9.4
| 3.33
| 49.6
| 215
| 251
| 12.1
| 2
| 25
| 45
| 30
| true
| true
| true
| true
| 0.95
| 0.09
| -0.37
|
Comm:EW;RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 16
| -22
|
DealerA
|
All2All
| 4
| 87
| 201
| -193
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 143
|
Escalate watchlist names
|
C00617
|
CR6458
|
2024-03-25
|
Calm
| 97
| 376
| 4.1
| 2.5
| 2,934,471,483
|
Utilities:17.7;Comm:21.8;Financials:31.2;Industrials:29.3
|
US:63.7;EU:13.9;APAC:5.9;EMEA:9.6;LATAM:6.9
|
BBB:15.9;A:15.1;AAA:25.7;CCC:8.4;B:9.0;AA:26.0
| 4.96
| 64.2
| 201
| 233
| 16.3
| 3
| 35
| 35
| 35
| false
| true
| false
| true
| -0.46
| 0.5
| -0.26
|
Utilities:EW;Comm:EW
|
Hedge
|
Treasury_Futures: +164bps notional
| -25
| 2
|
DealerC
|
All2All
| 6
| 97
| 349
| -46
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 155
|
Reviewed by risk; hedges staggered
|
C00618
|
CR6329
|
2025-03-11
|
Recovery
| 110
| 632
| 4.7
| 0.5
| 421,644,356
|
Energy:29.1;Consumer:9.7;Utilities:22.7;Healthcare:27.5;Financials:11.0
|
US:73.0;EU:12.0;APAC:7.3;EMEA:4.1;LATAM:3.6
|
BBB:36.5;B:9.1;AAA:13.2;A:24.8;CCC:16.5
| 1.77
| 25.6
| 131
| 278
| 4.9
| 3.5
| 25
| 35
| 20
| true
| true
| true
| false
| 1.12
| 0.11
| 0.01
|
Comm:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 2
| 19
|
ECN1
|
Electronic
| 5
| 96
| -99
| 2
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 137
|
Defer adds pending macro print
|
C00619
|
CR4258
|
2025-12-04
|
Calm
| 93
| 411
| 4
| 1.9
| 2,622,579,564
|
Materials:11.6;Tech:26.9;Financials:19.7;Utilities:9.9;Healthcare:16.9;Comm:15.0
|
US:64.8;EU:14.3;APAC:12.6;EMEA:4.4;LATAM:3.8
|
B:41.7;AAA:14.3;A:9.4;BBB:34.6
| 7.2
| 49.8
| 263
| 223
| 7.1
| 3.5
| 25
| 45
| 20
| true
| true
| true
| true
| 0.77
| -0.16
| 0.5
|
Consumer:EW;RealEstate:EW
|
Hedge
|
SingleName_CDS: +68bps notional
| -16
| 4
|
DealerA
|
RFQ
| 0
| 95
| 310
| -270
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 169
|
Escalate watchlist names
|
C00620
|
CR7822
|
2025-05-05
|
Tightening
| 159
| 431
| 4.2
| 1.3
| 607,683,323
|
Financials:21.5;Utilities:21.1;Materials:6.6;Energy:23.3;Comm:9.8;Industrials:17.7
|
US:67.5;EU:6.7;APAC:15.5;EMEA:9.3;LATAM:1.1
|
BBB:26.4;B:29.2;AAA:32.6;BB:11.8
| 7.02
| 62.3
| 259
| 474
| 7.7
| 3
| 35
| 35
| 25
| false
| true
| true
| true
| 0.84
| 1.33
| 0.22
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -41
| -7
|
DealerB
|
RFQ
| 4
| 97
| 147
| 60
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 173
|
Tighten HY exposure bands
|
C00621
|
CR0985
|
2024-10-14
|
Recovery
| 127
| 517
| 5.2
| 0.9
| 2,918,811,915
|
Materials:26.8;Consumer:18.8;RealEstate:22.2;Financials:20.5;Utilities:11.7
|
US:65.1;EU:15.8;APAC:6.1;EMEA:6.8;LATAM:6.2
|
AA:24.8;BBB:28.9;AAA:17.7;A:13.4;BB:6.4;B:8.9
| 6.27
| 56.3
| 82
| 197
| 17.9
| 3.5
| 20
| 35
| 25
| true
| true
| false
| false
| 1.18
| -0.24
| 0.12
|
Utilities:EW;Comm:EW
|
Hedge
|
Options_Payer: +173bps notional
| -50
| 3
|
DealerA
|
Electronic
| 2
| 85
| 306
| -150
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 92
|
Reviewed by risk; hedges staggered
|
C00622
|
CR5749
|
2025-07-16
|
Recovery
| 100
| 429
| 4.6
| -0.4
| 1,197,568,845
|
Materials:24.9;Comm:16.2;Healthcare:27.9;Energy:11.6;Consumer:19.4
|
US:69.9;EU:11.6;APAC:6.9;EMEA:9.4;LATAM:2.2
|
AA:13.3;B:30.1;AAA:37.2;A:19.5
| 3.16
| 49.8
| 120
| 296
| 9.5
| 3
| 35
| 45
| 35
| false
| true
| false
| false
| -0.37
| 0.71
| 0.59
|
Energy:EW;Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -54
| 36
|
DealerB
|
All2All
| 1
| 97
| 387
| -173
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 249
|
Rotate into defensive sectors
|
C00623
|
CR2152
|
2025-12-20
|
Calm
| 102
| 292
| 3.3
| 2.4
| 2,257,345,141
|
Energy:27.5;Financials:29.2;Healthcare:32.0;Consumer:11.4
|
US:60.9;EU:14.8;APAC:10.7;EMEA:9.3;LATAM:4.3
|
B:7.6;BB:20.0;AA:18.7;AAA:16.9;A:36.8
| 6.32
| 25.7
| 270
| 221
| 17.7
| 3.5
| 30
| 45
| 30
| true
| true
| false
| true
| 0.87
| 1.44
| 0.27
|
Utilities:EW
|
Hedge
|
Treasury_Futures: +171bps notional
| -51
| 17
|
DealerB
|
All2All
| 0
| 97
| -110
| 51
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 150
|
Rotate into defensive sectors
|
C00624
|
CR5053
|
2024-05-03
|
Tightening
| 105
| 442
| 5.1
| 0.5
| 2,466,969,432
|
Consumer:27.8;Comm:28.2;Materials:26.5;Healthcare:7.4;Financials:10.1
|
US:67.6;EU:12.8;APAC:11.8;EMEA:5.7;LATAM:2.1
|
BB:19.4;AAA:13.2;BBB:39.4;CCC:16.3;A:11.7
| 6.05
| 47.5
| 130
| 505
| 7.5
| 3
| 20
| 55
| 20
| true
| true
| true
| false
| 0.39
| 0.58
| 0.01
|
RealEstate:EW
|
Hedge
|
Options_Payer: +63bps notional
| -21
| -9
|
DealerA
|
DealerAxed
| 3
| 99
| 222
| -265
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 132
|
Defer adds pending macro print
|
C00625
|
CR9958
|
2025-05-08
|
Stress
| 257
| 574
| 5.4
| -0.7
| 1,711,745,334
|
Industrials:39.8;Financials:21.8;Consumer:38.4
|
US:57.2;EU:20.3;APAC:14.1;EMEA:4.6;LATAM:3.8
|
CCC:37.0;AA:30.3;BBB:17.4;A:15.3
| 3.64
| 31.6
| 154
| 689
| 15.8
| 3
| 25
| 35
| 35
| true
| true
| true
| false
| 0.4
| -0.25
| 0.18
|
Healthcare:EW;Comm:EW
|
Hedge
|
SingleName_CDS: +168bps notional
| -60
| 29
|
DealerC
|
DealerAxed
| 10
| 93
| 310
| -120
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 137
|
Reviewed by risk; hedges staggered
|
C00626
|
CR3159
|
2024-01-18
|
Tightening
| 94
| 443
| 4.9
| 1.4
| 497,311,942
|
Consumer:23.5;Tech:7.5;Materials:25.6;Healthcare:26.6;Comm:16.8
|
US:59.2;EU:17.3;APAC:13.5;EMEA:6.8;LATAM:3.2
|
BBB:29.7;BB:6.3;A:21.6;AAA:42.4
| 6.27
| 62.9
| 128
| 367
| 7.6
| 2.5
| 30
| 35
| 20
| false
| true
| false
| false
| 0.33
| 1.39
| -0.34
|
Comm:EW
|
Hedge
|
CDX_HY: +167bps notional
| -42
| 7
|
DealerC
|
DealerAxed
| 5
| 87
| 13
| -200
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 110
|
Tighten HY exposure bands
|
C00627
|
CR2749
|
2025-07-19
|
Recovery
| 143
| 569
| 6.3
| 1.8
| 2,588,659,455
|
Industrials:14.1;Tech:33.0;Consumer:40.3;Energy:12.6
|
US:67.3;EU:7.4;APAC:15.1;EMEA:7.7;LATAM:2.5
|
BBB:57.5;B:20.6;CCC:5.3;BB:16.6
| 2.1
| 39.9
| 233
| 506
| 5.8
| 4
| 35
| 55
| 25
| true
| true
| true
| true
| 0.4
| -0.12
| 0.03
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -4
| 13
|
ECN2
|
RFQ
| 1
| 91
| 93
| -388
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 110
|
Defer adds pending macro print
|
C00628
|
CR8714
|
2025-12-24
|
Stress
| 146
| 778
| 8
| -0.2
| 2,117,448,210
|
Materials:20.2;Comm:23.3;Utilities:7.5;Energy:12.9;Consumer:17.0;Industrials:19.1
|
US:60.6;EU:10.9;APAC:12.4;EMEA:11.1;LATAM:5.1
|
CCC:11.6;B:33.4;A:15.5;AAA:9.6;BBB:11.2;BB:18.7
| 1.49
| 25.7
| 327
| 507
| 15.7
| 2
| 25
| 45
| 20
| false
| true
| true
| true
| 2
| 1.61
| 0.07
| null |
Hedge
|
CDX_IG: +113bps notional
| -37
| -14
|
DealerA
|
RFQ
| 6
| 89
| 131
| -334
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 114
|
Defer adds pending macro print
|
C00629
|
CR6974
|
2025-11-19
|
Recovery
| 174
| 578
| 5
| 1.1
| 2,230,130,365
|
Tech:19.7;Comm:28.9;Healthcare:35.6;Financials:15.8
|
US:79.9;EU:6.2;APAC:5.7;EMEA:5.3;LATAM:2.9
|
A:33.1;BB:7.9;AA:28.8;AAA:16.7;B:13.4
| 3
| 62.3
| 148
| 146
| 12
| 3.5
| 25
| 45
| 20
| true
| true
| true
| false
| 2.37
| 0.47
| -0.39
|
Materials:EW;Healthcare:EW
|
Hedge
|
Treasury_Futures: +74bps notional
| -56
| 28
|
DealerB
|
All2All
| 9
| 89
| -119
| -55
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 221
|
Tighten HY exposure bands
|
C00630
|
CR2572
|
2025-03-23
|
Tightening
| 155
| 368
| 4.7
| 1.8
| 1,465,533,775
|
Comm:22.4;Tech:49.0;Financials:28.6
|
US:71.0;EU:15.0;APAC:4.6;EMEA:5.3;LATAM:4.0
|
A:36.8;CCC:9.0;AA:26.2;BBB:11.3;B:9.6;BB:7.2
| 2.36
| 27.6
| 102
| 485
| 11.5
| 2.5
| 30
| 35
| 35
| true
| true
| false
| false
| 1.38
| 0.19
| 0.33
|
Utilities:EW;Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -19
| -22
|
DealerA
|
DealerAxed
| 1
| 87
| -36
| -444
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 254
|
Tighten HY exposure bands
|
C00631
|
CR8468
|
2024-04-28
|
Tightening
| 114
| 373
| 4.4
| 0.6
| 2,986,011,849
|
RealEstate:44.6;Healthcare:28.8;Tech:26.6
|
US:61.1;EU:11.8;APAC:12.8;EMEA:8.7;LATAM:5.7
|
BBB:40.9;B:6.8;AAA:14.7;AA:30.8;CCC:6.8
| 4.58
| 51.9
| 198
| 430
| 2.5
| 3.5
| 25
| 35
| 20
| true
| true
| false
| false
| 1.78
| 0.4
| -0.35
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -29
| 3
|
DealerC
|
RFQ
| 4
| 87
| -99
| 73
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 226
|
Defer adds pending macro print
|
C00632
|
CR9861
|
2025-10-14
|
Stress
| 237
| 771
| 5
| -0.9
| 2,905,133,470
|
Utilities:37.1;Energy:35.3;Industrials:11.5;Consumer:16.1
|
US:61.6;EU:19.0;APAC:8.5;EMEA:7.9;LATAM:2.9
|
BB:30.9;AAA:10.0;BBB:13.7;AA:10.7;CCC:6.0;B:28.8
| 7.33
| 61.6
| 284
| 609
| 11.8
| 2
| 30
| 35
| 20
| true
| true
| true
| true
| 1.65
| 0.67
| 0.27
|
Financials:EW;Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 16
| 10
|
ECN1
|
Electronic
| 1
| 85
| -157
| -461
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 212
|
Defer adds pending macro print
|
C00633
|
CR4099
|
2025-10-30
|
Calm
| 82
| 316
| 3.9
| 1.5
| 1,723,655,577
|
Tech:10.4;Industrials:22.8;RealEstate:14.1;Energy:20.0;Financials:18.7;Consumer:14.0
|
US:67.7;EU:18.2;APAC:5.8;EMEA:5.3;LATAM:3.1
|
B:7.4;BBB:15.3;AAA:15.1;BB:5.7;A:22.6;AA:33.9
| 1.71
| 58.9
| 162
| 231
| 5.3
| 3
| 25
| 35
| 30
| false
| true
| false
| false
| 0.8
| -0.09
| 0.24
|
RealEstate:EW
|
Hedge
|
Options_Payer: +119bps notional
| -39
| 24
|
ECN2
|
All2All
| 9
| 85
| -184
| -65
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 143
|
Tighten HY exposure bands
|
C00634
|
CR8696
|
2024-10-25
|
Tightening
| 103
| 508
| 4.9
| 0.7
| 154,352,997
|
Energy:28.4;Materials:16.3;Utilities:27.4;Industrials:27.9
|
US:69.8;EU:14.0;APAC:11.0;EMEA:3.0;LATAM:2.3
|
BB:8.7;AA:26.0;AAA:24.3;BBB:22.1;CCC:18.8
| 3.61
| 51.9
| 102
| 363
| 6.7
| 3
| 25
| 35
| 20
| true
| true
| true
| false
| 1.5
| -0.15
| -0.05
|
Comm:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 0
| 5
|
ECN2
|
Electronic
| 4
| 98
| 362
| 45
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 143
|
Defer adds pending macro print
|
C00635
|
CR6737
|
2024-01-30
|
Stress
| 220
| 839
| 5.7
| 0.1
| 782,252,064
|
Comm:41.7;Consumer:15.9;Materials:42.4
|
US:69.1;EU:14.7;APAC:9.6;EMEA:6.4;LATAM:0.2
|
B:11.1;BBB:18.9;BB:12.5;CCC:9.5;A:27.8;AAA:20.2
| 4.74
| 36.8
| 208
| 406
| 16.1
| 4
| 35
| 45
| 30
| true
| true
| true
| true
| 0.52
| 0.83
| -0.13
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -10
| -1
|
ECN1
|
RFQ
| 9
| 93
| -136
| -116
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 247
|
Defer adds pending macro print
|
C00636
|
CR4995
|
2024-07-20
|
Stress
| 234
| 657
| 7.1
| 0.4
| 917,215,536
|
Industrials:39.0;Utilities:36.4;Healthcare:24.5
|
US:63.9;EU:12.5;APAC:7.7;EMEA:10.4;LATAM:5.5
|
B:30.5;BBB:19.6;CCC:11.0;BB:38.9
| 4.57
| 40.2
| 204
| 582
| 21.3
| 4
| 25
| 35
| 35
| true
| true
| true
| true
| 0.59
| 1.59
| 0.31
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -27
| 39
|
ECN2
|
All2All
| 6
| 99
| 48
| 96
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 211
|
Escalate watchlist names
|
C00637
|
CR8799
|
2024-04-10
|
Stress
| 185
| 568
| 5.4
| -0.7
| 2,273,677,021
|
Financials:30.2;Materials:35.7;Comm:34.1
|
US:59.5;EU:18.9;APAC:10.6;EMEA:3.9;LATAM:7.0
|
B:34.2;CCC:23.3;BB:22.7;AA:19.9
| 6.52
| 64.7
| 178
| 448
| 9.9
| 4
| 25
| 45
| 30
| true
| true
| true
| false
| 0.48
| 0.79
| 0.48
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -2
| 30
|
DealerC
|
Electronic
| 12
| 88
| 214
| -465
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 139
|
Rotate into defensive sectors
|
C00638
|
CR3891
|
2025-01-02
|
Recovery
| 160
| 477
| 5.1
| 1.8
| 1,034,747,246
|
Comm:16.6;Healthcare:18.2;Consumer:23.7;Tech:13.7;RealEstate:9.6;Industrials:18.3
|
US:70.0;EU:10.5;APAC:10.6;EMEA:8.3;LATAM:0.6
|
B:15.6;A:33.8;BB:13.3;AAA:37.3
| 0.71
| 22.6
| 153
| 341
| 13.4
| 2.5
| 25
| 55
| 30
| false
| true
| false
| false
| -0.18
| 0.5
| 0.29
|
Financials:EW;Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -48
| 4
|
DealerA
|
All2All
| 5
| 92
| 335
| -80
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 128
|
Rotate into defensive sectors
|
C00639
|
CR4366
|
2025-06-14
|
Tightening
| 159
| 430
| 4.1
| 0.8
| 1,740,717,416
|
Healthcare:22.5;Consumer:41.2;Financials:36.3
|
US:62.5;EU:15.4;APAC:12.6;EMEA:6.9;LATAM:2.7
|
AAA:32.5;CCC:17.9;BBB:28.7;A:20.8
| 7.16
| 42.7
| 142
| 498
| 3.1
| 2
| 30
| 55
| 30
| true
| true
| false
| false
| 1.5
| 1.36
| 0.01
|
Comm:EW;Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 15
| 5
|
ECN2
|
RFQ
| 8
| 92
| 90
| -115
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 238
|
Rotate into defensive sectors
|
C00640
|
CR7448
|
2025-05-23
|
Stress
| 178
| 581
| 7.6
| -1.7
| 2,410,292,262
|
Utilities:29.7;Financials:8.8;Comm:16.5;Tech:21.5;RealEstate:23.5
|
US:69.8;EU:8.2;APAC:5.6;EMEA:9.1;LATAM:7.3
|
A:24.1;AA:23.9;BBB:21.2;BB:30.8
| 3.86
| 31.9
| 163
| 431
| 14.2
| 3
| 25
| 45
| 20
| true
| true
| true
| false
| 1.15
| 1.05
| 0.34
|
Healthcare:EW
|
Hedge
|
Treasury_Futures: +50bps notional
| -28
| 30
|
DealerB
|
All2All
| 6
| 100
| 62
| 129
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 101
|
Reviewed by risk; hedges staggered
|
C00641
|
CR9556
|
2025-01-11
|
Tightening
| 122
| 485
| 4.1
| 0.6
| 2,436,998,871
|
Comm:16.0;Financials:23.3;Industrials:11.1;RealEstate:22.8;Materials:26.8
|
US:57.2;EU:18.7;APAC:10.0;EMEA:9.5;LATAM:4.6
|
B:21.2;AAA:16.6;A:14.8;BB:22.6;BBB:9.6;CCC:15.3
| 2.63
| 50.7
| 244
| 326
| 17
| 4
| 25
| 35
| 30
| true
| true
| true
| true
| -0.14
| 1.73
| 0
|
Financials:EW;Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -34
| 29
|
ECN1
|
DealerAxed
| 10
| 93
| 224
| -379
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 251
|
Reviewed by risk; hedges staggered
|
C00642
|
CR4039
|
2024-08-22
|
Recovery
| 151
| 650
| 4.8
| 1.8
| 1,667,617,359
|
Energy:12.1;Healthcare:16.6;Materials:25.7;Utilities:35.0;Comm:10.6
|
US:67.5;EU:12.9;APAC:9.7;EMEA:4.8;LATAM:5.1
|
BB:49.3;A:14.9;CCC:13.1;AAA:22.7
| 5.62
| 35.1
| 168
| 239
| 9.2
| 3.5
| 35
| 35
| 35
| false
| true
| true
| false
| 0.39
| 0.92
| 0.42
|
Materials:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -58
| 6
|
DealerC
|
Electronic
| 0
| 99
| -105
| -346
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 188
|
Rotate into defensive sectors
|
C00643
|
CR2042
|
2025-07-07
|
Calm
| 106
| 319
| 3.2
| 1.6
| 1,279,026,062
|
Healthcare:34.8;Consumer:19.9;Industrials:45.3
|
US:60.3;EU:16.8;APAC:12.6;EMEA:3.4;LATAM:6.9
|
AAA:12.3;AA:29.8;CCC:13.7;B:16.4;A:18.4;BBB:9.4
| 3.98
| 45.5
| 125
| 143
| 10.1
| 3.5
| 20
| 45
| 30
| true
| true
| true
| false
| 1.27
| 0.3
| -0.35
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -39
| 23
|
ECN1
|
RFQ
| 3
| 92
| 218
| -175
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 238
|
Defer adds pending macro print
|
C00644
|
CR1329
|
2024-01-30
|
Calm
| 112
| 418
| 3.3
| 2
| 2,554,960,893
|
Industrials:10.1;Energy:24.2;Tech:15.8;Healthcare:18.0;Utilities:31.8
|
US:71.8;EU:9.1;APAC:7.1;EMEA:10.1;LATAM:1.9
|
A:32.7;BB:3.3;B:7.9;CCC:11.6;BBB:34.1;AA:10.4
| 6.74
| 60.6
| 269
| 240
| 3.5
| 4
| 35
| 55
| 35
| false
| true
| false
| true
| 0.79
| 0.47
| 0.28
|
Materials:EW;Industrials:EW
|
Hedge
|
Treasury_Futures: +187bps notional
| -45
| 19
|
DealerA
|
RFQ
| 2
| 97
| 41
| -210
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 107
|
Defer adds pending macro print
|
C00645
|
CR8219
|
2024-08-01
|
Stress
| 240
| 823
| 7.7
| -1.5
| 2,409,284,914
|
RealEstate:6.2;Utilities:9.5;Industrials:9.1;Healthcare:22.8;Energy:28.9;Tech:23.6
|
US:63.8;EU:10.9;APAC:8.6;EMEA:9.9;LATAM:6.7
|
A:27.4;AA:28.5;AAA:38.3;CCC:5.8
| 2.86
| 59
| 196
| 475
| 11.4
| 2
| 25
| 35
| 20
| true
| true
| false
| false
| 1.26
| 1.33
| -0.17
| null |
Hedge
|
iTraxx_XOVER: +85bps notional
| 14
| 37
|
DealerA
|
Electronic
| 4
| 87
| 398
| 166
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 209
|
Defer adds pending macro print
|
C00646
|
CR9974
|
2025-08-16
|
Calm
| 84
| 391
| 3.5
| 2.1
| 1,885,414,777
|
Comm:41.8;RealEstate:43.4;Tech:14.7
|
US:63.0;EU:8.1;APAC:17.4;EMEA:3.8;LATAM:7.7
|
B:15.9;CCC:12.6;A:24.0;BB:31.3;AAA:16.2
| 0.77
| 57
| 166
| 129
| 2.5
| 3.5
| 20
| 35
| 35
| true
| true
| true
| false
| -0.42
| 0.26
| -0.22
|
Consumer:EW;Industrials:EW
|
Hedge
|
Treasury_Futures: +73bps notional
| -6
| 12
|
DealerA
|
Electronic
| 10
| 85
| 160
| -321
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 226
|
Defer adds pending macro print
|
C00647
|
CR7724
|
2025-03-20
|
Stress
| 143
| 842
| 6.9
| -0.8
| 419,326,399
|
Healthcare:28.2;Energy:24.1;Utilities:10.2;Consumer:17.1;Tech:20.4
|
US:59.9;EU:19.5;APAC:8.2;EMEA:7.8;LATAM:4.6
|
CCC:28.1;A:11.8;BBB:12.1;BB:19.3;B:28.7
| 4.44
| 21.8
| 228
| 519
| 16.1
| 3.5
| 35
| 55
| 25
| false
| true
| true
| true
| 1.62
| 0.59
| 0.44
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -24
| -13
|
ECN2
|
Electronic
| 0
| 90
| 19
| -109
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 195
|
Escalate watchlist names
|
C00648
|
CR1533
|
2024-06-03
|
Calm
| 111
| 345
| 3.2
| 2
| 2,295,376,501
|
Comm:27.8;RealEstate:12.8;Materials:30.7;Consumer:28.7
|
US:54.6;EU:20.3;APAC:11.6;EMEA:7.2;LATAM:6.3
|
BB:4.6;AAA:25.4;CCC:10.7;A:20.4;B:9.6;AA:29.3
| 5.49
| 20.1
| 83
| 411
| 10.9
| 2
| 30
| 45
| 20
| true
| true
| true
| false
| 1.81
| 0.37
| -0.21
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 1
| 26
|
ECN1
|
RFQ
| 7
| 89
| -8
| 81
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 138
|
Defer adds pending macro print
|
C00649
|
CR1884
|
2025-12-26
|
Tightening
| 158
| 496
| 5
| 1.8
| 2,901,889,667
|
Financials:20.0;Consumer:34.2;Materials:45.8
|
US:60.7;EU:18.7;APAC:13.7;EMEA:5.5;LATAM:1.3
|
B:6.6;BBB:28.4;A:25.0;AA:25.0;CCC:8.0;BB:7.0
| 1.21
| 59.2
| 257
| 280
| 10.5
| 3.5
| 20
| 35
| 20
| true
| true
| true
| true
| -0.41
| 1.69
| 0.11
|
RealEstate:EW;Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -14
| -14
|
DealerB
|
All2All
| 9
| 92
| -52
| -186
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 120
|
Defer adds pending macro print
|
C00650
|
CR7169
|
2024-05-02
|
Tightening
| 159
| 452
| 3.8
| 0.9
| 1,982,395,532
|
RealEstate:25.4;Industrials:29.8;Consumer:44.7
|
US:60.1;EU:7.3;APAC:14.2;EMEA:12.6;LATAM:5.8
|
BBB:14.9;A:16.4;AA:12.7;CCC:38.9;BB:17.1
| 0.87
| 41.4
| 272
| 467
| 3
| 3.5
| 20
| 55
| 25
| true
| true
| true
| true
| -0.32
| -0.28
| -0.2
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -15
| 1
|
ECN1
|
RFQ
| 9
| 89
| 164
| -331
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 219
|
Tighten HY exposure bands
|
C00651
|
CR9395
|
2024-10-01
|
Tightening
| 120
| 506
| 4.2
| 1.9
| 771,598,984
|
Energy:23.3;Materials:27.3;Industrials:16.5;Tech:8.5;RealEstate:24.5
|
US:74.0;EU:7.8;APAC:7.2;EMEA:7.6;LATAM:3.4
|
B:17.3;BB:11.6;AA:27.7;CCC:20.6;BBB:22.9
| 4.42
| 35.7
| 136
| 501
| 14
| 4
| 25
| 35
| 35
| true
| true
| true
| false
| 0.08
| 0.56
| -0.35
|
Healthcare:EW
|
Hedge
|
Treasury_Futures: +86bps notional
| -39
| -4
|
ECN2
|
DealerAxed
| 12
| 88
| 84
| 58
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 198
|
Reviewed by risk; hedges staggered
|
C00652
|
CR3834
|
2024-12-01
|
Calm
| 113
| 411
| 3.3
| 1.9
| 2,206,828,866
|
Utilities:33.3;Healthcare:11.7;RealEstate:24.0;Energy:31.0
|
US:57.8;EU:13.7;APAC:13.9;EMEA:7.2;LATAM:7.4
|
CCC:16.3;AA:32.9;A:19.2;AAA:20.2;B:11.4
| 4.27
| 27.2
| 176
| 253
| 11.6
| 3.5
| 35
| 35
| 30
| false
| true
| false
| false
| -0.32
| 0.1
| -0.36
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -53
| 10
|
DealerA
|
Electronic
| 3
| 91
| -137
| -431
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 201
|
Escalate watchlist names
|
C00653
|
CR3133
|
2024-07-30
|
Tightening
| 143
| 360
| 4.9
| 0.6
| 2,352,397,202
|
Industrials:25.1;Utilities:19.6;Energy:15.9;Healthcare:18.5;Tech:9.4;Financials:11.5
|
US:70.3;EU:9.3;APAC:9.5;EMEA:8.5;LATAM:2.4
|
AA:16.0;BB:5.8;CCC:13.8;BBB:30.6;AAA:33.9
| 7.34
| 64.7
| 140
| 257
| 7.3
| 4
| 35
| 45
| 35
| false
| true
| false
| false
| 1.73
| -0.07
| 0.48
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 13
| 37
|
ECN2
|
Electronic
| 7
| 96
| -83
| -391
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 97
|
Escalate watchlist names
|
C00654
|
CR5641
|
2024-02-14
|
Tightening
| 126
| 354
| 4.6
| 0.8
| 959,545,210
|
Consumer:25.8;Energy:26.9;Financials:30.3;Utilities:17.0
|
US:63.8;EU:20.7;APAC:8.7;EMEA:3.5;LATAM:3.4
|
A:26.5;B:11.4;AA:25.5;CCC:27.7;BB:9.0
| 5.92
| 56.8
| 251
| 448
| 5.5
| 2
| 25
| 45
| 25
| true
| true
| true
| true
| 1.98
| 1.76
| 0.59
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -27
| 17
|
ECN2
|
All2All
| 7
| 90
| 301
| -165
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 129
|
Reviewed by risk; hedges staggered
|
C00655
|
CR3111
|
2025-03-31
|
Calm
| 87
| 412
| 3.4
| 1.7
| 240,624,869
|
Utilities:13.0;Healthcare:24.0;Consumer:14.0;Energy:21.5;Financials:15.8;Tech:11.7
|
US:62.6;EU:16.0;APAC:11.6;EMEA:9.1;LATAM:0.8
|
AAA:23.6;BB:9.9;A:21.2;B:10.2;CCC:11.0;AA:24.0
| 2.24
| 57.2
| 269
| 318
| 9.9
| 3
| 35
| 35
| 35
| false
| true
| false
| true
| 1.7
| 0.87
| 0.47
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -1
| -15
|
ECN1
|
DealerAxed
| 4
| 99
| 241
| -33
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 153
|
Rotate into defensive sectors
|
C00656
|
CR1114
|
2025-10-05
|
Tightening
| 102
| 492
| 4.8
| 0.8
| 2,999,209,718
|
Energy:39.3;Financials:16.8;Materials:43.9
|
US:67.7;EU:12.3;APAC:11.0;EMEA:7.8;LATAM:1.2
|
CCC:5.1;AAA:22.8;AA:37.1;BBB:35.0
| 6.36
| 27.3
| 97
| 421
| 9.8
| 4
| 20
| 55
| 20
| true
| true
| false
| false
| 0.39
| 0.91
| 0.58
|
Consumer:EW;Comm:EW;Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -43
| -6
|
ECN2
|
All2All
| 2
| 94
| 104
| -254
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 221
|
Reviewed by risk; hedges staggered
|
C00657
|
CR8790
|
2025-10-11
|
Tightening
| 144
| 391
| 4.1
| 0.9
| 2,450,094,893
|
Tech:33.8;Comm:9.6;Consumer:32.0;Utilities:24.7
|
US:80.8;EU:5.4;APAC:8.6;EMEA:4.0;LATAM:1.2
|
B:13.2;CCC:9.9;AA:13.3;A:25.3;BB:15.3;BBB:23.0
| 3.33
| 46.1
| 206
| 487
| 17.7
| 3.5
| 30
| 55
| 35
| true
| true
| true
| true
| 1.11
| 1.01
| 0
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 16
| 15
|
ECN1
|
DealerAxed
| 12
| 92
| -113
| -201
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 172
|
Tighten HY exposure bands
|
C00658
|
CR2550
|
2025-12-11
|
Recovery
| 125
| 530
| 4.9
| -0.1
| 2,696,401,513
|
Healthcare:36.3;Industrials:14.8;Utilities:28.2;Energy:10.5;Tech:10.1
|
US:71.3;EU:8.8;APAC:7.7;EMEA:6.0;LATAM:6.0
|
A:34.5;B:28.6;AA:20.4;AAA:16.4
| 7.46
| 24.9
| 188
| 139
| 15.5
| 3.5
| 25
| 35
| 30
| true
| true
| false
| false
| -0.12
| 0.08
| 0.43
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -19
| 31
|
ECN1
|
All2All
| 4
| 97
| 324
| -428
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 117
|
Tighten HY exposure bands
|
C00659
|
CR1670
|
2025-07-17
|
Calm
| 71
| 332
| 3.6
| 3
| 2,032,513,737
|
Utilities:33.1;Industrials:38.4;Comm:12.5;Financials:16.0
|
US:71.4;EU:11.2;APAC:10.7;EMEA:3.9;LATAM:2.7
|
BB:7.8;AA:17.7;BBB:11.3;AAA:21.4;B:14.7;A:27.0
| 5.72
| 41.9
| 172
| 374
| 15.5
| 4
| 20
| 45
| 35
| true
| true
| false
| false
| 0.96
| 1.45
| 0.35
|
Energy:EW
|
Hedge
|
SingleName_CDS: +139bps notional
| 9
| 5
|
DealerB
|
DealerAxed
| 6
| 89
| 142
| 54
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 132
|
Rotate into defensive sectors
|
C00660
|
CR1700
|
2024-09-14
|
Calm
| 107
| 296
| 4.4
| 2.5
| 695,271,466
|
Financials:15.5;RealEstate:16.1;Materials:22.6;Tech:6.9;Industrials:23.9;Energy:14.9
|
US:62.5;EU:16.6;APAC:10.2;EMEA:4.4;LATAM:6.3
|
A:9.6;B:21.5;CCC:14.5;AAA:17.7;BB:19.6;AA:17.1
| 3.19
| 59
| 85
| 234
| 8.2
| 4
| 35
| 35
| 20
| false
| true
| true
| false
| 2.41
| 0.97
| 0.07
|
Consumer:EW
|
Hedge
|
Options_Payer: +61bps notional
| -37
| 14
|
ECN1
|
All2All
| 3
| 85
| 164
| -458
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 130
|
Defer adds pending macro print
|
C00661
|
CR8609
|
2025-10-06
|
Recovery
| 144
| 480
| 4.5
| 1.1
| 888,499,858
|
Energy:37.1;Consumer:24.7;Comm:22.8;Tech:15.4
|
US:70.4;EU:16.0;APAC:6.7;EMEA:6.4;LATAM:0.4
|
B:18.6;CCC:19.6;AA:10.5;BBB:20.1;BB:6.5;AAA:24.8
| 5.73
| 40
| 261
| 471
| 2.1
| 2.5
| 20
| 45
| 35
| true
| true
| true
| true
| 1.53
| 1.12
| 0.12
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -53
| 40
|
DealerB
|
Electronic
| 3
| 90
| 274
| -325
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 101
|
Escalate watchlist names
|
C00662
|
CR5315
|
2025-01-07
|
Calm
| 79
| 331
| 3.5
| 1.8
| 1,755,632,084
|
Consumer:20.1;Utilities:16.6;RealEstate:42.9;Energy:20.4
|
US:70.8;EU:13.1;APAC:6.5;EMEA:8.5;LATAM:1.1
|
BBB:12.1;BB:22.2;CCC:26.5;A:16.6;AA:22.6
| 4.12
| 64.4
| 199
| 444
| 9.1
| 4
| 35
| 35
| 30
| true
| true
| true
| false
| 2.41
| 1.33
| 0.31
| null |
Hedge
|
SingleName_CDS: +100bps notional
| 13
| 16
|
DealerA
|
RFQ
| 8
| 88
| 1
| -16
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 103
|
Escalate watchlist names
|
C00663
|
CR5275
|
2024-03-31
|
Recovery
| 180
| 444
| 5.1
| 1.2
| 2,608,854,025
|
Energy:25.8;Tech:24.3;Financials:9.2;Comm:13.9;RealEstate:26.8
|
US:65.1;EU:8.8;APAC:13.4;EMEA:9.1;LATAM:3.6
|
BBB:37.6;A:41.4;CCC:10.3;BB:10.8
| 6.3
| 63.3
| 80
| 462
| 13.7
| 3.5
| 30
| 45
| 30
| false
| true
| false
| false
| 2.38
| 0.99
| 0.19
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 1
| 41
|
DealerC
|
RFQ
| 6
| 89
| 262
| -194
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 162
|
Tighten HY exposure bands
|
C00664
|
CR3481
|
2024-12-05
|
Calm
| 65
| 397
| 3.2
| 1.8
| 1,634,181,015
|
Energy:8.2;Materials:10.0;Comm:33.3;Consumer:10.6;RealEstate:15.9;Tech:22.0
|
US:64.3;EU:13.4;APAC:4.9;EMEA:10.4;LATAM:7.1
|
AA:25.7;CCC:7.1;BB:5.2;AAA:24.2;B:12.3;BBB:25.6
| 5.77
| 26.7
| 212
| 197
| 16.9
| 2.5
| 30
| 35
| 20
| true
| true
| true
| true
| 0.54
| 0.67
| -0.27
| null |
Hedge
|
Treasury_Futures: +59bps notional
| -58
| 36
|
DealerA
|
Electronic
| 0
| 97
| -79
| -198
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 197
|
Escalate watchlist names
|
C00665
|
CR6300
|
2024-10-31
|
Recovery
| 122
| 426
| 5.3
| 1.5
| 479,444,279
|
Comm:8.4;Industrials:6.5;Utilities:29.6;Energy:22.1;Materials:10.6;Tech:22.9
|
US:69.8;EU:5.4;APAC:11.6;EMEA:9.4;LATAM:3.7
|
CCC:11.2;AAA:15.5;BBB:16.0;A:14.0;BB:21.9;AA:21.4
| 5.18
| 27.7
| 150
| 221
| 10.1
| 4
| 25
| 55
| 25
| true
| true
| true
| false
| 1.12
| 0.68
| 0.44
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -43
| 29
|
ECN2
|
Electronic
| 4
| 91
| -95
| -25
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 108
|
Reviewed by risk; hedges staggered
|
C00666
|
CR7082
|
2025-04-06
|
Recovery
| 119
| 436
| 5.2
| 0.9
| 822,279,632
|
Industrials:28.1;Financials:37.0;Consumer:35.0
|
US:71.1;EU:18.2;APAC:5.9;EMEA:4.6;LATAM:0.2
|
BB:6.9;AA:32.3;AAA:14.4;CCC:10.2;BBB:36.3
| 4.89
| 48.5
| 164
| 400
| 2.9
| 4
| 20
| 35
| 25
| true
| true
| false
| false
| 0.3
| 1.02
| -0.36
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -22
| 33
|
DealerA
|
RFQ
| 12
| 96
| 105
| 7
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 114
|
Reviewed by risk; hedges staggered
|
C00667
|
CR8159
|
2025-03-01
|
Calm
| 106
| 364
| 4.3
| 1.7
| 1,743,204,139
|
Financials:18.0;Comm:23.5;Energy:5.4;Materials:20.4;Consumer:16.8;Industrials:15.8
|
US:62.8;EU:16.6;APAC:6.9;EMEA:7.5;LATAM:6.1
|
BBB:32.2;AAA:29.6;CCC:15.8;AA:10.6;BB:11.8
| 1.57
| 22.5
| 262
| 450
| 14.8
| 3
| 25
| 55
| 30
| false
| true
| false
| true
| 1.33
| 0.46
| -0.26
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -41
| 14
|
ECN2
|
DealerAxed
| 11
| 92
| -80
| 49
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 215
|
Rotate into defensive sectors
|
C00668
|
CR8177
|
2025-12-26
|
Recovery
| 173
| 630
| 6
| -0.4
| 2,932,001,092
|
Consumer:29.6;Financials:14.9;Healthcare:19.9;Comm:18.7;Industrials:16.9
|
US:61.2;EU:14.2;APAC:11.6;EMEA:10.8;LATAM:2.3
|
B:18.9;AA:17.7;BB:15.4;A:31.1;CCC:17.0
| 2.51
| 27.2
| 256
| 325
| 12.4
| 3.5
| 20
| 45
| 20
| true
| true
| true
| true
| -0.45
| 0.83
| -0.06
|
Financials:EW
|
Hedge
|
CDX_IG: +162bps notional
| -45
| 43
|
DealerB
|
Electronic
| 12
| 89
| 230
| -190
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 192
|
Rotate into defensive sectors
|
C00669
|
CR8837
|
2025-04-10
|
Recovery
| 114
| 540
| 4.9
| 0
| 1,961,902,251
|
Tech:12.3;Healthcare:13.9;Industrials:15.6;Energy:15.4;Utilities:31.5;Consumer:11.3
|
US:72.8;EU:9.0;APAC:7.4;EMEA:10.1;LATAM:0.7
|
AAA:32.5;A:12.0;BBB:28.9;B:3.1;CCC:6.0;AA:17.5
| 1.9
| 36.4
| 185
| 309
| 3.9
| 3
| 30
| 35
| 30
| true
| true
| false
| false
| 0.25
| 0.21
| 0.49
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -21
| -2
|
ECN2
|
DealerAxed
| 2
| 95
| 316
| -35
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 169
|
Reviewed by risk; hedges staggered
|
C00670
|
CR6139
|
2025-09-09
|
Stress
| 199
| 729
| 7.7
| -0.9
| 2,380,275,027
|
Utilities:44.9;Tech:24.3;Healthcare:30.8
|
US:67.6;EU:11.2;APAC:9.9;EMEA:7.1;LATAM:4.2
|
BBB:13.2;BB:7.8;AA:31.5;AAA:37.1;CCC:10.5
| 2.21
| 45.9
| 249
| 360
| 8.8
| 3
| 25
| 45
| 35
| true
| true
| false
| true
| 2.11
| 1.69
| -0.37
| null |
Hedge
|
CDX_HY: +157bps notional
| -8
| -21
|
ECN1
|
DealerAxed
| 1
| 91
| -200
| -130
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 146
|
Reviewed by risk; hedges staggered
|
C00671
|
CR3684
|
2024-11-18
|
Stress
| 240
| 576
| 6.5
| -1.8
| 2,822,293,612
|
Comm:42.4;Healthcare:34.6;Tech:23.0
|
US:65.6;EU:17.8;APAC:9.6;EMEA:6.8;LATAM:0.2
|
BB:21.4;A:27.4;AAA:39.0;CCC:12.2
| 4.84
| 39.5
| 266
| 636
| 10.3
| 3.5
| 25
| 45
| 25
| true
| true
| true
| true
| 1.53
| 0.89
| -0.18
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 5
| 26
|
DealerB
|
Electronic
| 3
| 100
| -180
| -8
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 145
|
Escalate watchlist names
|
C00672
|
CR1704
|
2024-01-12
|
Recovery
| 158
| 499
| 5.5
| 1
| 353,995,025
|
RealEstate:37.0;Utilities:20.8;Tech:30.4;Financials:11.9
|
US:63.5;EU:13.2;APAC:12.7;EMEA:4.5;LATAM:6.1
|
AA:17.8;B:10.7;CCC:6.6;A:32.9;AAA:20.1;BBB:11.9
| 1.38
| 56.1
| 128
| 140
| 13.6
| 3.5
| 30
| 55
| 20
| true
| true
| false
| false
| 1.27
| 0.94
| 0.46
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -18
| 31
|
DealerC
|
Electronic
| 9
| 85
| 25
| -337
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 126
|
Reviewed by risk; hedges staggered
|
C00673
|
CR2041
|
2025-02-05
|
Calm
| 66
| 320
| 4.5
| 2.5
| 2,309,102,826
|
Consumer:37.0;Energy:33.7;Utilities:29.3
|
US:75.0;EU:9.1;APAC:8.7;EMEA:6.6;LATAM:0.6
|
AAA:32.8;AA:15.1;A:18.8;BB:4.9;CCC:13.9;B:14.5
| 0.56
| 54.1
| 217
| 461
| 14.4
| 3.5
| 25
| 55
| 30
| true
| true
| true
| true
| 1.61
| 0.84
| -0.02
|
Financials:EW;Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -55
| -5
|
ECN2
|
RFQ
| 10
| 87
| 102
| -282
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 190
|
Tighten HY exposure bands
|
C00674
|
CR6172
|
2025-08-18
|
Stress
| 157
| 661
| 5.9
| 0.8
| 2,351,345,339
|
Utilities:35.0;Consumer:20.9;Industrials:44.1
|
US:62.2;EU:10.9;APAC:11.2;EMEA:11.9;LATAM:3.7
|
AA:18.7;BBB:16.3;A:20.9;AAA:27.9;B:7.7;CCC:8.6
| 3.07
| 33.9
| 237
| 299
| 10.1
| 3.5
| 20
| 55
| 30
| true
| true
| false
| true
| 2.04
| 1.61
| -0.26
| null |
Hedge
|
SingleName_CDS: +166bps notional
| -21
| -22
|
ECN2
|
All2All
| 3
| 94
| 189
| -267
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 203
|
Escalate watchlist names
|
C00675
|
CR9906
|
2025-04-11
|
Stress
| 224
| 762
| 8.4
| 0.2
| 1,376,726,605
|
Energy:33.7;Healthcare:38.2;Financials:16.2;Tech:11.9
|
US:64.6;EU:16.5;APAC:7.3;EMEA:9.2;LATAM:2.4
|
CCC:18.2;B:16.3;BBB:32.0;AA:33.5
| 1.98
| 30.2
| 214
| 491
| 11.1
| 2
| 25
| 45
| 20
| true
| true
| true
| true
| 1.08
| 1.1
| -0.15
| null |
Hedge
|
Treasury_Futures: +134bps notional
| -29
| 45
|
ECN1
|
DealerAxed
| 3
| 87
| 262
| -394
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 187
|
Escalate watchlist names
|
C00676
|
CR6559
|
2024-05-20
|
Recovery
| 176
| 582
| 5.1
| 1.8
| 550,218,579
|
Energy:15.2;Tech:32.6;Materials:29.1;Healthcare:23.2
|
US:56.2;EU:17.5;APAC:9.7;EMEA:9.8;LATAM:6.8
|
A:18.2;AA:13.2;AAA:12.1;BBB:24.9;BB:18.2;CCC:13.4
| 4.79
| 59.1
| 278
| 474
| 12.2
| 3.5
| 20
| 55
| 25
| true
| true
| true
| true
| 0.14
| 0.69
| -0.06
|
Healthcare:EW
|
Hedge
|
CDX_HY: +63bps notional
| -60
| 26
|
ECN1
|
RFQ
| 9
| 91
| 242
| -125
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 134
|
Defer adds pending macro print
|
C00677
|
CR9336
|
2024-09-03
|
Recovery
| 131
| 468
| 5.8
| 1.8
| 322,301,401
|
Tech:51.9;RealEstate:29.6;Materials:18.6
|
US:60.8;EU:8.2;APAC:14.1;EMEA:12.8;LATAM:4.1
|
AA:24.4;BBB:33.6;BB:7.5;A:34.4
| 7.47
| 30.2
| 153
| 252
| 14.3
| 3.5
| 35
| 35
| 20
| true
| true
| false
| false
| 1.07
| 0.51
| 0.27
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 0
| 13
|
ECN2
|
Electronic
| 9
| 98
| 144
| 80
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 132
|
Rotate into defensive sectors
|
C00678
|
CR1615
|
2024-10-31
|
Stress
| 252
| 687
| 6
| -1.2
| 409,723,652
|
Healthcare:38.8;RealEstate:20.7;Energy:40.5
|
US:68.9;EU:10.6;APAC:13.5;EMEA:6.2;LATAM:0.8
|
A:30.5;AA:24.9;AAA:30.5;BBB:14.1
| 1.44
| 54.4
| 373
| 530
| 11.4
| 2.5
| 30
| 45
| 20
| true
| true
| false
| true
| -0.14
| 1.67
| -0.1
|
Materials:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -39
| -14
|
DealerA
|
DealerAxed
| 11
| 87
| 137
| -112
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 201
|
Rotate into defensive sectors
|
C00679
|
CR8704
|
2024-09-24
|
Stress
| 217
| 744
| 7.5
| -0.5
| 2,005,181,550
|
Industrials:21.5;Tech:12.4;Materials:21.6;Consumer:18.4;Energy:26.1
|
US:73.5;EU:9.3;APAC:8.4;EMEA:8.3;LATAM:0.5
|
A:24.9;B:7.6;CCC:7.1;AAA:27.0;AA:23.5;BB:9.9
| 5.74
| 61
| 269
| 539
| 16.6
| 3.5
| 30
| 35
| 25
| false
| true
| false
| true
| 0.65
| 0.85
| 0.23
|
Tech:EW;Materials:EW;Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -51
| 21
|
DealerC
|
Electronic
| 8
| 90
| 287
| 10
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 170
|
Tighten HY exposure bands
|
C00680
|
CR7685
|
2025-08-02
|
Tightening
| 142
| 372
| 4
| 1.7
| 2,498,536,610
|
RealEstate:37.4;Tech:30.1;Energy:15.4;Financials:17.1
|
US:67.4;EU:6.7;APAC:12.7;EMEA:9.2;LATAM:4.0
|
BBB:12.5;B:13.7;AAA:40.7;AA:33.2
| 2.55
| 48
| 159
| 158
| 3.7
| 2.5
| 25
| 35
| 25
| true
| true
| false
| false
| -0.36
| -0.09
| -0.34
|
Materials:EW
|
Hedge
|
CDX_IG: +200bps notional
| 16
| 14
|
ECN2
|
Electronic
| 12
| 88
| 92
| -264
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 161
|
Escalate watchlist names
|
C00681
|
CR1764
|
2025-03-12
|
Stress
| 240
| 588
| 6.7
| -0
| 75,683,997
|
Energy:27.5;Consumer:42.3;Financials:30.3
|
US:66.3;EU:16.3;APAC:7.0;EMEA:6.2;LATAM:4.1
|
B:21.8;BB:11.3;BBB:46.2;CCC:20.6
| 2.23
| 34.3
| 278
| 427
| 17.6
| 3.5
| 20
| 55
| 35
| true
| true
| true
| true
| 0.58
| 1.62
| 0.17
| null |
Hedge
|
Treasury_Futures: +111bps notional
| -33
| 36
|
ECN1
|
All2All
| 12
| 92
| 94
| 112
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 208
|
Tighten HY exposure bands
|
C00682
|
CR2196
|
2025-06-25
|
Calm
| 93
| 375
| 3.8
| 2.6
| 2,884,510,153
|
Industrials:10.8;Materials:18.3;Consumer:19.3;Healthcare:16.5;Utilities:12.6;Comm:22.6
|
US:65.1;EU:9.7;APAC:11.9;EMEA:9.5;LATAM:3.8
|
BBB:32.7;AA:20.6;B:18.6;A:28.2
| 2.82
| 35.1
| 203
| 512
| 4.1
| 3
| 30
| 55
| 30
| false
| true
| false
| true
| 2.05
| 0.29
| -0.21
|
Industrials:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -33
| -14
|
DealerC
|
Electronic
| 11
| 86
| -75
| 73
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 136
|
Rotate into defensive sectors
|
C00683
|
CR3398
|
2025-12-02
|
Recovery
| 108
| 526
| 5.6
| 0.5
| 198,728,477
|
Comm:21.0;Industrials:27.7;RealEstate:22.7;Materials:14.9;Energy:13.8
|
US:72.5;EU:7.7;APAC:14.8;EMEA:3.5;LATAM:1.5
|
CCC:12.8;B:13.6;BBB:25.7;A:36.1;BB:11.9
| 2.7
| 59.6
| 162
| 327
| 10.5
| 4
| 30
| 35
| 35
| false
| true
| true
| false
| 0.56
| 1.09
| 0.47
|
Healthcare:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -10
| -13
|
DealerA
|
DealerAxed
| 1
| 88
| 57
| -181
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 219
|
Tighten HY exposure bands
|
C00684
|
CR3819
|
2025-11-08
|
Calm
| 78
| 373
| 3.6
| 2.2
| 1,409,741,781
|
Consumer:15.9;Energy:24.6;Financials:18.7;Healthcare:40.8
|
US:70.1;EU:13.8;APAC:7.7;EMEA:2.8;LATAM:5.6
|
AA:26.2;BBB:20.7;B:29.7;BB:23.4
| 7.2
| 20.4
| 189
| 456
| 7.9
| 3.5
| 30
| 45
| 20
| true
| true
| true
| false
| 1.86
| 0.24
| -0
|
Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -37
| 26
|
DealerA
|
DealerAxed
| 1
| 98
| 381
| 153
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 152
|
Reviewed by risk; hedges staggered
|
C00685
|
CR6239
|
2024-08-10
|
Tightening
| 117
| 437
| 4.2
| 1.2
| 1,239,435,586
|
Healthcare:43.3;Energy:31.5;Industrials:25.2
|
US:59.6;EU:22.0;APAC:8.1;EMEA:3.8;LATAM:6.5
|
AAA:19.3;CCC:11.0;A:14.5;AA:10.9;BB:34.2;BBB:10.1
| 4.43
| 23.9
| 106
| 381
| 17.7
| 4
| 25
| 35
| 35
| true
| true
| true
| false
| -0.47
| 1.45
| -0.06
|
Healthcare:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -53
| 34
|
DealerA
|
Electronic
| 5
| 98
| -147
| 133
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 178
|
Rotate into defensive sectors
|
C00686
|
CR6281
|
2025-04-06
|
Stress
| 214
| 689
| 8.1
| -1.3
| 337,325,777
|
Healthcare:12.7;Tech:15.3;Industrials:11.8;Consumer:38.1;Financials:22.2
|
US:64.8;EU:10.2;APAC:11.7;EMEA:10.4;LATAM:2.9
|
AAA:34.9;A:22.2;AA:17.3;CCC:3.2;B:10.2;BBB:12.3
| 5.35
| 48.5
| 284
| 390
| 14.9
| 2.5
| 25
| 35
| 35
| true
| true
| false
| true
| 1.43
| 1.01
| 0.52
|
Industrials:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 8
| -12
|
ECN2
|
DealerAxed
| 5
| 97
| 367
| -57
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 155
|
Escalate watchlist names
|
C00687
|
CR9902
|
2025-07-14
|
Calm
| 107
| 404
| 3.4
| 2.1
| 2,984,596,997
|
Energy:14.4;RealEstate:14.8;Materials:46.5;Consumer:24.3
|
US:68.4;EU:13.5;APAC:5.7;EMEA:10.6;LATAM:1.8
|
AAA:12.7;B:12.8;A:21.5;AA:18.4;CCC:34.6
| 0.78
| 35.6
| 83
| 212
| 10.4
| 3.5
| 20
| 55
| 30
| true
| true
| true
| false
| 1.22
| 0.55
| 0.05
|
Financials:EW
|
Hedge
|
Treasury_Futures: +121bps notional
| 0
| -10
|
ECN2
|
Electronic
| 8
| 97
| -172
| -344
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 210
|
Reviewed by risk; hedges staggered
|
C00688
|
CR4746
|
2024-02-18
|
Stress
| 172
| 629
| 5.3
| 0.4
| 813,685,051
|
Consumer:18.3;Industrials:21.5;Comm:23.8;RealEstate:14.5;Energy:12.8;Healthcare:9.1
|
US:68.0;EU:12.4;APAC:7.4;EMEA:7.7;LATAM:4.4
|
B:16.9;AA:13.3;BB:48.9;A:20.9
| 2.11
| 55.1
| 258
| 586
| 9
| 2
| 20
| 55
| 30
| true
| true
| true
| true
| 0.92
| -0.04
| 0.51
| null |
Hedge
|
CDX_HY: +196bps notional
| -21
| 11
|
ECN1
|
RFQ
| 10
| 89
| 239
| -231
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 178
|
Rotate into defensive sectors
|
C00689
|
CR5500
|
2024-10-29
|
Calm
| 95
| 405
| 4
| 2.1
| 2,108,424,852
|
RealEstate:14.0;Industrials:25.7;Consumer:9.8;Financials:8.9;Utilities:26.6;Energy:15.1
|
US:62.5;EU:10.3;APAC:12.6;EMEA:11.6;LATAM:3.0
|
AA:54.6;CCC:5.8;A:21.0;BB:18.6
| 5.73
| 48.1
| 113
| 212
| 3.2
| 3
| 25
| 35
| 35
| true
| true
| false
| false
| 0.7
| 1.48
| -0.36
| null |
Hedge
|
SingleName_CDS: +158bps notional
| -45
| 35
|
DealerC
|
All2All
| 11
| 91
| 76
| 13
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 198
|
Rotate into defensive sectors
|
C00690
|
CR5865
|
2025-09-28
|
Tightening
| 126
| 435
| 5
| 0.6
| 1,470,452,871
|
Industrials:13.7;RealEstate:17.4;Healthcare:18.6;Tech:18.0;Energy:17.8;Materials:14.5
|
US:71.8;EU:17.9;APAC:6.1;EMEA:3.8;LATAM:0.4
|
AAA:11.0;B:33.1;BBB:16.3;AA:17.4;A:10.4;BB:11.8
| 0.51
| 42.7
| 147
| 411
| 3.5
| 4
| 20
| 35
| 20
| false
| true
| true
| false
| 2.06
| 0.03
| 0.38
|
Healthcare:EW
|
Hedge
|
iTraxx_XOVER: +58bps notional
| -27
| -5
|
DealerA
|
DealerAxed
| 3
| 95
| 242
| -16
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 93
|
Escalate watchlist names
|
C00691
|
CR0107
|
2024-01-25
|
Stress
| 166
| 773
| 8
| 0.7
| 1,737,860,926
|
Consumer:25.0;Materials:24.4;Energy:50.6
|
US:67.1;EU:8.6;APAC:12.4;EMEA:8.5;LATAM:3.4
|
AA:28.0;CCC:13.2;BBB:20.0;BB:10.6;A:28.3
| 3.7
| 48.4
| 138
| 306
| 12
| 2
| 30
| 35
| 30
| true
| true
| false
| false
| 0.76
| -0.27
| 0.31
|
Energy:EW;Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -18
| -9
|
ECN2
|
DealerAxed
| 12
| 95
| -101
| 45
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 252
|
Reviewed by risk; hedges staggered
|
C00692
|
CR7383
|
2024-06-17
|
Recovery
| 101
| 619
| 5.8
| 0.4
| 1,236,620,010
|
Energy:24.5;Financials:12.8;RealEstate:31.3;Industrials:20.6;Comm:10.8
|
US:58.4;EU:16.9;APAC:9.3;EMEA:11.0;LATAM:4.4
|
CCC:8.3;AA:28.3;BB:6.5;AAA:15.0;B:6.2;A:35.7
| 0.88
| 25.5
| 123
| 462
| 7.1
| 3.5
| 35
| 35
| 35
| false
| true
| false
| false
| -0.46
| 0.7
| -0.36
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -48
| -11
|
DealerB
|
RFQ
| 5
| 93
| 430
| 18
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 124
|
Escalate watchlist names
|
C00693
|
CR3321
|
2024-04-03
|
Recovery
| 169
| 469
| 5.5
| 0.4
| 2,892,024,641
|
Consumer:13.8;Healthcare:12.1;Utilities:24.2;Comm:21.7;RealEstate:20.1;Materials:8.2
|
US:62.4;EU:10.6;APAC:5.7;EMEA:13.2;LATAM:8.0
|
A:20.6;AAA:37.6;BBB:19.4;B:9.5;AA:12.9
| 0.6
| 47.5
| 156
| 335
| 9.4
| 4
| 30
| 45
| 20
| false
| true
| false
| false
| -0.44
| 1.14
| 0.02
|
Comm:EW;Healthcare:EW
|
Hedge
|
CDX_IG: +176bps notional
| -37
| 0
|
ECN2
|
All2All
| 6
| 94
| 244
| 101
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 190
|
Tighten HY exposure bands
|
C00694
|
CR2344
|
2025-12-03
|
Calm
| 67
| 301
| 4.4
| 2.2
| 1,691,727,277
|
Healthcare:16.8;Industrials:34.5;Energy:18.5;Comm:7.3;Materials:22.8
|
US:69.7;EU:16.0;APAC:4.9;EMEA:6.7;LATAM:2.7
|
BB:24.4;AAA:19.3;CCC:34.4;A:21.9
| 7.1
| 52.1
| 229
| 481
| 3.3
| 3.5
| 20
| 35
| 25
| true
| true
| true
| true
| 1.89
| 1.08
| -0.11
|
Energy:EW
|
Hedge
|
CDX_HY: +75bps notional
| -39
| 13
|
ECN1
|
DealerAxed
| 11
| 100
| 94
| 46
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 235
|
Tighten HY exposure bands
|
C00695
|
CR0160
|
2025-07-14
|
Stress
| 143
| 606
| 7.5
| -0.7
| 659,038,810
|
Materials:35.8;RealEstate:12.3;Tech:20.6;Energy:17.2;Utilities:14.2
|
US:59.6;EU:20.0;APAC:8.9;EMEA:10.8;LATAM:0.6
|
CCC:34.6;B:21.8;AAA:12.9;BBB:30.8
| 4.99
| 31
| 238
| 290
| 16.5
| 4
| 20
| 35
| 20
| true
| true
| true
| true
| 2.47
| 0.12
| -0.4
|
Tech:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -11
| -10
|
DealerC
|
DealerAxed
| 8
| 88
| 23
| 154
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 154
|
Reviewed by risk; hedges staggered
|
C00696
|
CR5894
|
2024-01-06
|
Tightening
| 101
| 420
| 4.7
| 1.7
| 871,606,589
|
Financials:30.5;Healthcare:20.3;Utilities:33.8;Comm:15.3
|
US:70.9;EU:13.6;APAC:7.9;EMEA:7.4;LATAM:0.2
|
BBB:21.6;AA:12.0;CCC:9.4;AAA:34.3;BB:22.6
| 1.6
| 46.3
| 132
| 367
| 15
| 3
| 30
| 45
| 30
| true
| true
| true
| false
| 0.76
| -0.03
| -0.11
| null |
Hedge
|
iTraxx_XOVER: +143bps notional
| -17
| -1
|
DealerB
|
Electronic
| 8
| 88
| 18
| -464
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 205
|
Escalate watchlist names
|
C00697
|
CR3483
|
2025-03-08
|
Recovery
| 124
| 449
| 4.6
| 1.8
| 1,955,970,072
|
Industrials:23.2;Consumer:34.9;Tech:41.9
|
US:69.7;EU:17.7;APAC:6.9;EMEA:4.4;LATAM:1.4
|
BBB:15.7;AAA:30.7;AA:32.9;BB:20.7
| 4.43
| 58.4
| 152
| 154
| 4.9
| 3.5
| 25
| 45
| 25
| true
| true
| false
| false
| 1.78
| -0.18
| -0.28
|
RealEstate:EW
|
Hedge
|
iTraxx_MAIN: +194bps notional
| -48
| 19
|
DealerB
|
RFQ
| 3
| 95
| 435
| -405
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 246
|
Rotate into defensive sectors
|
C00698
|
CR4788
|
2024-10-19
|
Stress
| 186
| 734
| 6.2
| -1.5
| 860,474,533
|
Materials:13.8;Energy:8.5;Tech:26.0;RealEstate:17.8;Healthcare:8.5;Utilities:25.4
|
US:61.2;EU:12.9;APAC:15.3;EMEA:6.8;LATAM:3.7
|
CCC:12.2;B:39.6;AAA:15.7;A:15.0;AA:17.5
| 6.27
| 23.5
| 250
| 675
| 10.7
| 3.5
| 35
| 45
| 25
| false
| true
| true
| true
| 0.42
| 0.07
| -0.33
| null |
Hedge
|
CDX_HY: +153bps notional
| -26
| 29
|
DealerC
|
RFQ
| 2
| 89
| 116
| 124
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 149
|
Escalate watchlist names
|
C00699
|
CR1844
|
2025-12-05
|
Calm
| 87
| 293
| 3.5
| 1.8
| 360,561,713
|
Comm:17.6;Materials:19.2;Utilities:24.3;Tech:21.3;RealEstate:10.6;Healthcare:7.0
|
US:68.6;EU:7.8;APAC:15.6;EMEA:5.1;LATAM:2.9
|
A:26.4;AAA:30.7;B:29.1;BBB:13.9
| 5.04
| 29.8
| 191
| 489
| 14.6
| 2.5
| 35
| 45
| 20
| false
| true
| true
| false
| -0.4
| 0.66
| 0.45
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 6
| 17
|
DealerC
|
All2All
| 5
| 91
| 174
| -388
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 210
|
Reviewed by risk; hedges staggered
|
C00700
|
CR6812
|
2025-05-03
|
Calm
| 73
| 392
| 4.2
| 2.3
| 115,539,463
|
Financials:16.9;Tech:21.6;Comm:32.8;Energy:28.7
|
US:63.8;EU:15.9;APAC:6.1;EMEA:9.7;LATAM:4.5
|
A:11.6;CCC:45.4;AAA:12.3;B:13.8;AA:16.9
| 6.31
| 32.3
| 250
| 122
| 17.3
| 4
| 30
| 55
| 25
| true
| true
| true
| true
| 1.36
| 1.71
| 0.58
|
Energy:EW;Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -32
| 1
|
ECN1
|
All2All
| 3
| 100
| 262
| 98
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 250
|
Tighten HY exposure bands
|
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