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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