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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C07801 | CR3058 | 2025-01-01 | Calm | 102 | 289 | 3.9 | 2.8 | 2,045,853,392 | Industrials:33.1;Energy:8.3;Materials:17.6;Financials:41.0 | US:73.5;EU:12.7;APAC:7.4;EMEA:4.7;LATAM:1.7 | A:19.8;AAA:11.3;B:18.3;BB:13.4;CCC:21.4;AA:15.7 | 5.71 | 42.2 | 169 | 245 | 17.9 | 3 | 20 | 55 | 20 | true | true | true | false | -0.5 | 1.44 | -0.2 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -40 | 35 | DealerC | All2All | 2 | 97 | -79 | -332 | HYCap>limit | Rotate | High-yield share above policy cap | 101 | Reviewed by risk; hedges staggered |
C07802 | CR0299 | 2025-02-15 | Tightening | 120 | 420 | 4.4 | 1.7 | 409,146,274 | Energy:28.0;Tech:9.2;Healthcare:17.8;Consumer:15.6;Utilities:29.4 | US:66.4;EU:8.0;APAC:9.9;EMEA:8.7;LATAM:7.0 | AA:10.4;CCC:7.2;BB:19.2;BBB:11.2;A:22.9;AAA:29.1 | 4.99 | 38.1 | 147 | 218 | 16.2 | 2 | 35 | 55 | 20 | false | true | true | false | 1.35 | 1.64 | 0.06 | null | Hedge | SingleName_CDS: +147bps notional | 10 | 18 | DealerA | All2All | 4 | 93 | 168 | -106 | HYCap>limit | Hedge | High-yield share above policy cap | 130 | Tighten HY exposure bands |
C07803 | CR9661 | 2025-10-22 | Tightening | 150 | 475 | 4.9 | 0.7 | 405,048,517 | Energy:17.4;Healthcare:21.4;Consumer:22.5;Utilities:14.3;Comm:24.4 | US:68.7;EU:8.6;APAC:10.4;EMEA:11.3;LATAM:0.9 | CCC:13.4;A:13.0;AAA:15.6;BBB:17.2;AA:28.5;BB:12.3 | 5.03 | 26.2 | 228 | 270 | 5.9 | 2.5 | 25 | 35 | 25 | false | true | true | true | -0.05 | 1.07 | -0.16 | null | Hedge | CDX_IG: +69bps notional | -29 | 42 | ECN2 | Electronic | 4 | 88 | -51 | -172 | Sector>limit | Reduce | Sector concentration above limit | 225 | Defer adds pending macro print |
C07804 | CR5210 | 2024-03-04 | Calm | 84 | 312 | 3.6 | 1.9 | 536,483,106 | Energy:19.0;RealEstate:10.0;Comm:19.6;Materials:15.3;Utilities:12.0;Consumer:24.1 | US:55.7;EU:19.9;APAC:12.4;EMEA:7.9;LATAM:4.1 | BB:16.9;BBB:36.9;AAA:32.6;B:13.6 | 2.34 | 64.1 | 212 | 254 | 12.6 | 3 | 20 | 45 | 20 | true | true | true | true | 0.14 | 1.71 | 0.28 | RealEstate:EW;Consumer:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -25 | 7 | DealerA | All2All | 9 | 100 | 81 | -206 | VAR>budget | Rotate | Portfolio VAR above budget | 172 | Tighten HY exposure bands |
C07805 | CR5421 | 2024-12-27 | Tightening | 129 | 383 | 3.8 | 1.9 | 186,122,004 | Tech:11.9;Materials:12.8;Utilities:19.4;Industrials:22.2;Comm:9.0;Energy:24.8 | US:64.0;EU:20.1;APAC:8.1;EMEA:4.3;LATAM:3.5 | A:29.6;AA:28.0;B:15.4;BBB:27.0 | 4.28 | 49.1 | 164 | 267 | 15.9 | 3.5 | 30 | 45 | 35 | false | true | false | false | 2.47 | 0.79 | 0.53 | Comm:EW;Tech:EW;Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -7 | -13 | DealerC | DealerAxed | 10 | 92 | -211 | -398 | Sector>limit | Reduce | Sector concentration above limit | 164 | Reviewed by risk; hedges staggered |
C07806 | CR4911 | 2025-05-04 | Stress | 183 | 811 | 5.5 | -0.3 | 1,522,732,581 | Tech:25.9;Utilities:10.7;Consumer:22.6;Materials:20.3;Healthcare:20.5 | US:67.4;EU:12.9;APAC:8.3;EMEA:9.2;LATAM:2.2 | BB:8.6;BBB:26.0;CCC:16.6;AA:48.8 | 6.86 | 27 | 284 | 509 | 6 | 3 | 30 | 45 | 25 | false | true | true | true | 1.62 | 0.6 | 0.37 | null | Rotate | From Energy -1.0% to Utilities +1.0% | 7 | 44 | ECN2 | All2All | 9 | 87 | 278 | 12 | Region>limit | Reduce | Regional concentration above limit | 174 | Rotate into defensive sectors |
C07807 | CR9739 | 2025-02-12 | Calm | 92 | 331 | 3.9 | 2 | 1,001,727,269 | Healthcare:21.7;Industrials:25.5;Tech:15.6;Energy:28.4;Consumer:8.8 | US:66.6;EU:15.6;APAC:7.0;EMEA:10.1;LATAM:0.6 | A:12.9;BB:14.5;AA:15.7;BBB:18.0;B:14.0;AAA:25.0 | 2.82 | 46.7 | 127 | 293 | 17.3 | 2 | 30 | 45 | 35 | false | true | false | false | 0.34 | -0.01 | 0.24 | null | Hedge | SingleName_CDS: +98bps notional | -18 | -23 | ECN1 | All2All | 12 | 88 | 368 | -313 | Sector>limit | Rotate | Sector concentration above limit | 244 | Escalate watchlist names |
C07808 | CR8569 | 2025-08-26 | Calm | 118 | 300 | 4 | 2.6 | 763,850,363 | Utilities:57.0;Industrials:15.4;Tech:27.6 | US:81.9;EU:7.3;APAC:5.8;EMEA:4.3;LATAM:0.7 | A:32.9;AAA:36.9;BBB:26.1;BB:4.2 | 0.51 | 42 | 183 | 325 | 9.9 | 3.5 | 35 | 45 | 25 | true | true | false | false | 1.04 | 1 | 0.18 | Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -59 | -12 | ECN1 | All2All | 9 | 98 | 204 | 20 | Region>limit | Hedge | Regional concentration above limit | 177 | Escalate watchlist names |
C07809 | CR2466 | 2024-08-28 | Calm | 94 | 362 | 3.3 | 1.5 | 887,433,421 | RealEstate:11.9;Financials:27.9;Healthcare:11.8;Comm:26.9;Energy:21.6 | US:63.4;EU:15.9;APAC:10.4;EMEA:3.9;LATAM:6.3 | CCC:13.4;A:27.8;AA:29.7;BBB:16.5;BB:9.7;B:2.9 | 5.51 | 23.6 | 211 | 220 | 12.8 | 2 | 30 | 35 | 30 | false | true | false | true | -0.13 | 1.75 | -0.02 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 20 | -7 | ECN2 | DealerAxed | 4 | 94 | 58 | -334 | HYCap>limit | Hedge | High-yield share above policy cap | 109 | Reviewed by risk; hedges staggered |
C07810 | CR4517 | 2025-03-27 | Stress | 255 | 628 | 7.5 | -1.4 | 816,201,511 | Financials:23.3;Utilities:17.6;Energy:11.3;Consumer:15.2;Materials:11.0;Tech:21.5 | US:64.3;EU:16.6;APAC:6.8;EMEA:11.6;LATAM:0.7 | AAA:22.8;AA:25.6;A:16.4;BBB:22.7;BB:12.5 | 6.66 | 21.3 | 278 | 468 | 12.5 | 4 | 25 | 35 | 30 | false | true | false | true | -0.28 | 1.66 | -0.03 | null | Hedge | CDX_HY: +108bps notional | -1 | -3 | ECN2 | All2All | 5 | 99 | -77 | 99 | Region>limit | Rotate | Regional concentration above limit | 193 | Tighten HY exposure bands |
C07811 | CR9459 | 2024-10-20 | Stress | 191 | 608 | 5.2 | -0.2 | 1,363,391,419 | Utilities:12.2;Financials:18.7;Comm:12.2;Consumer:28.8;Materials:28.1 | US:61.4;EU:16.0;APAC:13.0;EMEA:3.0;LATAM:6.7 | B:13.9;AA:20.6;BB:14.0;BBB:10.7;CCC:40.8 | 1.75 | 34.7 | 242 | 314 | 19 | 3 | 35 | 35 | 30 | false | true | true | true | 2.04 | 0.91 | 0.34 | Tech:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -52 | -1 | ECN1 | Electronic | 0 | 87 | -42 | -375 | HYCap>limit | Reduce | High-yield share above policy cap | 221 | Tighten HY exposure bands |
C07812 | CR3745 | 2024-10-02 | Recovery | 174 | 421 | 6.4 | 0.2 | 2,853,828,503 | Industrials:32.6;Energy:21.1;RealEstate:28.3;Consumer:17.9 | US:57.9;EU:10.4;APAC:11.8;EMEA:11.7;LATAM:8.2 | BBB:42.5;B:8.3;AAA:34.5;BB:14.8 | 3.62 | 34.6 | 247 | 390 | 13.8 | 2 | 35 | 55 | 30 | false | true | false | true | 1.83 | 0.21 | 0.07 | Financials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -3 | 40 | DealerA | RFQ | 0 | 86 | 421 | -196 | Sector>limit | Reduce | Sector concentration above limit | 248 | Escalate watchlist names |
C07813 | CR9328 | 2025-03-03 | Calm | 83 | 304 | 3.5 | 1.9 | 1,238,371,163 | Tech:27.2;Utilities:13.9;RealEstate:21.0;Industrials:9.5;Healthcare:10.0;Consumer:18.4 | US:70.8;EU:10.2;APAC:8.4;EMEA:5.1;LATAM:5.6 | AAA:21.3;A:12.1;AA:25.6;BBB:24.1;BB:5.8;CCC:11.0 | 3.2 | 58.8 | 113 | 260 | 9.5 | 3.5 | 25 | 45 | 30 | true | true | false | false | 0.01 | 0.04 | -0.02 | Materials:EW | Hedge | Options_Payer: +115bps notional | -52 | 26 | ECN1 | All2All | 0 | 100 | -212 | -388 | HYCap>limit | Hedge | High-yield share above policy cap | 238 | Defer adds pending macro print |
C07814 | CR1374 | 2025-04-04 | Stress | 218 | 668 | 5.8 | -0.8 | 1,488,162,239 | Financials:22.4;Energy:29.2;Tech:23.2;RealEstate:25.2 | US:62.1;EU:16.9;APAC:13.0;EMEA:5.7;LATAM:2.3 | BBB:13.5;AAA:36.8;B:4.8;A:44.8 | 6.11 | 58.6 | 275 | 359 | 8 | 3 | 25 | 45 | 35 | true | true | false | true | -0.4 | 1.66 | -0.25 | Materials:EW;Comm:EW | Hedge | Treasury_Futures: +186bps notional | -47 | -20 | DealerA | Electronic | 5 | 90 | -120 | -123 | Region>limit | Rotate | Regional concentration above limit | 153 | Escalate watchlist names |
C07815 | CR2552 | 2025-05-26 | Recovery | 121 | 442 | 5.8 | -0.4 | 1,062,493,405 | Industrials:19.3;Healthcare:34.8;Tech:45.9 | US:64.1;EU:15.8;APAC:5.8;EMEA:11.6;LATAM:2.7 | AA:13.4;BB:11.0;BBB:23.1;A:30.3;B:9.0;CCC:13.1 | 4.79 | 50.3 | 215 | 250 | 8.2 | 4 | 25 | 55 | 20 | true | true | true | true | 1.83 | 1.76 | 0.16 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -49 | -9 | DealerA | DealerAxed | 1 | 96 | 104 | -415 | HYCap>limit | Reduce | High-yield share above policy cap | 222 | Rotate into defensive sectors |
C07816 | CR1643 | 2025-01-01 | Calm | 88 | 358 | 4 | 2.9 | 2,703,775,587 | Utilities:28.2;Comm:19.7;Energy:38.1;RealEstate:14.1 | US:69.4;EU:12.4;APAC:5.1;EMEA:6.6;LATAM:6.5 | AAA:23.7;BBB:15.8;B:21.2;A:15.1;BB:9.9;CCC:14.3 | 3.73 | 31.3 | 249 | 126 | 12.9 | 2 | 30 | 45 | 35 | true | true | true | true | 1.78 | 0.86 | 0.58 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 9 | 19 | DealerB | RFQ | 8 | 95 | 247 | 110 | HYCap>limit | Reduce | High-yield share above policy cap | 150 | Defer adds pending macro print |
C07817 | CR7885 | 2025-01-02 | Stress | 221 | 844 | 6.1 | -1.5 | 821,153,848 | Materials:36.9;Tech:31.6;Financials:31.6 | US:63.1;EU:12.7;APAC:7.0;EMEA:9.1;LATAM:8.0 | B:22.5;AAA:31.3;CCC:25.2;AA:21.0 | 7.29 | 40.3 | 175 | 603 | 10.4 | 2.5 | 35 | 55 | 30 | true | true | true | false | 1.21 | 0.18 | 0.55 | null | Hedge | iTraxx_MAIN: +66bps notional | -16 | 35 | DealerA | RFQ | 6 | 95 | 365 | -94 | HYCap>limit | Reduce | High-yield share above policy cap | 110 | Rotate into defensive sectors |
C07818 | CR3847 | 2024-02-10 | Stress | 236 | 558 | 7.6 | 0.1 | 2,639,295,338 | Energy:53.9;Utilities:24.9;Materials:21.2 | US:60.1;EU:18.1;APAC:16.1;EMEA:3.3;LATAM:2.4 | B:26.9;AA:21.6;A:17.1;BB:24.0;BBB:10.4 | 3.52 | 58.2 | 358 | 538 | 23.3 | 4 | 25 | 55 | 20 | true | true | true | true | 2.3 | 1.22 | 0.59 | Financials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -6 | 45 | ECN1 | DealerAxed | 1 | 86 | -4 | 124 | HYCap>limit | Rotate | High-yield share above policy cap | 106 | Tighten HY exposure bands |
C07819 | CR6818 | 2025-10-30 | Calm | 74 | 385 | 3.4 | 1.8 | 1,628,716,314 | Tech:17.4;Energy:36.0;RealEstate:33.0;Healthcare:13.5 | US:52.0;EU:18.9;APAC:13.9;EMEA:9.6;LATAM:5.6 | BBB:25.2;AAA:27.9;B:13.6;A:25.1;CCC:8.3 | 2.19 | 25.4 | 222 | 338 | 8.1 | 3.5 | 20 | 55 | 20 | true | false | true | true | 0 | 1.68 | 0.28 | Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -60 | 21 | DealerA | DealerAxed | 6 | 87 | -108 | -370 | Region>limit | Reduce | Regional concentration above limit | 98 | Escalate watchlist names |
C07820 | CR9562 | 2025-02-24 | Tightening | 96 | 476 | 4.4 | 1.7 | 2,375,831,057 | Healthcare:21.0;Industrials:11.7;Energy:19.9;Materials:13.8;Consumer:17.8;Financials:15.8 | US:58.4;EU:15.9;APAC:14.8;EMEA:8.6;LATAM:2.4 | AA:34.5;B:8.2;AAA:44.7;BB:12.5 | 6.13 | 57 | 246 | 325 | 7.3 | 4 | 35 | 45 | 35 | false | true | false | true | 0.54 | -0.05 | -0.26 | null | Hedge | CDX_HY: +183bps notional | 20 | 2 | ECN2 | RFQ | 9 | 95 | 293 | -178 | HYCap>limit | Hedge | High-yield share above policy cap | 210 | Tighten HY exposure bands |
C07821 | CR1792 | 2024-11-27 | Recovery | 124 | 588 | 5.9 | 1.1 | 1,439,733,982 | Financials:11.2;Comm:10.2;RealEstate:24.4;Energy:13.0;Utilities:31.8;Healthcare:9.3 | US:73.2;EU:6.7;APAC:8.3;EMEA:11.3;LATAM:0.5 | CCC:36.7;BBB:30.1;AA:18.1;A:15.2 | 6.46 | 42.7 | 140 | 339 | 17.6 | 3.5 | 30 | 35 | 20 | true | true | true | false | 1.72 | 0.97 | -0.36 | null | Hedge | iTraxx_XOVER: +55bps notional | -6 | -17 | ECN1 | All2All | 5 | 86 | 366 | -335 | Sector>limit | Reduce | Sector concentration above limit | 166 | Rotate into defensive sectors |
C07822 | CR9640 | 2024-09-11 | Calm | 67 | 413 | 3.8 | 2.6 | 2,075,828,275 | Materials:18.9;Healthcare:9.9;Financials:30.0;Consumer:31.8;RealEstate:9.5 | US:67.8;EU:8.4;APAC:8.1;EMEA:7.9;LATAM:7.8 | AA:28.4;BBB:21.8;AAA:15.1;A:34.7 | 3.61 | 35.2 | 221 | 354 | 9.6 | 3.5 | 35 | 35 | 25 | false | true | false | true | 0.44 | 0.31 | 0.45 | Industrials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -17 | -3 | DealerC | RFQ | 3 | 86 | -72 | -314 | Region>limit | PauseAdds | Regional concentration above limit | 111 | Rotate into defensive sectors |
C07823 | CR0003 | 2025-10-01 | Recovery | 174 | 458 | 5.3 | 1.3 | 692,683,692 | Materials:14.0;Healthcare:19.1;Utilities:36.0;Energy:17.8;RealEstate:13.2 | US:74.4;EU:6.5;APAC:9.5;EMEA:4.2;LATAM:5.4 | B:12.4;A:27.9;BB:4.2;BBB:43.2;AA:12.3 | 6.44 | 22.8 | 153 | 131 | 9 | 2.5 | 35 | 55 | 25 | true | true | false | false | 1.29 | 0.81 | 0.3 | null | Hedge | SingleName_CDS: +128bps notional | -38 | 15 | ECN2 | RFQ | 4 | 95 | 1 | -463 | HYCap>limit | Hedge | High-yield share above policy cap | 210 | Tighten HY exposure bands |
C07824 | CR0119 | 2024-09-06 | Calm | 117 | 417 | 4.3 | 2.1 | 156,493,397 | Utilities:13.1;Energy:25.7;Consumer:7.8;RealEstate:23.4;Healthcare:30.1 | US:66.7;EU:13.3;APAC:8.7;EMEA:8.3;LATAM:2.9 | B:34.7;BB:20.1;CCC:15.4;BBB:10.8;AA:19.0 | 1.21 | 30.6 | 186 | 138 | 16.2 | 2.5 | 30 | 55 | 20 | true | true | true | false | 2.25 | 1.35 | 0.4 | Tech:EW;Consumer:EW | Hedge | iTraxx_XOVER: +178bps notional | -10 | -5 | ECN1 | All2All | 1 | 92 | -160 | -67 | HYCap>limit | Hedge | High-yield share above policy cap | 229 | Defer adds pending macro print |
C07825 | CR6038 | 2025-12-21 | Calm | 104 | 295 | 4 | 2.7 | 2,974,187,048 | Energy:22.4;Industrials:55.5;Consumer:22.1 | US:63.6;EU:14.8;APAC:11.0;EMEA:8.4;LATAM:2.3 | BB:15.9;AA:29.9;B:13.8;AAA:40.4 | 6.39 | 26.2 | 192 | 152 | 16.4 | 3 | 20 | 35 | 35 | true | true | false | false | -0.34 | 1.79 | -0.1 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -39 | 29 | ECN1 | DealerAxed | 4 | 95 | -93 | 19 | HYCap>limit | Rotate | High-yield share above policy cap | 253 | Tighten HY exposure bands |
C07826 | CR4443 | 2025-04-10 | Stress | 189 | 560 | 5.6 | -0 | 2,631,710,794 | Tech:11.1;Energy:9.7;Consumer:16.3;Comm:26.3;Materials:17.5;Industrials:19.0 | US:67.5;EU:12.9;APAC:8.5;EMEA:10.5;LATAM:0.5 | AA:19.5;B:17.3;CCC:17.7;A:16.7;BB:15.8;BBB:13.1 | 5.76 | 20.9 | 357 | 382 | 18.8 | 2 | 35 | 35 | 35 | false | true | true | true | -0.4 | 0.48 | 0.44 | RealEstate:EW;Industrials:EW | Hedge | SingleName_CDS: +149bps notional | -46 | -19 | DealerA | RFQ | 10 | 86 | 296 | -359 | HYCap>limit | Hedge | High-yield share above policy cap | 244 | Reviewed by risk; hedges staggered |
C07827 | CR5638 | 2025-07-24 | Stress | 231 | 724 | 5.4 | -1.3 | 1,352,726,760 | Energy:15.2;Tech:12.6;Consumer:21.9;RealEstate:25.0;Utilities:16.4;Materials:8.9 | US:67.4;EU:14.3;APAC:10.8;EMEA:4.7;LATAM:2.9 | B:19.8;A:21.7;AAA:13.9;BB:10.1;BBB:18.1;AA:16.3 | 5.86 | 38.4 | 223 | 559 | 14.6 | 2 | 25 | 45 | 25 | false | true | true | true | 0.76 | 1.47 | -0.27 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 9 | -20 | ECN1 | Electronic | 0 | 85 | -31 | -214 | HYCap>limit | Reduce | High-yield share above policy cap | 203 | Reviewed by risk; hedges staggered |
C07828 | CR7799 | 2025-08-21 | Calm | 118 | 358 | 4.2 | 2.7 | 2,665,019,974 | Industrials:32.6;Tech:17.0;Utilities:30.4;Comm:20.1 | US:56.3;EU:16.6;APAC:12.4;EMEA:9.2;LATAM:5.6 | CCC:14.3;A:19.7;AAA:19.0;BBB:8.6;AA:8.0;B:30.4 | 5.99 | 36.5 | 151 | 494 | 9.7 | 3 | 35 | 45 | 20 | false | true | true | false | 1.79 | 0.94 | -0.01 | Tech:EW;Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -53 | 21 | DealerB | DealerAxed | 1 | 91 | -169 | -171 | HYCap>limit | Hedge | High-yield share above policy cap | 136 | Rotate into defensive sectors |
C07829 | CR4263 | 2025-07-20 | Tightening | 120 | 493 | 4.6 | 1.1 | 1,033,360,373 | Energy:53.3;Industrials:12.5;Tech:34.2 | US:69.5;EU:4.7;APAC:13.1;EMEA:9.1;LATAM:3.6 | CCC:32.2;AA:22.0;A:25.7;AAA:20.1 | 4.37 | 21.8 | 130 | 425 | 8.1 | 4 | 25 | 35 | 20 | true | true | true | false | -0.15 | 1.46 | 0.52 | RealEstate:EW;Financials:EW | Hedge | Treasury_Futures: +90bps notional | -44 | 35 | DealerA | RFQ | 9 | 95 | 160 | 165 | HYCap>limit | Rotate | High-yield share above policy cap | 123 | Escalate watchlist names |
C07830 | CR7080 | 2024-01-24 | Stress | 231 | 573 | 7.6 | -0.3 | 1,431,198,816 | Consumer:19.4;Materials:24.9;RealEstate:10.5;Utilities:24.1;Energy:11.1;Tech:10.0 | US:63.6;EU:8.8;APAC:12.1;EMEA:9.8;LATAM:5.8 | BBB:12.8;A:32.6;CCC:9.7;B:6.6;BB:8.3;AA:30.0 | 0.95 | 61.1 | 302 | 620 | 8.6 | 2.5 | 35 | 55 | 35 | false | true | false | true | 0.66 | 0.19 | -0.18 | Industrials:EW | Hedge | Options_Payer: +57bps notional | 6 | 15 | ECN2 | DealerAxed | 8 | 98 | 375 | 59 | HYCap>limit | Rotate | High-yield share above policy cap | 138 | Defer adds pending macro print |
C07831 | CR4816 | 2025-07-28 | Recovery | 100 | 612 | 5.1 | 1.6 | 2,160,451,325 | Consumer:19.3;Tech:37.8;Comm:43.0 | US:72.6;EU:7.1;APAC:9.5;EMEA:6.5;LATAM:4.3 | BBB:22.8;AA:11.2;B:31.3;AAA:34.6 | 5.22 | 61.6 | 109 | 489 | 11.5 | 3.5 | 30 | 45 | 35 | true | true | false | false | 0.18 | 1.39 | 0.49 | null | Hedge | SingleName_CDS: +56bps notional | 7 | -13 | DealerC | RFQ | 3 | 94 | -81 | -18 | Region>limit | Rotate | Regional concentration above limit | 185 | Escalate watchlist names |
C07832 | CR2292 | 2024-04-01 | Recovery | 125 | 642 | 4.6 | 1.8 | 666,282,627 | RealEstate:19.2;Consumer:27.7;Industrials:18.8;Energy:11.3;Utilities:13.0;Comm:10.0 | US:74.8;EU:9.1;APAC:8.8;EMEA:3.6;LATAM:3.7 | CCC:33.6;BBB:13.2;A:30.6;AAA:22.7 | 4.18 | 33.9 | 90 | 219 | 17.4 | 4 | 25 | 45 | 35 | true | true | false | false | 0.19 | -0.25 | 0.33 | Comm:EW;Energy:EW;Utilities:EW | Hedge | SingleName_CDS: +63bps notional | -7 | -1 | ECN1 | DealerAxed | 6 | 87 | 340 | -16 | Sector>limit | Hedge | Sector concentration above limit | 251 | Tighten HY exposure bands |
C07833 | CR5546 | 2025-05-15 | Calm | 95 | 329 | 3.3 | 1.5 | 1,048,608,298 | Energy:30.0;Materials:37.3;Comm:32.7 | US:71.6;EU:10.8;APAC:12.8;EMEA:4.4;LATAM:0.4 | CCC:8.1;BB:10.0;AA:45.8;B:7.1;AAA:29.0 | 2.28 | 48.7 | 214 | 283 | 15.9 | 3.5 | 25 | 55 | 25 | true | true | true | true | 1.57 | 0.39 | -0.06 | null | Hedge | iTraxx_XOVER: +89bps notional | -6 | 42 | ECN2 | DealerAxed | 2 | 86 | -126 | -225 | Sector>limit | Reduce | Sector concentration above limit | 247 | Tighten HY exposure bands |
C07834 | CR5866 | 2024-05-03 | Calm | 118 | 295 | 3.2 | 1.9 | 1,825,938,689 | Tech:12.9;Financials:7.7;RealEstate:16.9;Healthcare:21.0;Comm:22.2;Consumer:19.2 | US:59.1;EU:16.4;APAC:12.4;EMEA:8.4;LATAM:3.6 | A:29.7;B:24.8;BBB:22.3;CCC:23.2 | 7.49 | 22.8 | 209 | 442 | 7.5 | 3.5 | 30 | 35 | 25 | false | true | true | true | 1.34 | -0.02 | -0.13 | Comm:EW;Tech:EW | Hedge | CDX_IG: +91bps notional | -33 | 1 | ECN2 | RFQ | 4 | 96 | -33 | -428 | Region>limit | Reduce | Regional concentration above limit | 238 | Rotate into defensive sectors |
C07835 | CR5430 | 2024-10-29 | Calm | 120 | 337 | 3.6 | 3 | 459,620,918 | Energy:37.9;Financials:17.9;Comm:44.2 | US:58.6;EU:17.8;APAC:10.7;EMEA:5.6;LATAM:7.3 | A:27.4;AAA:26.3;BB:7.1;AA:16.1;BBB:23.2 | 1.77 | 28.7 | 137 | 192 | 16.7 | 2.5 | 30 | 35 | 25 | true | true | false | false | -0.13 | 1.15 | -0.09 | null | Hedge | CDX_HY: +136bps notional | 15 | 17 | DealerC | All2All | 7 | 91 | 106 | 14 | HYCap>limit | Hedge | High-yield share above policy cap | 239 | Escalate watchlist names |
C07836 | CR5702 | 2024-06-07 | Calm | 109 | 351 | 4.5 | 2 | 2,497,376,217 | Healthcare:11.8;RealEstate:29.5;Financials:6.4;Tech:19.0;Consumer:24.1;Materials:9.2 | US:62.9;EU:16.8;APAC:12.0;EMEA:7.4;LATAM:0.8 | A:39.7;AA:20.4;CCC:24.8;BBB:15.2 | 6.11 | 28.9 | 85 | 427 | 6.8 | 3 | 30 | 55 | 35 | false | true | false | false | 1.9 | 1.42 | 0.43 | Materials:EW;Financials:EW;Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -36 | 13 | ECN1 | Electronic | 8 | 92 | -167 | -424 | VAR>budget | Hedge | Portfolio VAR above budget | 205 | Reviewed by risk; hedges staggered |
C07837 | CR8188 | 2025-05-12 | Recovery | 159 | 598 | 5.7 | 1 | 269,995,570 | Energy:40.3;Materials:35.2;Industrials:24.6 | US:74.2;EU:8.6;APAC:7.2;EMEA:10.0;LATAM:0.0 | AAA:42.4;B:6.1;AA:21.6;BBB:29.8 | 2.5 | 40.8 | 150 | 282 | 3.6 | 2.5 | 35 | 35 | 20 | true | true | false | false | 0.19 | 0.66 | -0.01 | RealEstate:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -9 | -25 | ECN1 | Electronic | 5 | 95 | 93 | -154 | HYCap>limit | Hedge | High-yield share above policy cap | 160 | Tighten HY exposure bands |
C07838 | CR9200 | 2024-12-26 | Stress | 225 | 597 | 7.6 | -0.2 | 376,293,745 | Consumer:25.0;Healthcare:12.0;Financials:16.7;Materials:16.4;Utilities:16.4;RealEstate:13.5 | US:61.0;EU:16.7;APAC:8.5;EMEA:6.7;LATAM:7.1 | AA:18.0;B:4.9;AAA:27.3;A:21.5;BB:6.8;BBB:21.5 | 5.06 | 35.6 | 261 | 595 | 12.4 | 3.5 | 35 | 35 | 30 | false | true | false | true | 0.01 | 0.31 | -0.34 | RealEstate:EW;Comm:EW | Hedge | iTraxx_MAIN: +97bps notional | -21 | 11 | ECN1 | All2All | 0 | 94 | 224 | -280 | Region>limit | Hedge | Regional concentration above limit | 201 | Rotate into defensive sectors |
C07839 | CR4631 | 2025-06-18 | Calm | 65 | 412 | 4.4 | 2.3 | 2,878,147,595 | Energy:13.2;Comm:12.7;Consumer:21.5;Utilities:5.6;Tech:22.7;Industrials:24.3 | US:71.7;EU:10.0;APAC:11.1;EMEA:3.7;LATAM:3.5 | CCC:14.1;AA:21.1;BB:25.9;BBB:21.8;A:17.1 | 3.09 | 30.4 | 107 | 149 | 2 | 2.5 | 25 | 45 | 30 | false | true | true | false | 2.09 | 1.57 | 0.12 | Industrials:EW;Tech:EW | Hedge | SingleName_CDS: +129bps notional | 9 | -17 | DealerA | Electronic | 9 | 87 | 140 | -326 | Sector>limit | Reduce | Sector concentration above limit | 237 | Defer adds pending macro print |
C07840 | CR9243 | 2025-01-13 | Tightening | 91 | 425 | 4.7 | 0.9 | 703,599,945 | Financials:27.8;Tech:19.7;Comm:16.2;Utilities:36.3 | US:72.1;EU:6.8;APAC:8.4;EMEA:12.1;LATAM:0.5 | AAA:14.5;CCC:6.5;AA:32.2;BB:10.7;A:28.0;B:8.0 | 7.3 | 39 | 116 | 239 | 9 | 2.5 | 30 | 35 | 35 | true | true | false | false | 0.41 | 0.23 | 0.18 | Healthcare:EW;Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -10 | -4 | ECN1 | All2All | 3 | 95 | 345 | -217 | HYCap>limit | Hedge | High-yield share above policy cap | 170 | Defer adds pending macro print |
C07841 | CR0824 | 2024-12-10 | Tightening | 143 | 382 | 4.4 | 1.9 | 1,678,009,355 | RealEstate:41.5;Materials:37.8;Energy:20.7 | US:66.2;EU:15.3;APAC:7.2;EMEA:5.2;LATAM:6.0 | BBB:18.9;CCC:19.2;BB:36.0;AA:15.3;AAA:10.5 | 4.16 | 54.3 | 273 | 131 | 10.2 | 4 | 25 | 35 | 25 | true | true | true | true | 1.53 | 1.79 | 0.43 | Tech:EW | Hedge | iTraxx_XOVER: +72bps notional | -1 | 37 | ECN2 | Electronic | 8 | 93 | 41 | 189 | Sector>limit | Hedge | Sector concentration above limit | 208 | Tighten HY exposure bands |
C07842 | CR7816 | 2024-08-11 | Stress | 155 | 713 | 6.9 | -1.2 | 2,725,804,454 | Industrials:23.0;Materials:40.7;RealEstate:17.0;Financials:19.4 | US:61.3;EU:16.4;APAC:11.8;EMEA:9.1;LATAM:1.5 | AA:21.1;AAA:32.5;B:16.1;BB:24.8;CCC:5.5 | 2.88 | 44.6 | 199 | 281 | 7.7 | 4 | 30 | 55 | 25 | true | true | true | false | 0.04 | 0.98 | -0.06 | null | Hedge | SingleName_CDS: +191bps notional | -32 | 2 | DealerC | DealerAxed | 9 | 100 | 140 | -46 | Region>limit | Rotate | Regional concentration above limit | 159 | Reviewed by risk; hedges staggered |
C07843 | CR4419 | 2024-05-12 | Calm | 96 | 391 | 4.1 | 3 | 252,656,889 | Energy:46.8;Financials:20.8;RealEstate:32.4 | US:66.3;EU:9.7;APAC:14.7;EMEA:8.9;LATAM:0.4 | B:17.3;BBB:24.0;A:12.0;AA:12.2;CCC:16.6;AAA:17.9 | 1.2 | 62.4 | 152 | 232 | 15.5 | 3 | 20 | 55 | 20 | true | true | true | false | 2.41 | 1.52 | 0.09 | null | Hedge | CDX_HY: +105bps notional | -39 | 35 | ECN2 | Electronic | 4 | 98 | 361 | -312 | VAR>budget | Rotate | Portfolio VAR above budget | 173 | Rotate into defensive sectors |
C07844 | CR1746 | 2024-12-24 | Recovery | 151 | 453 | 5.6 | 1.4 | 2,804,798,732 | Utilities:26.9;Energy:10.7;Healthcare:32.6;Industrials:29.7 | US:57.7;EU:21.5;APAC:11.9;EMEA:8.3;LATAM:0.6 | BB:9.3;A:22.7;AAA:14.3;B:38.7;BBB:15.0 | 2.24 | 58.1 | 234 | 201 | 3.6 | 2.5 | 35 | 55 | 25 | false | true | true | true | -0.13 | -0.23 | 0.43 | Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -19 | 17 | ECN1 | DealerAxed | 5 | 92 | 282 | 68 | HYCap>limit | Reduce | High-yield share above policy cap | 136 | Escalate watchlist names |
C07845 | CR0156 | 2024-05-15 | Calm | 115 | 305 | 3.4 | 2 | 1,713,844,520 | Materials:18.7;Tech:10.8;Utilities:15.6;Consumer:21.7;Financials:17.1;Comm:16.1 | US:75.7;EU:7.3;APAC:5.9;EMEA:6.2;LATAM:4.9 | AAA:15.5;CCC:34.6;AA:11.9;BBB:20.4;BB:9.4;A:8.2 | 4.36 | 45.3 | 90 | 129 | 7.6 | 3 | 25 | 35 | 25 | false | true | true | false | -0.35 | -0.15 | 0.31 | Utilities:EW | Hedge | Treasury_Futures: +57bps notional | 11 | 12 | ECN2 | All2All | 6 | 100 | 307 | -258 | VAR>budget | Rotate | Portfolio VAR above budget | 231 | Reviewed by risk; hedges staggered |
C07846 | CR4580 | 2024-01-20 | Calm | 74 | 376 | 3.7 | 2.7 | 541,124,495 | Utilities:13.3;Materials:7.7;Healthcare:21.0;Industrials:20.6;RealEstate:18.6;Financials:18.8 | US:62.2;EU:14.8;APAC:11.7;EMEA:5.6;LATAM:5.8 | B:12.8;AAA:26.5;AA:17.4;A:9.6;BBB:20.6;BB:13.0 | 7.36 | 63.7 | 223 | 393 | 3.2 | 3.5 | 35 | 55 | 20 | false | true | true | true | 2.04 | 0.22 | 0.15 | Utilities:EW;Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -49 | 26 | ECN2 | Electronic | 1 | 88 | 97 | -177 | Sector>limit | Reduce | Sector concentration above limit | 140 | Reviewed by risk; hedges staggered |
C07847 | CR5628 | 2025-04-20 | Tightening | 142 | 362 | 3.8 | 1.5 | 1,456,243,462 | Tech:42.9;Comm:23.3;Consumer:33.8 | US:67.5;EU:8.2;APAC:14.4;EMEA:4.4;LATAM:5.5 | A:28.5;AA:38.8;BB:15.1;AAA:17.6 | 3.4 | 61 | 86 | 304 | 14.8 | 2.5 | 35 | 45 | 20 | true | true | false | false | 1.82 | 0.26 | -0.29 | null | Rotate | From Energy -1.0% to Utilities +1.0% | 2 | 35 | ECN1 | DealerAxed | 8 | 90 | 60 | 167 | Sector>limit | Rotate | Sector concentration above limit | 131 | Tighten HY exposure bands |
C07848 | CR9552 | 2024-10-16 | Recovery | 127 | 496 | 5.1 | 1.1 | 2,741,291,359 | Comm:40.8;Materials:14.7;Energy:44.4 | US:62.2;EU:16.4;APAC:15.1;EMEA:5.4;LATAM:1.0 | B:8.5;CCC:10.9;AA:13.0;AAA:24.2;A:25.6;BBB:17.7 | 5.75 | 56.2 | 181 | 175 | 11.2 | 3 | 30 | 45 | 35 | true | true | false | false | 0.31 | 1.65 | 0.23 | Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -56 | 41 | DealerC | Electronic | 7 | 99 | -8 | -399 | Region>limit | Hedge | Regional concentration above limit | 176 | Reviewed by risk; hedges staggered |
C07849 | CR6458 | 2024-07-20 | Tightening | 145 | 377 | 5 | 1.4 | 834,497,374 | Consumer:57.4;Energy:26.0;Tech:16.6 | US:62.3;EU:18.5;APAC:5.7;EMEA:11.7;LATAM:1.7 | B:54.4;BBB:14.3;CCC:15.6;AAA:15.7 | 5.63 | 33.7 | 277 | 203 | 12.5 | 2.5 | 35 | 45 | 30 | true | true | true | true | -0.11 | 0.82 | 0.41 | Tech:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -48 | 2 | DealerA | DealerAxed | 10 | 96 | 75 | -140 | VAR>budget | Reduce | Portfolio VAR above budget | 203 | Defer adds pending macro print |
C07850 | CR9488 | 2024-07-14 | Tightening | 147 | 472 | 4.2 | 1.5 | 1,830,781,916 | Utilities:44.2;Energy:16.5;Materials:39.3 | US:70.5;EU:7.7;APAC:10.5;EMEA:4.9;LATAM:6.4 | CCC:6.4;AA:31.4;BBB:33.7;B:28.5 | 4.91 | 51.9 | 261 | 490 | 14.6 | 2.5 | 20 | 45 | 30 | true | true | true | true | 1.58 | 1.56 | -0.34 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 8 | -8 | DealerA | Electronic | 4 | 93 | -140 | -450 | Region>limit | Reduce | Regional concentration above limit | 187 | Defer adds pending macro print |
C07851 | CR3263 | 2025-06-25 | Tightening | 156 | 486 | 4.7 | 1.8 | 290,855,753 | Energy:9.6;Tech:22.1;Consumer:8.6;Industrials:24.2;Comm:11.0;Healthcare:24.5 | US:62.6;EU:17.1;APAC:9.2;EMEA:5.8;LATAM:5.3 | CCC:9.8;BBB:11.0;BB:20.1;AA:17.0;A:9.4;B:32.8 | 2.2 | 49.9 | 230 | 372 | 6.3 | 3.5 | 25 | 35 | 35 | false | true | true | true | 0.36 | 1.54 | -0.02 | Energy:EW | Hedge | CDX_IG: +128bps notional | -11 | 25 | ECN2 | All2All | 5 | 92 | 143 | -376 | Region>limit | Reduce | Regional concentration above limit | 211 | Defer adds pending macro print |
C07852 | CR1202 | 2025-11-03 | Recovery | 116 | 623 | 5 | 0.4 | 1,272,020,572 | RealEstate:25.9;Utilities:28.1;Financials:7.4;Energy:12.1;Tech:26.6 | US:61.9;EU:15.9;APAC:10.8;EMEA:9.1;LATAM:2.3 | B:35.5;BBB:39.8;BB:14.9;CCC:9.8 | 6.55 | 36.3 | 104 | 460 | 17.9 | 2.5 | 30 | 45 | 25 | false | true | true | false | 0.22 | 0.71 | -0.11 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -38 | 6 | DealerC | DealerAxed | 4 | 97 | 377 | -279 | Sector>limit | Reduce | Sector concentration above limit | 94 | Escalate watchlist names |
C07853 | CR4616 | 2024-01-19 | Calm | 85 | 375 | 3.3 | 2.1 | 1,833,446,804 | Comm:12.8;Energy:27.5;Industrials:32.8;RealEstate:12.4;Healthcare:14.6 | US:61.9;EU:11.3;APAC:16.4;EMEA:10.3;LATAM:0.0 | AA:10.3;B:27.5;AAA:22.4;A:22.6;BBB:17.2 | 1.46 | 52.2 | 220 | 233 | 6.8 | 2.5 | 20 | 45 | 25 | true | true | true | true | 1.18 | 0.06 | 0.39 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -25 | 4 | ECN2 | RFQ | 11 | 89 | 283 | -141 | HYCap>limit | Rotate | High-yield share above policy cap | 97 | Defer adds pending macro print |
C07854 | CR3690 | 2025-11-19 | Tightening | 153 | 355 | 3.9 | 1 | 454,221,504 | Materials:32.5;RealEstate:12.2;Comm:24.2;Tech:17.0;Utilities:14.0 | US:73.2;EU:6.9;APAC:6.3;EMEA:10.7;LATAM:3.0 | BBB:25.4;AA:16.8;CCC:12.0;AAA:22.1;A:12.0;BB:11.7 | 4.5 | 51 | 146 | 390 | 2 | 2.5 | 20 | 55 | 20 | true | true | true | false | 1.19 | 0.45 | 0.46 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 19 | 23 | ECN2 | RFQ | 11 | 95 | 274 | -427 | Sector>limit | PauseAdds | Sector concentration above limit | 197 | Reviewed by risk; hedges staggered |
C07855 | CR5042 | 2025-05-28 | Tightening | 157 | 355 | 4.9 | 0.9 | 838,390,563 | Consumer:20.4;RealEstate:60.9;Comm:18.8 | US:65.3;EU:12.7;APAC:5.3;EMEA:9.7;LATAM:7.0 | B:3.9;AA:34.6;BB:10.5;CCC:10.6;A:30.1;BBB:10.2 | 3.79 | 25.3 | 264 | 246 | 11.7 | 4 | 25 | 55 | 30 | true | true | false | true | 1.49 | 0.64 | -0.01 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -50 | -4 | ECN2 | DealerAxed | 0 | 97 | 84 | -21 | Region>limit | Hedge | Regional concentration above limit | 181 | Rotate into defensive sectors |
C07856 | CR2651 | 2025-09-19 | Calm | 82 | 295 | 4.5 | 2.4 | 1,575,255,281 | Comm:14.1;Energy:16.8;Financials:23.4;Healthcare:18.9;Consumer:18.9;Tech:7.9 | US:66.9;EU:15.9;APAC:12.1;EMEA:4.8;LATAM:0.3 | BB:33.3;CCC:19.1;A:27.5;B:20.1 | 3.23 | 63.9 | 100 | 447 | 8.2 | 3.5 | 30 | 45 | 35 | false | true | true | false | 2.05 | 0.29 | 0.57 | Utilities:EW;Tech:EW | Hedge | iTraxx_MAIN: +96bps notional | -11 | -2 | ECN1 | DealerAxed | 0 | 100 | 149 | -477 | HYCap>limit | Hedge | High-yield share above policy cap | 106 | Tighten HY exposure bands |
C07857 | CR0292 | 2024-01-19 | Calm | 77 | 404 | 4.2 | 2.8 | 1,478,941,331 | Financials:34.3;Utilities:45.0;RealEstate:20.7 | US:62.8;EU:17.2;APAC:13.1;EMEA:2.9;LATAM:4.0 | BBB:23.2;BB:9.0;AA:40.5;CCC:27.4 | 1.33 | 58 | 110 | 183 | 6.2 | 2.5 | 20 | 35 | 30 | true | true | true | false | 1.05 | 0.86 | -0.12 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -31 | -9 | DealerC | DealerAxed | 2 | 87 | 278 | 64 | Sector>limit | Rotate | Sector concentration above limit | 154 | Defer adds pending macro print |
C07858 | CR9626 | 2025-05-24 | Tightening | 109 | 435 | 3.8 | 1.4 | 768,593,884 | Energy:20.9;Healthcare:41.6;Tech:37.5 | US:59.9;EU:8.9;APAC:11.5;EMEA:12.1;LATAM:7.4 | BBB:34.2;A:32.3;BB:8.6;B:10.0;CCC:14.9 | 7 | 40.4 | 122 | 447 | 12.5 | 3 | 25 | 45 | 20 | true | true | true | false | 1.32 | 0.44 | -0.15 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -55 | 20 | ECN1 | DealerAxed | 0 | 86 | -97 | 140 | VAR>budget | Reduce | Portfolio VAR above budget | 208 | Defer adds pending macro print |
C07859 | CR1655 | 2025-09-14 | Tightening | 151 | 391 | 4 | 0.8 | 1,295,025,368 | RealEstate:13.6;Tech:18.2;Comm:24.0;Materials:22.6;Healthcare:21.6 | US:64.3;EU:15.1;APAC:8.2;EMEA:9.1;LATAM:3.4 | BB:15.3;A:12.8;AAA:23.2;AA:15.1;BBB:20.7;B:12.8 | 1.61 | 61.6 | 153 | 502 | 3.4 | 2.5 | 30 | 35 | 30 | false | true | false | false | 0.25 | 0.82 | -0.35 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -37 | -15 | DealerA | RFQ | 2 | 95 | -25 | -155 | VAR>budget | Reduce | Portfolio VAR above budget | 233 | Rotate into defensive sectors |
C07860 | CR1048 | 2024-05-30 | Stress | 151 | 721 | 5.5 | -0.5 | 484,961,624 | Healthcare:16.5;Utilities:36.9;Tech:15.2;RealEstate:31.3 | US:61.0;EU:18.3;APAC:5.1;EMEA:8.4;LATAM:7.2 | BBB:40.0;AA:14.7;CCC:7.8;A:14.3;AAA:23.2 | 3.43 | 38.1 | 261 | 616 | 9.5 | 4 | 35 | 55 | 35 | true | true | false | true | 1.21 | 1.52 | 0.5 | Healthcare:EW;Industrials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -45 | -18 | ECN2 | DealerAxed | 12 | 88 | 134 | 9 | Sector>limit | Hedge | Sector concentration above limit | 229 | Escalate watchlist names |
C07861 | CR0861 | 2024-04-18 | Tightening | 126 | 357 | 4.8 | 1.5 | 2,507,326,669 | Tech:21.2;Consumer:30.3;Healthcare:20.3;Materials:28.2 | US:66.4;EU:14.2;APAC:10.1;EMEA:7.5;LATAM:1.9 | AAA:21.1;CCC:16.9;B:18.7;A:15.4;BBB:13.6;AA:14.3 | 5.68 | 63.6 | 155 | 264 | 14.3 | 3.5 | 20 | 45 | 30 | true | true | true | false | 0.82 | 0.16 | -0.17 | RealEstate:EW | Hedge | Options_Payer: +164bps notional | -32 | -14 | ECN1 | DealerAxed | 5 | 95 | 126 | -183 | Sector>limit | Hedge | Sector concentration above limit | 134 | Defer adds pending macro print |
C07862 | CR4703 | 2025-10-14 | Calm | 91 | 348 | 3.9 | 2 | 2,311,348,141 | Financials:25.6;Industrials:10.3;Tech:19.7;Healthcare:16.8;Consumer:27.6 | US:61.7;EU:17.0;APAC:7.6;EMEA:10.4;LATAM:3.2 | CCC:16.2;AA:15.1;A:8.8;AAA:17.4;BBB:23.3;B:19.2 | 5.92 | 34.2 | 155 | 217 | 12.5 | 3 | 25 | 45 | 20 | true | true | true | false | 1.38 | 0.23 | 0.21 | Healthcare:EW;Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 20 | 9 | DealerC | Electronic | 3 | 92 | 360 | -73 | HYCap>limit | Rotate | High-yield share above policy cap | 196 | Escalate watchlist names |
C07863 | CR9563 | 2025-02-04 | Calm | 89 | 296 | 4.2 | 2.5 | 2,907,534,719 | Consumer:38.6;Tech:26.4;Utilities:35.0 | US:72.7;EU:6.8;APAC:13.3;EMEA:7.1;LATAM:0.0 | BBB:16.6;CCC:10.0;AA:40.8;A:32.6 | 0.75 | 32.5 | 126 | 129 | 7.7 | 3 | 20 | 55 | 20 | true | true | false | false | 0.39 | 0.01 | -0.18 | Energy:EW | Hedge | Options_Payer: +76bps notional | 14 | -13 | DealerC | RFQ | 7 | 85 | 374 | -422 | HYCap>limit | Hedge | High-yield share above policy cap | 91 | Reviewed by risk; hedges staggered |
C07864 | CR2865 | 2025-05-01 | Calm | 66 | 380 | 3.8 | 2.1 | 489,569,025 | Utilities:20.3;Consumer:39.3;RealEstate:19.8;Energy:20.6 | US:74.4;EU:15.2;APAC:5.3;EMEA:4.2;LATAM:0.8 | BB:11.1;B:29.3;AA:26.6;A:33.0 | 6.55 | 59.3 | 119 | 373 | 11.1 | 2 | 25 | 45 | 20 | true | true | true | false | 0.78 | 1.04 | 0.54 | RealEstate:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -39 | -17 | ECN2 | Electronic | 5 | 88 | -69 | -43 | HYCap>limit | PauseAdds | High-yield share above policy cap | 221 | Rotate into defensive sectors |
C07865 | CR8421 | 2025-12-01 | Stress | 170 | 824 | 5.4 | -1.3 | 620,636,557 | Utilities:18.0;Energy:21.4;Financials:20.4;Consumer:13.4;Tech:26.8 | US:63.6;EU:12.1;APAC:13.3;EMEA:6.1;LATAM:4.9 | AA:29.8;CCC:41.6;BB:16.1;A:12.6 | 5.54 | 39.1 | 332 | 537 | 16.4 | 2 | 30 | 35 | 25 | false | true | true | true | 1.2 | 0.59 | 0.01 | Industrials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 8 | -16 | DealerC | All2All | 8 | 91 | -65 | -167 | HYCap>limit | Rotate | High-yield share above policy cap | 139 | Rotate into defensive sectors |
C07866 | CR9048 | 2024-09-21 | Recovery | 166 | 467 | 5.5 | 0.8 | 484,564,048 | Tech:28.3;Comm:12.7;Healthcare:34.0;Utilities:25.0 | US:64.8;EU:12.2;APAC:11.7;EMEA:7.1;LATAM:4.2 | CCC:17.9;BBB:19.9;BB:14.1;A:20.4;AAA:27.7 | 3.25 | 46.5 | 226 | 167 | 9.4 | 4 | 30 | 55 | 35 | true | true | false | true | -0.24 | 1.57 | -0.3 | null | Hedge | SingleName_CDS: +73bps notional | -21 | -19 | DealerC | DealerAxed | 6 | 90 | 32 | -172 | HYCap>limit | Hedge | High-yield share above policy cap | 223 | Escalate watchlist names |
C07867 | CR6508 | 2025-08-29 | Calm | 106 | 401 | 4.4 | 2.2 | 1,641,046,617 | Industrials:13.9;Tech:36.8;Utilities:49.3 | US:62.1;EU:11.4;APAC:10.1;EMEA:7.7;LATAM:8.6 | A:60.1;B:10.2;BB:16.9;CCC:12.8 | 7.11 | 54.8 | 114 | 478 | 13.8 | 4 | 30 | 45 | 30 | true | true | true | false | -0.13 | 0.98 | -0.11 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 14 | 44 | ECN2 | Electronic | 12 | 99 | 50 | -89 | HYCap>limit | Hedge | High-yield share above policy cap | 221 | Rotate into defensive sectors |
C07868 | CR0186 | 2024-10-06 | Tightening | 117 | 399 | 3.9 | 0.6 | 113,030,155 | Consumer:53.6;Tech:26.4;RealEstate:20.0 | US:68.3;EU:7.0;APAC:14.6;EMEA:7.4;LATAM:2.6 | AAA:17.0;B:12.6;A:18.1;BBB:26.3;AA:20.5;CCC:5.5 | 5.76 | 48.5 | 270 | 248 | 3.5 | 2 | 30 | 45 | 25 | true | true | false | true | 0.7 | 0.32 | 0.46 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 11 | 19 | DealerA | RFQ | 3 | 95 | 408 | 47 | VAR>budget | Reduce | Portfolio VAR above budget | 125 | Defer adds pending macro print |
C07869 | CR5950 | 2025-03-23 | Calm | 81 | 336 | 3.6 | 2.8 | 747,119,922 | Healthcare:22.6;Industrials:25.4;Energy:52.0 | US:59.2;EU:14.3;APAC:15.4;EMEA:9.0;LATAM:2.1 | B:19.5;AAA:13.6;BBB:17.3;BB:23.0;AA:26.6 | 6.03 | 24.6 | 177 | 359 | 13.4 | 2.5 | 25 | 45 | 30 | true | true | true | false | 2.26 | 0.12 | -0.04 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -55 | -6 | DealerA | Electronic | 3 | 93 | 208 | 88 | Sector>limit | Hedge | Sector concentration above limit | 133 | Reviewed by risk; hedges staggered |
C07870 | CR2426 | 2025-07-05 | Stress | 184 | 814 | 8.4 | 0.2 | 2,267,245,499 | Industrials:26.6;Utilities:30.2;Financials:7.4;Energy:35.8 | US:64.6;EU:14.5;APAC:11.9;EMEA:3.2;LATAM:5.9 | A:16.9;AA:16.8;BBB:22.4;AAA:13.9;B:30.0 | 1.49 | 20.2 | 388 | 571 | 6.1 | 2 | 20 | 35 | 20 | true | true | true | true | 1.03 | 0.31 | 0.1 | RealEstate:EW;Financials:EW;Energy:EW | Hedge | CDX_IG: +157bps notional | 7 | 18 | ECN1 | Electronic | 7 | 98 | -95 | -429 | Region>limit | Rotate | Regional concentration above limit | 104 | Escalate watchlist names |
C07871 | CR4852 | 2024-07-12 | Tightening | 115 | 404 | 4.3 | 1.7 | 1,373,391,595 | Utilities:11.7;Financials:21.8;Materials:33.3;RealEstate:33.2 | US:63.8;EU:19.7;APAC:7.1;EMEA:3.6;LATAM:5.8 | B:10.7;BBB:20.5;BB:15.4;AA:10.3;CCC:17.5;A:25.6 | 4.35 | 25.6 | 138 | 346 | 9.4 | 4 | 25 | 45 | 20 | true | true | true | false | 0.99 | -0.26 | -0.22 | Healthcare:EW;Utilities:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -28 | 7 | DealerC | RFQ | 10 | 91 | 17 | -133 | Region>limit | Reduce | Regional concentration above limit | 161 | Rotate into defensive sectors |
C07872 | CR3245 | 2024-06-23 | Calm | 79 | 330 | 4.3 | 1.7 | 2,304,902,033 | Consumer:25.8;Tech:22.0;Financials:23.5;Industrials:17.9;Healthcare:10.8 | US:62.0;EU:13.5;APAC:12.8;EMEA:6.8;LATAM:4.9 | B:22.9;CCC:20.8;A:17.9;BBB:26.7;BB:11.7 | 6.03 | 59.8 | 116 | 412 | 11.2 | 3.5 | 30 | 55 | 25 | false | true | true | false | 0.94 | 0.1 | 0.3 | null | Hedge | iTraxx_MAIN: +60bps notional | 18 | 2 | ECN1 | All2All | 3 | 100 | 177 | -5 | HYCap>limit | Reduce | High-yield share above policy cap | 149 | Defer adds pending macro print |
C07873 | CR9420 | 2024-06-04 | Calm | 87 | 406 | 4.3 | 1.5 | 1,726,534,583 | Utilities:19.3;Industrials:11.0;RealEstate:25.8;Financials:12.3;Healthcare:23.1;Tech:8.6 | US:69.1;EU:15.4;APAC:9.1;EMEA:5.9;LATAM:0.6 | A:26.9;BB:5.4;AA:35.7;B:8.6;CCC:23.5 | 5.53 | 21.6 | 235 | 453 | 9.5 | 4 | 35 | 35 | 25 | false | true | true | true | -0.04 | 1.79 | -0.22 | Industrials:EW | Hedge | Treasury_Futures: +193bps notional | -23 | 42 | DealerB | DealerAxed | 7 | 94 | 99 | -387 | HYCap>limit | Rotate | High-yield share above policy cap | 209 | Escalate watchlist names |
C07874 | CR9814 | 2024-06-30 | Tightening | 91 | 405 | 4.4 | 1.1 | 963,469,356 | Energy:28.3;Healthcare:34.6;Financials:13.2;Consumer:23.9 | US:71.3;EU:11.3;APAC:6.9;EMEA:7.1;LATAM:3.4 | BB:34.2;AA:7.8;BBB:22.6;B:11.4;AAA:24.0 | 1.78 | 44.3 | 161 | 236 | 4.2 | 4 | 30 | 35 | 20 | true | true | true | false | 0.5 | 0.52 | -0.21 | null | Hedge | iTraxx_MAIN: +109bps notional | 13 | -19 | DealerA | All2All | 3 | 100 | 203 | -38 | VAR>budget | Reduce | Portfolio VAR above budget | 211 | Tighten HY exposure bands |
C07875 | CR4878 | 2025-07-14 | Stress | 228 | 556 | 5.5 | -0.2 | 567,253,369 | Industrials:15.8;Utilities:23.8;Tech:12.0;Energy:24.6;Comm:23.8 | US:61.5;EU:17.5;APAC:10.8;EMEA:6.2;LATAM:3.9 | CCC:10.2;B:14.9;BBB:24.9;AA:22.7;AAA:27.3 | 7.26 | 51.7 | 284 | 629 | 13.5 | 2.5 | 30 | 55 | 25 | false | true | true | true | 1.27 | 1.51 | 0.05 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -57 | 37 | ECN1 | All2All | 0 | 88 | 375 | -353 | Sector>limit | Reduce | Sector concentration above limit | 186 | Tighten HY exposure bands |
C07876 | CR3523 | 2025-02-08 | Calm | 92 | 366 | 3.5 | 2.2 | 2,275,937,098 | Energy:15.7;Comm:42.1;Utilities:21.8;Industrials:11.3;Healthcare:9.2 | US:65.6;EU:17.4;APAC:9.2;EMEA:5.4;LATAM:2.4 | CCC:8.6;A:23.9;BBB:26.4;AAA:23.0;B:10.7;BB:7.4 | 5.8 | 47.4 | 123 | 220 | 5.9 | 2 | 30 | 45 | 35 | true | true | false | false | 0.25 | 1.22 | 0.33 | null | Hedge | Treasury_Futures: +136bps notional | 17 | -2 | ECN1 | DealerAxed | 2 | 86 | -155 | -11 | VAR>budget | Hedge | Portfolio VAR above budget | 180 | Rotate into defensive sectors |
C07877 | CR2538 | 2025-01-11 | Stress | 214 | 614 | 7.7 | 0.7 | 2,240,519,086 | RealEstate:8.3;Healthcare:17.8;Materials:20.7;Comm:16.4;Utilities:23.9;Tech:12.9 | US:63.9;EU:8.8;APAC:13.3;EMEA:7.2;LATAM:6.8 | CCC:18.6;BBB:12.2;BB:14.9;AA:7.2;AAA:10.0;B:37.0 | 2.43 | 62.2 | 166 | 603 | 10 | 2.5 | 35 | 35 | 35 | false | true | true | false | 1.78 | 1.02 | -0.39 | Utilities:EW | Hedge | iTraxx_MAIN: +118bps notional | -35 | 23 | ECN2 | Electronic | 4 | 98 | -161 | -289 | VAR>budget | Hedge | Portfolio VAR above budget | 131 | Defer adds pending macro print |
C07878 | CR7392 | 2025-05-22 | Recovery | 121 | 574 | 5.8 | 1.2 | 2,173,528,637 | Financials:26.2;Utilities:21.0;Consumer:20.5;RealEstate:16.9;Materials:15.4 | US:61.4;EU:18.5;APAC:9.4;EMEA:4.7;LATAM:5.9 | B:11.2;BB:9.3;AAA:26.7;A:12.5;BBB:40.3 | 6.16 | 51 | 246 | 219 | 16.4 | 3 | 20 | 35 | 20 | true | true | true | true | 1.05 | 0.33 | -0.35 | Consumer:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -32 | 12 | DealerC | DealerAxed | 11 | 99 | -26 | -36 | HYCap>limit | Rotate | High-yield share above policy cap | 110 | Tighten HY exposure bands |
C07879 | CR1073 | 2024-09-22 | Tightening | 135 | 475 | 4.9 | 1.3 | 564,885,770 | Industrials:13.8;Utilities:34.7;RealEstate:21.8;Healthcare:11.3;Financials:18.4 | US:76.4;EU:8.9;APAC:9.5;EMEA:4.6;LATAM:0.5 | B:32.8;BBB:29.9;BB:23.7;A:13.6 | 0.96 | 29.8 | 171 | 283 | 14.1 | 4 | 30 | 35 | 25 | true | true | true | false | 0.89 | 1.39 | 0.3 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -10 | 12 | DealerB | RFQ | 8 | 96 | 84 | -164 | Sector>limit | Reduce | Sector concentration above limit | 213 | Rotate into defensive sectors |
C07880 | CR2079 | 2025-05-16 | Calm | 76 | 402 | 4 | 1.9 | 2,194,651,954 | Consumer:47.6;Tech:36.7;Comm:15.7 | US:57.7;EU:9.6;APAC:15.2;EMEA:11.3;LATAM:6.2 | AAA:34.4;BBB:31.4;BB:9.2;AA:25.0 | 2.7 | 37.6 | 149 | 190 | 6.9 | 3.5 | 25 | 35 | 25 | true | true | false | false | 2.19 | 0.93 | 0.51 | Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -32 | 7 | DealerC | DealerAxed | 6 | 97 | -122 | 23 | Sector>limit | Reduce | Sector concentration above limit | 155 | Defer adds pending macro print |
C07881 | CR7246 | 2025-11-04 | Calm | 94 | 400 | 3.4 | 1.9 | 2,065,118,097 | Consumer:10.4;Utilities:13.4;Financials:13.2;Materials:24.2;Tech:22.5;Energy:16.4 | US:78.3;EU:10.3;APAC:6.5;EMEA:3.6;LATAM:1.3 | AAA:7.1;CCC:36.3;AA:11.0;A:16.7;B:28.7 | 2.54 | 26.5 | 233 | 420 | 9.9 | 3.5 | 30 | 35 | 35 | false | true | true | true | 1.62 | 1.58 | 0.45 | Tech:EW;Industrials:EW | Hedge | CDX_IG: +53bps notional | -5 | 23 | DealerB | RFQ | 0 | 96 | -90 | -47 | VAR>budget | Rotate | Portfolio VAR above budget | 136 | Defer adds pending macro print |
C07882 | CR0922 | 2024-03-18 | Stress | 144 | 797 | 6.3 | -2 | 1,547,146,581 | Healthcare:13.8;Materials:20.1;Utilities:13.3;Comm:8.9;RealEstate:24.2;Industrials:19.7 | US:63.6;EU:9.2;APAC:10.3;EMEA:14.2;LATAM:2.7 | AAA:20.6;AA:17.4;B:16.8;BB:22.7;CCC:8.7;BBB:13.8 | 0.67 | 33.4 | 215 | 611 | 10.9 | 2.5 | 25 | 55 | 30 | false | true | true | true | 0.73 | 1.74 | -0.35 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -44 | -11 | DealerC | DealerAxed | 3 | 95 | -158 | 79 | HYCap>limit | Reduce | High-yield share above policy cap | 194 | Tighten HY exposure bands |
C07883 | CR1387 | 2024-05-17 | Calm | 108 | 322 | 3.2 | 1.7 | 1,604,786,380 | Healthcare:15.9;Consumer:14.9;Comm:49.3;Utilities:19.9 | US:64.6;EU:11.3;APAC:12.2;EMEA:10.0;LATAM:1.9 | B:7.2;BBB:29.5;AA:27.5;A:35.7 | 1.34 | 51 | 176 | 384 | 10.4 | 3 | 20 | 45 | 35 | true | true | false | false | 2.41 | 0.27 | -0.37 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -25 | 44 | ECN2 | All2All | 1 | 99 | 94 | -214 | VAR>budget | PauseAdds | Portfolio VAR above budget | 186 | Defer adds pending macro print |
C07884 | CR2433 | 2025-03-30 | Recovery | 151 | 620 | 5.9 | 1 | 1,704,680,843 | Financials:18.3;Materials:16.4;Tech:21.7;Comm:15.1;Consumer:9.1;Industrials:19.5 | US:56.8;EU:20.9;APAC:10.9;EMEA:8.9;LATAM:2.4 | BBB:29.5;BB:23.4;B:14.4;AAA:32.6 | 1.37 | 53.4 | 277 | 334 | 3.6 | 2.5 | 20 | 45 | 20 | true | true | true | true | 0.36 | 1.24 | 0.04 | null | Hedge | Treasury_Futures: +88bps notional | -37 | 29 | ECN2 | All2All | 7 | 96 | -78 | 114 | HYCap>limit | Reduce | High-yield share above policy cap | 243 | Escalate watchlist names |
C07885 | CR0363 | 2024-01-08 | Recovery | 147 | 622 | 6.4 | 2 | 319,002,428 | Materials:18.8;Utilities:16.1;Consumer:21.2;Financials:18.4;RealEstate:11.1;Healthcare:14.4 | US:58.0;EU:15.3;APAC:15.8;EMEA:9.0;LATAM:1.9 | BBB:40.3;B:34.7;AAA:15.9;BB:9.1 | 4.05 | 31.8 | 92 | 512 | 10.3 | 2.5 | 25 | 45 | 30 | false | true | true | false | -0.11 | 0.63 | -0.07 | Industrials:EW | Hedge | SingleName_CDS: +128bps notional | -19 | 9 | DealerB | Electronic | 1 | 97 | 347 | -388 | Region>limit | Hedge | Regional concentration above limit | 179 | Escalate watchlist names |
C07886 | CR0077 | 2025-07-22 | Calm | 112 | 397 | 4.4 | 2 | 1,958,180,854 | Utilities:19.8;Energy:20.7;Consumer:14.1;RealEstate:8.3;Materials:19.0;Tech:18.1 | US:66.3;EU:9.2;APAC:12.1;EMEA:8.8;LATAM:3.5 | A:20.9;AAA:54.6;CCC:8.9;B:15.6 | 0.82 | 24.4 | 248 | 280 | 17.2 | 3 | 35 | 45 | 30 | false | true | false | true | 1.9 | 1.19 | -0.3 | Tech:EW | Hedge | CDX_HY: +78bps notional | -26 | 1 | DealerB | Electronic | 7 | 85 | 307 | -225 | HYCap>limit | Hedge | High-yield share above policy cap | 185 | Reviewed by risk; hedges staggered |
C07887 | CR5422 | 2024-12-23 | Calm | 112 | 400 | 4 | 1.8 | 593,064,590 | Healthcare:14.4;RealEstate:29.6;Tech:11.0;Materials:7.2;Utilities:12.5;Industrials:25.3 | US:70.2;EU:11.5;APAC:12.9;EMEA:4.4;LATAM:1.1 | B:31.7;CCC:19.7;AA:13.2;BB:7.4;A:19.2;AAA:8.8 | 7.03 | 60.2 | 170 | 450 | 2.9 | 2.5 | 35 | 45 | 35 | false | true | true | false | 0.05 | 1.7 | -0.39 | Utilities:EW;Tech:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -52 | 21 | DealerB | Electronic | 4 | 92 | 181 | 80 | VAR>budget | Hedge | Portfolio VAR above budget | 100 | Tighten HY exposure bands |
C07888 | CR6049 | 2024-04-12 | Calm | 107 | 350 | 3.9 | 2 | 1,776,095,613 | Utilities:14.4;Materials:11.5;Consumer:13.4;Healthcare:22.2;Industrials:17.2;Tech:21.3 | US:57.5;EU:16.6;APAC:11.4;EMEA:6.3;LATAM:8.2 | B:35.6;AA:25.9;AAA:13.9;CCC:24.7 | 4.9 | 51.9 | 236 | 182 | 8.3 | 2.5 | 30 | 35 | 20 | false | true | true | true | 0.92 | 1.4 | 0.33 | Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -12 | 35 | DealerB | Electronic | 0 | 87 | 279 | -126 | Sector>limit | Reduce | Sector concentration above limit | 247 | Escalate watchlist names |
C07889 | CR6812 | 2024-06-10 | Tightening | 155 | 491 | 3.9 | 1.6 | 1,609,571,743 | Energy:24.3;Financials:8.3;Utilities:7.0;Healthcare:6.5;RealEstate:26.8;Consumer:27.1 | US:67.8;EU:9.2;APAC:10.8;EMEA:8.0;LATAM:4.2 | AA:29.7;B:1.6;CCC:9.4;AAA:30.4;BB:7.3;A:21.6 | 2.88 | 49.9 | 230 | 317 | 17.7 | 3 | 30 | 35 | 35 | false | true | false | true | 0.2 | -0.09 | 0.24 | Consumer:EW;Healthcare:EW | Hedge | CDX_IG: +108bps notional | -25 | 12 | ECN1 | RFQ | 12 | 87 | 199 | -291 | Sector>limit | Hedge | Sector concentration above limit | 168 | Escalate watchlist names |
C07890 | CR4261 | 2025-01-09 | Calm | 99 | 400 | 3.4 | 3 | 585,263,508 | Consumer:10.8;Industrials:12.7;Materials:8.1;Utilities:18.5;Comm:24.0;Healthcare:25.9 | US:62.6;EU:15.6;APAC:11.5;EMEA:6.7;LATAM:3.5 | AAA:14.8;BB:12.6;A:19.2;B:31.7;AA:21.7 | 6.32 | 46.2 | 191 | 142 | 12.4 | 3 | 30 | 35 | 25 | false | true | true | false | -0.21 | 0.02 | 0.31 | Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -27 | -18 | DealerB | All2All | 11 | 90 | 299 | 144 | VAR>budget | Rotate | Portfolio VAR above budget | 225 | Defer adds pending macro print |
C07891 | CR2714 | 2024-09-27 | Recovery | 120 | 444 | 6.1 | -0.5 | 868,383,013 | Energy:12.6;Utilities:25.7;Comm:29.8;Consumer:8.0;Tech:23.9 | US:66.6;EU:10.0;APAC:11.1;EMEA:6.2;LATAM:6.1 | BB:13.1;CCC:14.4;B:26.7;A:20.9;AA:12.4;AAA:12.5 | 4.51 | 55.2 | 100 | 467 | 5.6 | 3.5 | 20 | 35 | 35 | true | true | true | false | 0.84 | 1.69 | -0.17 | RealEstate:EW | Hedge | CDX_HY: +151bps notional | -25 | -24 | ECN2 | Electronic | 10 | 91 | 235 | -307 | HYCap>limit | Rotate | High-yield share above policy cap | 259 | Tighten HY exposure bands |
C07892 | CR6582 | 2025-11-22 | Calm | 100 | 382 | 4.3 | 2.8 | 525,683,530 | Industrials:14.1;Energy:15.8;Tech:18.6;RealEstate:10.4;Comm:17.9;Utilities:23.3 | US:66.7;EU:14.5;APAC:9.7;EMEA:8.8;LATAM:0.3 | BBB:16.7;A:23.5;AAA:6.9;BB:28.6;B:24.4 | 4.92 | 62.1 | 214 | 472 | 4.1 | 3 | 30 | 45 | 30 | false | true | true | true | 0.37 | 0.27 | 0.23 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -2 | -23 | ECN2 | DealerAxed | 7 | 85 | 102 | -9 | Region>limit | Hedge | Regional concentration above limit | 136 | Reviewed by risk; hedges staggered |
C07893 | CR7011 | 2024-10-21 | Stress | 174 | 601 | 8.1 | -1.7 | 2,648,443,905 | Financials:27.2;Utilities:19.8;Healthcare:14.8;Materials:16.4;Comm:21.8 | US:62.2;EU:13.2;APAC:10.5;EMEA:8.3;LATAM:5.9 | AA:27.9;BBB:20.5;A:42.5;CCC:9.1 | 4.69 | 29.6 | 180 | 307 | 16.8 | 2 | 25 | 45 | 35 | true | true | false | false | 1.17 | 0.11 | -0.06 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -24 | -7 | DealerC | DealerAxed | 5 | 95 | 154 | 92 | HYCap>limit | Hedge | High-yield share above policy cap | 143 | Defer adds pending macro print |
C07894 | CR3178 | 2024-10-09 | Tightening | 138 | 496 | 4.9 | 2 | 304,156,871 | Consumer:12.9;Tech:14.7;Comm:24.1;Materials:10.6;Energy:12.7;Healthcare:25.1 | US:73.8;EU:7.4;APAC:10.0;EMEA:3.6;LATAM:5.2 | BBB:8.6;CCC:44.8;A:16.5;AAA:13.7;B:16.5 | 0.76 | 28.9 | 113 | 127 | 11.2 | 4 | 30 | 35 | 20 | false | true | true | false | 1.15 | 0.06 | -0.39 | Financials:EW | Hedge | Options_Payer: +95bps notional | 7 | 20 | ECN2 | RFQ | 12 | 88 | 91 | -270 | Region>limit | Hedge | Regional concentration above limit | 214 | Tighten HY exposure bands |
C07895 | CR3078 | 2025-03-19 | Stress | 187 | 721 | 7.5 | 0.8 | 1,936,969,875 | Materials:22.3;Industrials:24.4;Financials:9.8;Utilities:26.6;Energy:16.8 | US:60.7;EU:15.3;APAC:11.3;EMEA:6.2;LATAM:6.5 | BBB:36.1;AA:13.2;A:25.4;BB:15.6;CCC:9.8 | 7.36 | 32.9 | 205 | 434 | 8.7 | 2.5 | 30 | 45 | 30 | false | true | false | true | 1.29 | 0 | -0.06 | RealEstate:EW;Materials:EW | Hedge | SingleName_CDS: +134bps notional | -30 | 38 | DealerB | RFQ | 6 | 96 | 99 | -31 | Sector>limit | Hedge | Sector concentration above limit | 144 | Defer adds pending macro print |
C07896 | CR6635 | 2025-09-14 | Recovery | 164 | 624 | 4.5 | 1.3 | 690,079,691 | Energy:11.5;Consumer:24.7;Tech:24.9;Utilities:8.4;Comm:10.0;Industrials:20.6 | US:65.6;EU:12.2;APAC:13.4;EMEA:7.7;LATAM:0.9 | CCC:9.8;A:28.6;B:18.8;AA:21.3;AAA:21.5 | 7.19 | 54.8 | 93 | 342 | 9.1 | 2 | 30 | 35 | 35 | false | true | false | false | 0.67 | 0.1 | 0.24 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -56 | -20 | DealerC | Electronic | 11 | 95 | 1 | 66 | Sector>limit | Hedge | Sector concentration above limit | 116 | Tighten HY exposure bands |
C07897 | CR7764 | 2024-07-14 | Calm | 83 | 400 | 3.3 | 1.8 | 1,018,827,526 | Consumer:21.1;Industrials:12.0;Energy:19.1;Materials:17.9;Healthcare:16.8;Tech:13.2 | US:63.3;EU:6.5;APAC:9.4;EMEA:13.2;LATAM:7.6 | BB:17.7;A:10.2;BBB:20.0;AA:17.7;AAA:17.6;CCC:16.9 | 3.48 | 43.8 | 227 | 472 | 5 | 3.5 | 30 | 55 | 35 | false | true | false | true | 1.98 | 1.04 | -0.29 | Comm:EW | Hedge | iTraxx_XOVER: +91bps notional | -41 | -11 | DealerB | RFQ | 2 | 91 | 360 | -257 | VAR>budget | Reduce | Portfolio VAR above budget | 224 | Rotate into defensive sectors |
C07898 | CR0925 | 2024-11-26 | Stress | 188 | 583 | 6.7 | 0.2 | 2,416,042,299 | Tech:16.8;Healthcare:28.0;RealEstate:24.6;Comm:11.7;Materials:7.3;Utilities:11.6 | US:61.4;EU:15.8;APAC:13.0;EMEA:3.2;LATAM:6.6 | B:16.8;A:17.5;AAA:16.3;AA:18.8;CCC:13.7;BBB:16.8 | 6.42 | 23.6 | 272 | 495 | 17.6 | 2.5 | 20 | 55 | 35 | true | true | false | true | -0.09 | 1.73 | 0.01 | Consumer:EW | Hedge | Options_Payer: +80bps notional | 9 | -19 | ECN2 | Electronic | 2 | 95 | -12 | 54 | VAR>budget | Reduce | Portfolio VAR above budget | 216 | Tighten HY exposure bands |
C07899 | CR9450 | 2025-03-27 | Recovery | 127 | 612 | 5.1 | 0.6 | 2,142,060,603 | Energy:19.6;Comm:18.4;Materials:7.3;Utilities:18.8;Industrials:16.3;RealEstate:19.7 | US:70.6;EU:12.1;APAC:7.4;EMEA:3.5;LATAM:6.3 | CCC:2.1;AAA:36.7;BB:8.4;A:12.9;AA:32.1;B:7.8 | 2.95 | 51.1 | 259 | 389 | 9.5 | 3 | 35 | 55 | 25 | false | true | false | true | 1.58 | -0.05 | 0.28 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -6 | 6 | DealerC | Electronic | 2 | 89 | 52 | -462 | Sector>limit | Hedge | Sector concentration above limit | 147 | Reviewed by risk; hedges staggered |
C07900 | CR0646 | 2025-07-28 | Stress | 232 | 705 | 7.8 | -1.1 | 1,738,591,259 | Utilities:19.9;Financials:18.4;Consumer:26.7;RealEstate:6.9;Energy:12.0;Comm:16.0 | US:73.4;EU:5.1;APAC:10.1;EMEA:5.5;LATAM:5.9 | AA:17.1;B:27.9;CCC:25.6;AAA:18.4;BBB:11.0 | 1.3 | 21.2 | 173 | 276 | 14.3 | 3 | 25 | 35 | 20 | true | true | true | false | -0.05 | -0.27 | 0.15 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -33 | -15 | ECN1 | All2All | 2 | 95 | 379 | -450 | Sector>limit | Rotate | Sector concentration above limit | 149 | Tighten HY exposure bands |
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