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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C07901 | CR5914 | 2025-07-12 | Tightening | 144 | 394 | 5 | 0.9 | 854,084,038 | Consumer:11.2;Energy:26.6;RealEstate:30.1;Tech:12.3;Materials:9.7;Financials:10.1 | US:72.0;EU:5.7;APAC:11.3;EMEA:6.6;LATAM:4.4 | A:33.3;BB:2.5;B:8.8;AA:11.1;AAA:35.5;CCC:8.7 | 1.88 | 25.8 | 248 | 244 | 14.3 | 2.5 | 20 | 35 | 20 | true | true | false | true | 0.6 | -0.06 | 0.29 | Industrials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -9 | 5 | ECN2 | Electronic | 4 | 99 | 1 | -257 | VAR>budget | Hedge | Portfolio VAR above budget | 183 | Tighten HY exposure bands |
C07902 | CR8191 | 2024-12-21 | Tightening | 108 | 517 | 5 | 1 | 2,382,343,125 | Tech:28.7;Utilities:8.7;Healthcare:20.9;Energy:16.6;Consumer:14.4;Industrials:10.8 | US:64.1;EU:12.9;APAC:9.9;EMEA:9.3;LATAM:3.8 | B:26.2;BBB:11.1;AAA:18.6;A:25.3;AA:18.9 | 3.6 | 50.6 | 108 | 342 | 8.1 | 3.5 | 20 | 45 | 30 | true | true | false | false | 2.12 | 0.45 | 0.14 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -42 | 27 | DealerC | RFQ | 3 | 92 | 253 | -246 | Sector>limit | Rotate | Sector concentration above limit | 165 | Reviewed by risk; hedges staggered |
C07903 | CR0817 | 2024-05-11 | Stress | 176 | 843 | 7.4 | 0.1 | 2,191,165,999 | Comm:30.7;Utilities:33.3;Tech:36.0 | US:72.2;EU:9.7;APAC:7.9;EMEA:3.6;LATAM:6.6 | BB:15.2;A:9.9;BBB:18.5;B:22.2;AA:11.0;AAA:23.2 | 7.41 | 43.8 | 312 | 402 | 12.1 | 3 | 30 | 35 | 30 | true | true | true | true | 0.01 | 0.08 | -0.18 | null | Hedge | iTraxx_XOVER: +160bps notional | -11 | 11 | ECN2 | RFQ | 7 | 97 | 69 | 73 | Region>limit | Reduce | Regional concentration above limit | 163 | Defer adds pending macro print |
C07904 | CR5756 | 2024-02-04 | Recovery | 179 | 462 | 4.7 | 0.1 | 1,212,860,693 | Comm:32.6;Tech:43.6;Energy:23.8 | US:66.6;EU:8.9;APAC:11.5;EMEA:6.8;LATAM:6.1 | A:17.7;CCC:24.7;B:21.0;AAA:6.1;BB:10.5;BBB:19.9 | 3.64 | 50.1 | 266 | 387 | 17.5 | 3 | 20 | 45 | 20 | true | true | true | true | 0.06 | 1.76 | 0.48 | Utilities:EW | Hedge | Treasury_Futures: +152bps notional | -57 | -13 | ECN1 | DealerAxed | 10 | 90 | 66 | -333 | HYCap>limit | Hedge | High-yield share above policy cap | 188 | Escalate watchlist names |
C07905 | CR9107 | 2025-02-23 | Calm | 96 | 376 | 3.8 | 2.8 | 2,341,847,303 | Comm:34.2;Financials:8.5;Energy:23.1;RealEstate:34.2 | US:69.8;EU:9.5;APAC:10.7;EMEA:9.2;LATAM:0.8 | CCC:14.3;B:14.0;AA:54.5;BB:17.1 | 2.12 | 58.2 | 118 | 136 | 7.2 | 2.5 | 35 | 45 | 20 | false | true | true | false | 0.55 | -0.23 | 0.49 | Energy:EW;RealEstate:EW | Hedge | CDX_IG: +88bps notional | -43 | 36 | DealerB | Electronic | 5 | 86 | -220 | -237 | Sector>limit | Reduce | Sector concentration above limit | 259 | Tighten HY exposure bands |
C07906 | CR8188 | 2024-02-19 | Recovery | 146 | 581 | 5.4 | 1.9 | 489,215,959 | Industrials:28.8;Comm:37.4;RealEstate:33.8 | US:59.2;EU:16.5;APAC:11.0;EMEA:8.4;LATAM:4.8 | A:34.7;AA:34.2;AAA:18.4;CCC:12.7 | 2.19 | 63.4 | 225 | 304 | 3.3 | 2.5 | 20 | 55 | 30 | true | true | false | true | 2.16 | 1.03 | 0.52 | Financials:EW | Hedge | CDX_HY: +86bps notional | 8 | 45 | ECN2 | RFQ | 1 | 90 | 385 | -347 | Sector>limit | Hedge | Sector concentration above limit | 218 | Defer adds pending macro print |
C07907 | CR0227 | 2024-12-24 | Calm | 99 | 311 | 3.9 | 2.8 | 1,553,069,581 | Energy:12.2;Comm:19.5;Materials:16.4;Consumer:20.2;Financials:11.1;Utilities:20.6 | US:66.7;EU:17.2;APAC:4.4;EMEA:9.0;LATAM:2.8 | BB:22.6;BBB:13.2;B:29.9;A:11.3;AA:22.9 | 3.66 | 41.1 | 165 | 422 | 7.3 | 2.5 | 20 | 35 | 25 | true | true | true | false | 0.81 | 1.11 | 0.3 | Tech:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -20 | -24 | ECN2 | DealerAxed | 9 | 98 | -207 | 36 | HYCap>limit | Hedge | High-yield share above policy cap | 232 | Reviewed by risk; hedges staggered |
C07908 | CR6293 | 2025-04-12 | Stress | 149 | 733 | 7.1 | 0 | 1,035,282,679 | Consumer:6.1;Industrials:13.3;RealEstate:19.5;Utilities:9.5;Healthcare:26.8;Comm:24.8 | US:65.6;EU:15.1;APAC:7.4;EMEA:7.1;LATAM:4.8 | CCC:22.5;AAA:15.0;BB:14.6;AA:16.6;BBB:8.8;B:22.4 | 4.5 | 28.1 | 263 | 291 | 13.3 | 3.5 | 25 | 45 | 25 | true | true | true | true | 0.96 | 0.15 | -0.19 | null | Hedge | Options_Payer: +78bps notional | 5 | -14 | ECN1 | All2All | 5 | 98 | -82 | 104 | Region>limit | Hedge | Regional concentration above limit | 254 | Rotate into defensive sectors |
C07909 | CR4978 | 2025-08-25 | Stress | 148 | 711 | 6.7 | -1.2 | 1,695,079,410 | Comm:26.8;Healthcare:29.6;Financials:16.7;Consumer:11.7;Tech:15.3 | US:63.2;EU:11.9;APAC:9.3;EMEA:11.7;LATAM:3.9 | A:23.2;BBB:19.5;AA:25.6;AAA:25.2;BB:6.4 | 4.77 | 61.2 | 365 | 632 | 17.8 | 3 | 25 | 35 | 30 | true | true | false | true | 1.22 | 1.33 | 0.25 | Consumer:EW | Hedge | Treasury_Futures: +71bps notional | -29 | 15 | ECN1 | All2All | 4 | 90 | 233 | -17 | VAR>budget | Hedge | Portfolio VAR above budget | 250 | Reviewed by risk; hedges staggered |
C07910 | CR0085 | 2024-02-04 | Stress | 225 | 735 | 7.5 | -0.3 | 1,058,149,751 | Consumer:28.2;Materials:8.9;Comm:23.9;Tech:18.3;RealEstate:20.7 | US:63.9;EU:7.1;APAC:13.8;EMEA:7.8;LATAM:7.4 | CCC:17.5;B:5.9;A:19.8;BB:13.1;BBB:29.7;AAA:14.0 | 1.81 | 36.4 | 230 | 618 | 13.2 | 3 | 25 | 55 | 20 | true | true | true | true | -0.18 | 1.77 | 0.03 | Healthcare:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -58 | 8 | DealerB | DealerAxed | 4 | 97 | 309 | -36 | VAR>budget | Hedge | Portfolio VAR above budget | 162 | Reviewed by risk; hedges staggered |
C07911 | CR4488 | 2025-07-25 | Stress | 177 | 718 | 6.8 | 0.6 | 1,963,627,970 | Consumer:55.3;Financials:26.4;Materials:18.3 | US:69.6;EU:6.8;APAC:11.0;EMEA:10.3;LATAM:2.4 | AA:15.9;B:21.2;CCC:6.2;BBB:24.2;A:32.4 | 5.38 | 28.4 | 290 | 616 | 17.5 | 2.5 | 30 | 55 | 20 | true | true | true | true | 2.25 | 1.64 | -0.29 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -1 | 35 | ECN1 | DealerAxed | 4 | 91 | 42 | 97 | Sector>limit | Reduce | Sector concentration above limit | 245 | Escalate watchlist names |
C07912 | CR9657 | 2024-07-15 | Calm | 93 | 358 | 3.6 | 2.2 | 1,598,421,751 | Financials:23.9;Consumer:39.6;Healthcare:36.5 | US:61.1;EU:15.3;APAC:9.7;EMEA:12.8;LATAM:1.3 | A:17.2;CCC:6.7;AAA:15.4;AA:21.7;BBB:13.1;BB:26.0 | 3.84 | 38.9 | 188 | 398 | 14.7 | 3.5 | 20 | 55 | 25 | true | true | true | false | 2.49 | 0.98 | 0.24 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -3 | 35 | DealerA | All2All | 0 | 99 | -84 | 60 | Sector>limit | Hedge | Sector concentration above limit | 208 | Tighten HY exposure bands |
C07913 | CR8524 | 2024-11-03 | Stress | 251 | 836 | 8.5 | 0.2 | 165,748,075 | Healthcare:12.2;Financials:40.6;Materials:36.8;Comm:10.3 | US:63.9;EU:7.0;APAC:13.9;EMEA:10.4;LATAM:4.9 | BBB:42.5;A:35.3;AA:13.8;B:8.4 | 3.47 | 23.2 | 314 | 328 | 19.8 | 4 | 30 | 55 | 30 | true | true | false | true | -0.12 | 1.62 | -0.36 | Industrials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -33 | 14 | DealerC | All2All | 7 | 86 | -56 | -67 | HYCap>limit | Hedge | High-yield share above policy cap | 231 | Rotate into defensive sectors |
C07914 | CR6352 | 2025-10-18 | Recovery | 149 | 566 | 5.4 | 0.7 | 578,380,369 | Tech:17.4;Energy:8.2;Comm:13.3;RealEstate:21.7;Materials:17.3;Healthcare:22.0 | US:73.5;EU:7.6;APAC:7.1;EMEA:10.8;LATAM:0.9 | AAA:28.2;A:31.4;BB:12.9;CCC:27.5 | 2.94 | 58.1 | 131 | 426 | 9.2 | 3.5 | 30 | 55 | 30 | false | true | true | false | 2.43 | -0.23 | -0.18 | Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 6 | 37 | DealerC | RFQ | 9 | 87 | -176 | -302 | HYCap>limit | Hedge | High-yield share above policy cap | 157 | Escalate watchlist names |
C07915 | CR9084 | 2025-04-26 | Stress | 174 | 760 | 6.6 | -0.7 | 1,775,309,661 | Healthcare:29.9;Comm:9.6;RealEstate:9.3;Tech:27.4;Materials:14.8;Energy:9.0 | US:65.1;EU:12.8;APAC:11.1;EMEA:7.7;LATAM:3.2 | BB:49.7;AAA:17.2;AA:22.0;A:11.0 | 3.85 | 34.1 | 226 | 656 | 10 | 3 | 25 | 45 | 30 | true | true | true | true | 0.5 | 0.74 | 0.3 | Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -46 | 10 | DealerC | DealerAxed | 2 | 90 | 212 | -346 | VAR>budget | Reduce | Portfolio VAR above budget | 173 | Defer adds pending macro print |
C07916 | CR0702 | 2024-02-25 | Stress | 248 | 573 | 5.4 | -1.2 | 1,404,684,536 | Utilities:49.9;Consumer:26.4;Healthcare:23.7 | US:70.8;EU:9.3;APAC:7.6;EMEA:7.0;LATAM:5.3 | BBB:17.4;B:24.9;BB:21.4;A:18.9;CCC:17.4 | 5.61 | 56.3 | 197 | 466 | 18.1 | 2.5 | 25 | 35 | 35 | true | true | true | false | 0.79 | 0.64 | -0.3 | Materials:EW;Financials:EW;Consumer:EW | Hedge | iTraxx_XOVER: +100bps notional | -46 | 28 | DealerA | Electronic | 8 | 95 | 88 | -110 | Region>limit | PauseAdds | Regional concentration above limit | 122 | Tighten HY exposure bands |
C07917 | CR0880 | 2025-11-09 | Tightening | 123 | 385 | 4.3 | 0.6 | 1,387,406,499 | Industrials:21.9;Utilities:15.4;Healthcare:12.9;Materials:22.0;Tech:10.2;Energy:17.5 | US:72.0;EU:5.7;APAC:10.2;EMEA:10.5;LATAM:1.6 | A:16.1;AA:18.5;BBB:28.0;B:25.3;CCC:12.0 | 1.77 | 27.9 | 114 | 415 | 5.4 | 4 | 35 | 55 | 25 | false | true | true | false | 1.01 | 0.11 | -0.05 | Energy:EW;Healthcare:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -8 | 13 | DealerA | DealerAxed | 11 | 96 | 195 | 77 | HYCap>limit | PauseAdds | High-yield share above policy cap | 246 | Rotate into defensive sectors |
C07918 | CR1108 | 2025-06-17 | Calm | 73 | 392 | 3.9 | 2.9 | 1,826,038,438 | Tech:27.8;RealEstate:46.3;Industrials:25.9 | US:64.5;EU:11.4;APAC:8.9;EMEA:9.9;LATAM:5.4 | A:25.0;BBB:31.2;BB:15.1;AAA:28.7 | 6.81 | 21 | 176 | 451 | 12.5 | 2 | 20 | 35 | 25 | true | true | false | false | 1.37 | 0.64 | -0.26 | Utilities:EW | Hedge | CDX_IG: +146bps notional | -55 | -9 | DealerB | Electronic | 4 | 92 | 136 | -360 | VAR>budget | Rotate | Portfolio VAR above budget | 145 | Escalate watchlist names |
C07919 | CR7476 | 2024-12-29 | Recovery | 133 | 611 | 5.5 | -0.4 | 104,994,117 | RealEstate:6.9;Utilities:13.3;Industrials:12.7;Consumer:23.7;Energy:24.0;Financials:19.3 | US:68.2;EU:6.3;APAC:10.9;EMEA:8.3;LATAM:6.3 | BB:37.5;CCC:25.4;AA:20.1;BBB:17.0 | 3.03 | 60.4 | 240 | 485 | 14.6 | 3 | 35 | 35 | 30 | false | true | true | true | -0.33 | 0.4 | 0.42 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 18 | -18 | ECN1 | RFQ | 5 | 85 | -157 | 153 | HYCap>limit | Hedge | High-yield share above policy cap | 161 | Rotate into defensive sectors |
C07920 | CR7192 | 2024-04-07 | Tightening | 154 | 442 | 5.2 | 1.9 | 656,761,231 | Tech:15.9;Comm:22.6;Financials:12.2;Healthcare:24.4;Energy:24.9 | US:72.1;EU:13.5;APAC:5.3;EMEA:8.3;LATAM:0.9 | CCC:8.2;B:24.8;BBB:13.2;A:19.7;BB:26.7;AA:7.4 | 5.26 | 28.8 | 88 | 407 | 15.1 | 3 | 25 | 55 | 35 | false | true | true | false | 2.26 | 0.19 | 0.24 | Industrials:EW | Hedge | iTraxx_XOVER: +167bps notional | 13 | -3 | ECN2 | RFQ | 3 | 100 | 332 | -255 | Region>limit | Reduce | Regional concentration above limit | 243 | Tighten HY exposure bands |
C07921 | CR1140 | 2024-09-18 | Calm | 65 | 302 | 3.9 | 2.1 | 2,940,700,540 | Comm:8.0;Financials:11.9;Consumer:24.0;Utilities:7.0;RealEstate:26.1;Industrials:22.9 | US:65.0;EU:14.6;APAC:8.8;EMEA:6.8;LATAM:4.8 | AAA:13.9;BBB:24.0;BB:18.0;CCC:44.1 | 7.18 | 32.8 | 222 | 334 | 4.4 | 3 | 25 | 55 | 35 | true | true | true | true | 0.14 | 1.66 | -0.12 | Industrials:EW | Hedge | iTraxx_MAIN: +68bps notional | 9 | 11 | DealerA | All2All | 5 | 85 | 101 | -366 | HYCap>limit | Hedge | High-yield share above policy cap | 240 | Reviewed by risk; hedges staggered |
C07922 | CR6529 | 2024-03-04 | Stress | 208 | 819 | 7 | -1 | 640,000,583 | Consumer:14.8;Financials:24.8;Healthcare:60.3 | US:63.6;EU:15.1;APAC:11.7;EMEA:8.1;LATAM:1.6 | BB:9.7;A:11.4;BBB:8.4;AAA:27.2;AA:11.5;CCC:31.7 | 4.8 | 48.4 | 197 | 366 | 19.5 | 2 | 35 | 45 | 30 | true | true | true | false | 0.96 | 1.66 | 0.51 | Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -15 | 45 | DealerC | DealerAxed | 9 | 89 | 40 | -211 | Sector>limit | Rotate | Sector concentration above limit | 137 | Reviewed by risk; hedges staggered |
C07923 | CR2955 | 2024-10-03 | Tightening | 157 | 387 | 4.6 | 0.8 | 606,481,041 | RealEstate:24.1;Healthcare:22.5;Industrials:26.1;Comm:27.3 | US:75.3;EU:7.5;APAC:11.5;EMEA:5.6;LATAM:0.1 | B:28.4;BBB:18.2;CCC:18.8;A:11.0;AAA:8.3;AA:15.3 | 6.6 | 47.7 | 179 | 400 | 12 | 2 | 30 | 55 | 30 | false | true | true | false | 2.23 | -0.05 | -0.23 | Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 10 | 14 | DealerA | DealerAxed | 5 | 98 | 367 | -230 | Region>limit | Reduce | Regional concentration above limit | 217 | Defer adds pending macro print |
C07924 | CR3550 | 2024-10-18 | Stress | 188 | 849 | 6.2 | -0.3 | 2,424,023,358 | Comm:11.8;Consumer:34.4;Utilities:9.2;Healthcare:30.7;RealEstate:13.9 | US:72.3;EU:8.0;APAC:7.4;EMEA:11.0;LATAM:1.2 | CCC:19.0;BBB:14.3;BB:28.9;B:24.8;AAA:13.1 | 5.24 | 64.6 | 319 | 388 | 11 | 2 | 25 | 45 | 30 | true | true | true | true | 1.62 | 0.52 | 0.4 | Utilities:EW | Hedge | CDX_IG: +186bps notional | 19 | -14 | ECN1 | Electronic | 7 | 87 | 195 | 54 | HYCap>limit | Rotate | High-yield share above policy cap | 228 | Reviewed by risk; hedges staggered |
C07925 | CR4251 | 2025-04-10 | Calm | 106 | 370 | 4.1 | 1.6 | 2,368,077,386 | RealEstate:16.5;Comm:12.9;Energy:25.5;Materials:19.5;Healthcare:19.8;Industrials:5.8 | US:72.2;EU:16.1;APAC:6.7;EMEA:3.8;LATAM:1.2 | A:13.6;B:9.2;AAA:22.8;CCC:6.4;BBB:38.7;BB:9.4 | 2.7 | 48.9 | 115 | 474 | 10.6 | 2.5 | 35 | 45 | 35 | false | true | false | false | 1.98 | 1.68 | 0.55 | Financials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -38 | 34 | DealerC | RFQ | 9 | 91 | 19 | 36 | Sector>limit | PauseAdds | Sector concentration above limit | 184 | Escalate watchlist names |
C07926 | CR5025 | 2025-12-03 | Tightening | 100 | 449 | 4.9 | 1.9 | 1,667,089,463 | Consumer:21.4;Energy:13.4;Utilities:8.2;RealEstate:17.9;Industrials:24.1;Tech:14.9 | US:69.9;EU:9.3;APAC:14.0;EMEA:4.8;LATAM:2.0 | B:26.8;AAA:15.5;AA:6.1;A:18.6;BBB:18.2;CCC:14.8 | 3.62 | 55.6 | 159 | 319 | 11.1 | 4 | 35 | 35 | 20 | false | true | true | false | 1.65 | 0.44 | -0.24 | Consumer:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -19 | 33 | ECN1 | RFQ | 12 | 96 | -48 | -263 | Region>limit | Hedge | Regional concentration above limit | 153 | Escalate watchlist names |
C07927 | CR2219 | 2024-04-09 | Calm | 80 | 298 | 4.4 | 2 | 2,600,062,010 | Financials:55.6;Utilities:30.2;Comm:14.2 | US:58.1;EU:19.0;APAC:14.2;EMEA:3.7;LATAM:5.0 | A:25.2;B:27.2;BB:24.0;CCC:23.7 | 1.04 | 49.6 | 276 | 443 | 14.6 | 2 | 35 | 55 | 25 | true | true | true | true | 0.59 | 1.28 | 0.59 | RealEstate:EW | Hedge | Options_Payer: +134bps notional | -28 | 10 | ECN2 | All2All | 11 | 92 | 360 | -262 | Region>limit | Hedge | Regional concentration above limit | 135 | Rotate into defensive sectors |
C07928 | CR7859 | 2025-01-02 | Tightening | 104 | 445 | 3.9 | 0.7 | 2,924,025,466 | Materials:20.1;Industrials:19.1;Energy:19.1;Healthcare:22.8;Comm:18.9 | US:63.7;EU:15.5;APAC:9.4;EMEA:9.0;LATAM:2.5 | CCC:18.2;AAA:32.8;BBB:10.3;AA:24.5;A:14.2 | 2 | 28.5 | 143 | 443 | 12.4 | 3.5 | 30 | 35 | 25 | false | true | false | false | 1.02 | -0.27 | 0.39 | RealEstate:EW;Utilities:EW | Hedge | CDX_HY: +60bps notional | -54 | 29 | DealerA | DealerAxed | 11 | 99 | 295 | -60 | Sector>limit | Rotate | Sector concentration above limit | 90 | Defer adds pending macro print |
C07929 | CR1152 | 2024-05-07 | Recovery | 130 | 599 | 5.9 | 0.1 | 1,640,386,589 | Energy:12.7;Comm:14.4;Utilities:15.6;Financials:22.2;Tech:35.1 | US:63.1;EU:12.3;APAC:12.5;EMEA:4.5;LATAM:7.5 | AAA:7.4;CCC:9.7;A:24.3;B:8.8;AA:25.1;BBB:24.7 | 1.56 | 20.5 | 189 | 199 | 9.7 | 3.5 | 35 | 55 | 20 | true | true | false | false | 2.08 | 1.72 | -0.03 | Comm:EW | Hedge | iTraxx_MAIN: +155bps notional | -31 | 34 | DealerC | RFQ | 2 | 96 | 182 | -289 | VAR>budget | PauseAdds | Portfolio VAR above budget | 107 | Rotate into defensive sectors |
C07930 | CR1702 | 2024-11-09 | Stress | 196 | 599 | 8 | -0.9 | 226,627,258 | Materials:13.9;Industrials:15.5;Financials:12.8;Consumer:16.3;RealEstate:17.8;Comm:23.7 | US:68.5;EU:7.1;APAC:12.1;EMEA:9.5;LATAM:2.8 | A:7.6;B:28.5;BB:28.6;AA:23.7;BBB:11.6 | 5.74 | 58.8 | 292 | 590 | 19.9 | 3 | 30 | 45 | 35 | false | true | true | true | 0.08 | 0.25 | 0.26 | Consumer:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -27 | -18 | ECN1 | All2All | 10 | 87 | -166 | -395 | HYCap>limit | Reduce | High-yield share above policy cap | 124 | Reviewed by risk; hedges staggered |
C07931 | CR3866 | 2024-06-29 | Recovery | 159 | 622 | 5.3 | -0.1 | 1,230,367,118 | RealEstate:29.8;Financials:27.0;Utilities:7.5;Materials:10.3;Comm:17.0;Consumer:8.4 | US:65.8;EU:15.0;APAC:7.4;EMEA:7.6;LATAM:4.3 | BB:23.1;BBB:9.1;CCC:14.1;AAA:19.4;B:14.5;AA:19.8 | 1.29 | 27.1 | 177 | 474 | 5.3 | 3 | 25 | 45 | 30 | true | true | true | false | 0.36 | 0.53 | 0.45 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -53 | 26 | DealerB | RFQ | 0 | 98 | 423 | -4 | Region>limit | Hedge | Regional concentration above limit | 149 | Rotate into defensive sectors |
C07932 | CR2763 | 2025-05-05 | Tightening | 104 | 496 | 4.8 | 1.8 | 1,740,878,472 | Industrials:16.0;Materials:9.9;Tech:11.0;Consumer:18.3;Utilities:44.8 | US:60.4;EU:22.4;APAC:5.9;EMEA:10.5;LATAM:0.8 | CCC:4.8;BBB:13.4;A:30.3;BB:10.4;AA:23.7;AAA:17.4 | 3.84 | 41.9 | 245 | 489 | 9.1 | 2.5 | 35 | 35 | 25 | true | true | false | true | 1.66 | 0.75 | 0.1 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -50 | -3 | DealerA | All2All | 11 | 100 | -125 | -24 | Sector>limit | Reduce | Sector concentration above limit | 105 | Tighten HY exposure bands |
C07933 | CR6164 | 2024-11-17 | Tightening | 135 | 477 | 4.9 | 1.5 | 800,390,468 | Industrials:28.0;Consumer:25.5;Comm:46.5 | US:62.4;EU:14.2;APAC:7.5;EMEA:8.3;LATAM:7.6 | CCC:27.9;B:19.0;BBB:18.3;BB:16.6;A:18.2 | 2.51 | 52.3 | 175 | 173 | 4.3 | 3.5 | 25 | 45 | 25 | true | true | true | false | 2.16 | 1.47 | -0.33 | Consumer:EW;Utilities:EW | Hedge | CDX_IG: +170bps notional | -58 | 1 | DealerC | DealerAxed | 0 | 98 | 356 | -300 | Region>limit | Hedge | Regional concentration above limit | 205 | Rotate into defensive sectors |
C07934 | CR2685 | 2024-08-19 | Calm | 91 | 363 | 3.8 | 2.8 | 595,837,164 | Consumer:25.7;Industrials:43.3;Comm:31.0 | US:65.2;EU:12.5;APAC:8.1;EMEA:12.1;LATAM:2.0 | A:33.1;BBB:18.1;B:20.3;AAA:28.5 | 3.81 | 20.9 | 237 | 441 | 8.4 | 3 | 30 | 55 | 30 | true | true | false | true | 0.12 | 1.57 | 0.56 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -4 | 0 | ECN2 | All2All | 6 | 92 | 255 | 28 | Sector>limit | Rotate | Sector concentration above limit | 176 | Rotate into defensive sectors |
C07935 | CR4823 | 2024-10-02 | Tightening | 124 | 369 | 4 | 0.7 | 2,386,309,731 | Consumer:21.7;Industrials:20.1;Comm:11.2;Materials:22.5;Healthcare:24.5 | US:62.1;EU:16.4;APAC:11.0;EMEA:7.5;LATAM:3.0 | B:5.9;BBB:41.3;AA:40.1;BB:12.7 | 7.22 | 26.9 | 106 | 280 | 10.9 | 4 | 30 | 45 | 20 | false | true | false | false | 0.9 | 0.89 | 0.46 | Comm:EW;Utilities:EW;Industrials:EW | Hedge | CDX_HY: +130bps notional | -18 | 16 | DealerC | RFQ | 2 | 88 | 105 | -356 | VAR>budget | Reduce | Portfolio VAR above budget | 216 | Rotate into defensive sectors |
C07936 | CR3830 | 2024-08-08 | Calm | 100 | 420 | 3.7 | 2.9 | 308,928,084 | RealEstate:25.3;Industrials:25.7;Comm:22.2;Consumer:26.7 | US:59.2;EU:19.7;APAC:13.1;EMEA:7.1;LATAM:0.9 | B:19.2;CCC:18.2;BBB:14.1;A:8.0;AA:11.2;BB:29.4 | 5.71 | 51.5 | 234 | 517 | 11.5 | 3.5 | 20 | 55 | 30 | true | true | true | true | 0.61 | 0.04 | -0.3 | Utilities:EW;Financials:EW | Hedge | Options_Payer: +138bps notional | 4 | 18 | DealerB | All2All | 2 | 96 | -18 | -16 | Sector>limit | Reduce | Sector concentration above limit | 160 | Rotate into defensive sectors |
C07937 | CR2472 | 2025-01-08 | Recovery | 170 | 624 | 5.6 | 0.1 | 2,195,187,173 | Consumer:24.8;Energy:6.3;RealEstate:18.5;Financials:15.0;Tech:13.4;Comm:22.1 | US:66.8;EU:14.1;APAC:5.9;EMEA:7.4;LATAM:5.9 | CCC:5.1;AA:28.4;A:24.7;BBB:41.8 | 2 | 20.4 | 124 | 246 | 4.2 | 3 | 25 | 35 | 25 | false | true | false | false | 1.87 | 0.75 | -0.17 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -26 | -15 | DealerC | DealerAxed | 10 | 99 | 94 | -182 | Region>limit | Rotate | Regional concentration above limit | 225 | Escalate watchlist names |
C07938 | CR4102 | 2025-07-02 | Recovery | 160 | 621 | 6.2 | 1.9 | 2,713,847,196 | Consumer:26.0;Comm:8.0;Industrials:24.9;Tech:16.5;RealEstate:24.6 | US:62.5;EU:15.4;APAC:13.7;EMEA:4.4;LATAM:4.0 | AA:38.0;AAA:12.0;A:40.3;B:9.7 | 6 | 42.8 | 220 | 491 | 13.3 | 2 | 35 | 45 | 20 | false | true | false | true | 0.3 | 1.51 | 0.52 | null | Hedge | CDX_IG: +109bps notional | 9 | 9 | ECN2 | Electronic | 8 | 88 | 7 | -227 | Sector>limit | Hedge | Sector concentration above limit | 164 | Escalate watchlist names |
C07939 | CR1620 | 2024-05-14 | Stress | 202 | 830 | 8.1 | -1.8 | 1,756,998,822 | RealEstate:18.5;Consumer:17.3;Healthcare:22.9;Tech:21.0;Industrials:20.3 | US:62.7;EU:15.9;APAC:12.0;EMEA:4.6;LATAM:4.9 | BBB:15.5;A:25.7;AAA:30.5;BB:28.3 | 3.12 | 28.4 | 239 | 360 | 19.5 | 3 | 25 | 35 | 30 | false | true | false | true | 0.07 | 0.4 | 0.53 | null | Hedge | iTraxx_XOVER: +116bps notional | 0 | -9 | DealerC | RFQ | 0 | 96 | -108 | -352 | Region>limit | Rotate | Regional concentration above limit | 144 | Escalate watchlist names |
C07940 | CR8708 | 2024-04-29 | Recovery | 131 | 427 | 5.4 | -0.3 | 1,260,535,269 | RealEstate:24.4;Utilities:14.9;Tech:37.9;Comm:22.7 | US:64.8;EU:13.5;APAC:15.2;EMEA:3.7;LATAM:2.9 | CCC:13.9;BBB:20.4;BB:16.5;B:5.6;AA:19.1;AAA:24.6 | 2.91 | 20.2 | 85 | 356 | 6.8 | 3 | 20 | 55 | 25 | true | true | true | false | 0.64 | 1.39 | 0.14 | Materials:EW;Consumer:EW | Hedge | Treasury_Futures: +167bps notional | -52 | 28 | DealerC | DealerAxed | 9 | 91 | 356 | -95 | HYCap>limit | Reduce | High-yield share above policy cap | 233 | Reviewed by risk; hedges staggered |
C07941 | CR6410 | 2024-05-05 | Stress | 251 | 735 | 7.4 | 0.5 | 2,932,307,181 | Tech:34.4;Industrials:17.4;Consumer:19.9;Utilities:28.3 | US:53.6;EU:19.0;APAC:15.8;EMEA:9.1;LATAM:2.6 | CCC:16.2;B:20.5;AA:23.9;BBB:15.2;A:11.4;AAA:12.8 | 2.82 | 27.6 | 344 | 385 | 15.5 | 2 | 30 | 45 | 25 | true | true | true | true | 0.34 | 1.02 | 0.46 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -18 | 34 | DealerB | DealerAxed | 12 | 95 | 352 | -22 | Sector>limit | Hedge | Sector concentration above limit | 139 | Rotate into defensive sectors |
C07942 | CR4719 | 2024-04-27 | Calm | 90 | 281 | 3.3 | 2.8 | 2,737,884,308 | Tech:11.1;Utilities:44.5;Industrials:44.4 | US:70.9;EU:11.6;APAC:5.5;EMEA:6.3;LATAM:5.7 | BB:8.8;BBB:55.0;B:12.4;CCC:23.8 | 3.01 | 58.1 | 267 | 364 | 4.3 | 4 | 30 | 45 | 35 | true | true | true | true | -0.44 | 1.11 | 0.31 | RealEstate:EW | Hedge | SingleName_CDS: +158bps notional | -9 | -5 | ECN1 | Electronic | 5 | 98 | 348 | -159 | VAR>budget | Reduce | Portfolio VAR above budget | 99 | Defer adds pending macro print |
C07943 | CR2948 | 2024-08-22 | Recovery | 163 | 466 | 6 | -0.3 | 2,844,799,525 | Comm:17.0;Energy:42.0;Utilities:21.8;Industrials:19.1 | US:60.2;EU:9.4;APAC:14.9;EMEA:13.5;LATAM:2.0 | CCC:20.4;BBB:20.5;AAA:20.7;BB:11.0;AA:15.3;A:12.1 | 3.58 | 29.5 | 198 | 368 | 9.2 | 3 | 30 | 35 | 30 | true | true | true | false | 1.73 | 0.4 | 0.29 | null | Hedge | Options_Payer: +186bps notional | -36 | 26 | DealerC | All2All | 10 | 96 | 197 | -420 | VAR>budget | Hedge | Portfolio VAR above budget | 150 | Defer adds pending macro print |
C07944 | CR8328 | 2024-10-03 | Tightening | 125 | 395 | 4.8 | 0.5 | 249,440,420 | Energy:42.0;Materials:15.4;Utilities:42.6 | US:66.9;EU:10.0;APAC:12.4;EMEA:6.2;LATAM:4.4 | CCC:12.4;BBB:23.1;AA:29.0;A:35.5 | 3.71 | 26.3 | 253 | 431 | 5.6 | 3 | 35 | 45 | 30 | true | true | false | true | 0.8 | 0.67 | 0.01 | Materials:EW | Hedge | iTraxx_XOVER: +143bps notional | -19 | 8 | ECN2 | DealerAxed | 2 | 85 | 179 | -200 | Sector>limit | Hedge | Sector concentration above limit | 208 | Reviewed by risk; hedges staggered |
C07945 | CR5070 | 2025-07-08 | Tightening | 92 | 352 | 4.1 | 0.9 | 1,844,329,030 | Financials:13.8;Comm:8.8;Healthcare:29.1;RealEstate:18.5;Materials:18.8;Utilities:11.0 | US:62.0;EU:18.5;APAC:7.7;EMEA:10.9;LATAM:0.8 | BB:8.5;B:19.4;BBB:32.0;AAA:40.2 | 5.52 | 23.5 | 219 | 149 | 11.1 | 4 | 30 | 45 | 35 | false | true | false | true | 1.33 | -0.22 | -0.11 | Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -11 | 4 | DealerA | Electronic | 5 | 86 | 266 | -111 | Sector>limit | Hedge | Sector concentration above limit | 115 | Tighten HY exposure bands |
C07946 | CR6757 | 2025-03-30 | Calm | 104 | 325 | 3.7 | 2.8 | 589,916,371 | Utilities:36.3;Consumer:29.2;Industrials:19.3;Financials:15.2 | US:60.0;EU:17.5;APAC:13.3;EMEA:4.8;LATAM:4.4 | BBB:24.8;CCC:17.6;BB:19.5;B:38.2 | 5.46 | 22.6 | 83 | 308 | 14.3 | 3 | 30 | 45 | 25 | true | true | true | false | -0.5 | 1.4 | 0.22 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -20 | -3 | DealerA | RFQ | 8 | 95 | 413 | 61 | VAR>budget | Reduce | Portfolio VAR above budget | 234 | Rotate into defensive sectors |
C07947 | CR4795 | 2024-09-22 | Stress | 224 | 677 | 6.7 | -1.5 | 2,329,127,813 | Utilities:18.6;Consumer:7.9;Financials:13.0;Comm:14.9;Energy:19.0;Materials:26.7 | US:74.0;EU:6.1;APAC:5.3;EMEA:9.1;LATAM:5.5 | B:4.7;BBB:28.9;BB:5.0;A:31.8;AA:29.7 | 7.2 | 59.7 | 222 | 554 | 12.2 | 3 | 25 | 45 | 35 | true | true | false | true | -0.42 | 0.6 | 0.59 | Healthcare:EW;RealEstate:EW | Hedge | Options_Payer: +161bps notional | 4 | 7 | DealerB | DealerAxed | 2 | 87 | 3 | -266 | HYCap>limit | Rotate | High-yield share above policy cap | 216 | Reviewed by risk; hedges staggered |
C07948 | CR4736 | 2024-03-13 | Calm | 116 | 370 | 4.4 | 2.1 | 486,428,234 | Materials:25.1;Energy:25.0;Tech:12.7;Consumer:10.6;Comm:21.1;Industrials:5.5 | US:65.2;EU:17.8;APAC:6.1;EMEA:10.4;LATAM:0.6 | BB:16.6;BBB:20.0;AA:22.7;CCC:25.5;A:15.2 | 6.82 | 40.3 | 266 | 429 | 11.4 | 2.5 | 35 | 55 | 25 | false | true | true | true | -0.38 | 0.13 | 0.06 | null | Hedge | SingleName_CDS: +197bps notional | -22 | 26 | ECN2 | DealerAxed | 1 | 93 | 181 | 139 | HYCap>limit | PauseAdds | High-yield share above policy cap | 172 | Defer adds pending macro print |
C07949 | CR2772 | 2025-10-07 | Calm | 84 | 361 | 3.3 | 2.3 | 1,517,494,099 | Consumer:46.8;RealEstate:37.5;Energy:15.7 | US:68.7;EU:13.9;APAC:10.6;EMEA:3.7;LATAM:3.0 | A:26.2;BB:4.4;AAA:25.7;BBB:19.1;AA:17.7;CCC:6.9 | 2.86 | 46.6 | 113 | 355 | 11.1 | 2.5 | 25 | 35 | 35 | true | true | false | false | -0.16 | -0.23 | 0.56 | Tech:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 14 | 31 | ECN1 | RFQ | 8 | 93 | -83 | 7 | HYCap>limit | Hedge | High-yield share above policy cap | 146 | Rotate into defensive sectors |
C07950 | CR2174 | 2024-06-24 | Stress | 153 | 563 | 7.1 | 0.7 | 1,908,108,485 | Utilities:14.4;Tech:28.4;Comm:31.4;Financials:25.9 | US:67.7;EU:6.0;APAC:14.8;EMEA:11.3;LATAM:0.2 | AA:20.4;B:19.2;BBB:18.6;AAA:20.6;BB:10.8;A:10.4 | 5.01 | 45.6 | 215 | 450 | 13.5 | 2 | 25 | 45 | 25 | true | true | true | true | 2.09 | -0.09 | 0.44 | null | Hedge | iTraxx_MAIN: +122bps notional | -37 | 25 | DealerB | DealerAxed | 9 | 86 | -124 | 100 | Sector>limit | Hedge | Sector concentration above limit | 181 | Reviewed by risk; hedges staggered |
C07951 | CR7552 | 2025-11-21 | Calm | 89 | 356 | 3.7 | 2 | 720,271,323 | Materials:22.6;Energy:14.7;Healthcare:13.4;Utilities:15.3;RealEstate:10.0;Industrials:23.9 | US:67.1;EU:6.8;APAC:11.6;EMEA:5.7;LATAM:8.8 | CCC:19.3;AA:24.6;A:28.9;AAA:27.3 | 4.07 | 31.8 | 272 | 409 | 15.9 | 2 | 20 | 45 | 30 | true | true | false | true | 1.27 | 0.78 | 0.4 | Utilities:EW;Consumer:EW | Hedge | Options_Payer: +87bps notional | 2 | -24 | ECN1 | Electronic | 7 | 100 | 82 | 168 | HYCap>limit | Reduce | High-yield share above policy cap | 240 | Rotate into defensive sectors |
C07952 | CR4736 | 2025-07-04 | Calm | 109 | 294 | 4.5 | 1.6 | 2,583,131,769 | Energy:21.7;Comm:29.2;Tech:26.2;Materials:23.0 | US:66.6;EU:15.3;APAC:6.6;EMEA:9.2;LATAM:2.3 | BB:41.7;A:19.7;BBB:11.6;CCC:27.1 | 0.85 | 59.8 | 167 | 489 | 7.7 | 4 | 30 | 55 | 20 | false | true | true | false | 1.14 | 1.74 | 0.3 | Utilities:EW;Materials:EW | Hedge | iTraxx_MAIN: +196bps notional | -6 | 41 | ECN2 | DealerAxed | 12 | 96 | 93 | 86 | Sector>limit | Hedge | Sector concentration above limit | 137 | Defer adds pending macro print |
C07953 | CR2203 | 2024-11-06 | Recovery | 123 | 426 | 5.2 | -0.1 | 1,745,202,549 | Healthcare:17.7;Consumer:21.2;Financials:21.9;Energy:20.3;RealEstate:18.9 | US:65.2;EU:17.7;APAC:9.8;EMEA:5.5;LATAM:1.8 | B:12.2;A:35.1;CCC:16.4;AAA:36.2 | 0.59 | 46.6 | 160 | 121 | 6.6 | 3 | 35 | 55 | 20 | false | true | true | false | 0.83 | 0.48 | 0.57 | Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -23 | -20 | DealerA | All2All | 4 | 89 | 169 | -199 | Region>limit | Reduce | Regional concentration above limit | 135 | Tighten HY exposure bands |
C07954 | CR1758 | 2025-02-05 | Calm | 106 | 417 | 3.4 | 2.5 | 1,399,559,411 | RealEstate:12.2;Utilities:39.7;Industrials:24.9;Financials:23.2 | US:70.5;EU:8.2;APAC:11.2;EMEA:8.9;LATAM:1.2 | AA:42.9;B:23.9;CCC:15.8;A:17.4 | 3.37 | 64.4 | 115 | 199 | 12.5 | 3 | 20 | 45 | 25 | true | true | true | false | -0.47 | 0.16 | -0.21 | Industrials:EW | Hedge | CDX_IG: +64bps notional | -35 | -25 | DealerB | DealerAxed | 9 | 93 | -53 | -163 | HYCap>limit | Reduce | High-yield share above policy cap | 205 | Defer adds pending macro print |
C07955 | CR1035 | 2025-09-07 | Stress | 180 | 678 | 8.2 | 0.5 | 407,338,613 | Industrials:28.0;Healthcare:40.5;Tech:31.4 | US:66.5;EU:13.3;APAC:9.8;EMEA:6.8;LATAM:3.5 | B:12.8;A:30.2;AAA:25.4;CCC:12.9;BB:18.8 | 2.06 | 29.8 | 256 | 585 | 14.6 | 4 | 25 | 35 | 30 | true | true | true | true | -0.11 | 0.53 | 0.35 | Energy:EW;Healthcare:EW | Hedge | CDX_HY: +160bps notional | 6 | 8 | ECN1 | Electronic | 8 | 95 | 195 | 14 | Sector>limit | Reduce | Sector concentration above limit | 179 | Rotate into defensive sectors |
C07956 | CR9599 | 2025-12-19 | Stress | 143 | 777 | 7.3 | 0.2 | 2,501,828,229 | Healthcare:21.7;Energy:19.1;RealEstate:14.0;Materials:15.8;Tech:8.6;Consumer:20.8 | US:75.5;EU:9.1;APAC:7.1;EMEA:3.9;LATAM:4.4 | BBB:20.3;CCC:8.1;AA:50.8;BB:20.8 | 4.5 | 26.1 | 254 | 421 | 11.9 | 3.5 | 30 | 45 | 25 | false | true | true | true | 1.24 | 0.49 | -0.05 | Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -25 | 6 | DealerA | Electronic | 10 | 97 | -4 | 106 | HYCap>limit | Hedge | High-yield share above policy cap | 250 | Reviewed by risk; hedges staggered |
C07957 | CR4635 | 2024-01-16 | Stress | 156 | 772 | 5.5 | 0.6 | 674,049,126 | Consumer:17.2;Utilities:45.1;Healthcare:37.6 | US:69.0;EU:15.2;APAC:6.5;EMEA:4.8;LATAM:4.5 | AAA:28.3;BBB:17.9;AA:21.4;A:25.0;B:7.4 | 6.29 | 57.6 | 252 | 396 | 16.4 | 2 | 30 | 45 | 25 | true | true | false | true | 0.14 | 1.13 | -0.15 | Industrials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 19 | -6 | ECN1 | All2All | 5 | 100 | 102 | -177 | VAR>budget | Hedge | Portfolio VAR above budget | 136 | Reviewed by risk; hedges staggered |
C07958 | CR9087 | 2024-11-14 | Calm | 87 | 335 | 3.7 | 2.1 | 1,049,632,186 | Financials:8.7;Consumer:21.4;Comm:20.2;Utilities:14.2;Tech:16.7;Healthcare:18.7 | US:62.8;EU:14.2;APAC:13.7;EMEA:7.4;LATAM:2.0 | BB:12.1;B:44.8;AA:20.4;A:22.7 | 4.02 | 38.9 | 162 | 269 | 9 | 3.5 | 20 | 35 | 35 | true | true | true | false | 1.09 | -0.25 | 0.44 | Tech:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -44 | 35 | ECN1 | Electronic | 5 | 87 | -119 | 108 | Region>limit | Hedge | Regional concentration above limit | 196 | Reviewed by risk; hedges staggered |
C07959 | CR4821 | 2024-07-26 | Tightening | 157 | 511 | 4.6 | 0.5 | 1,233,382,960 | Tech:28.3;Utilities:15.4;Materials:13.6;Industrials:27.3;RealEstate:15.5 | US:61.4;EU:18.2;APAC:9.5;EMEA:10.6;LATAM:0.4 | BBB:24.8;BB:9.9;CCC:11.8;AAA:28.6;AA:24.9 | 5.5 | 43.9 | 182 | 206 | 17 | 2.5 | 35 | 55 | 30 | false | true | false | false | -0.4 | 1.33 | 0.19 | Industrials:EW;Materials:EW | Hedge | CDX_IG: +72bps notional | -27 | 6 | ECN1 | DealerAxed | 7 | 94 | -191 | -259 | HYCap>limit | Hedge | High-yield share above policy cap | 216 | Rotate into defensive sectors |
C07960 | CR8711 | 2025-06-10 | Stress | 177 | 813 | 5.8 | -2 | 1,832,547,269 | Energy:19.9;Comm:7.0;Industrials:17.5;Materials:11.1;Financials:19.8;Healthcare:24.7 | US:66.7;EU:5.9;APAC:12.4;EMEA:7.6;LATAM:7.3 | BB:24.1;AAA:23.9;BBB:34.1;B:17.9 | 4.91 | 44.7 | 226 | 548 | 4.8 | 2 | 20 | 35 | 25 | true | true | true | true | 0.68 | 0.21 | 0.3 | null | Hedge | CDX_HY: +183bps notional | -25 | 4 | DealerA | Electronic | 11 | 97 | 397 | -321 | VAR>budget | Reduce | Portfolio VAR above budget | 238 | Escalate watchlist names |
C07961 | CR0470 | 2025-12-24 | Calm | 105 | 346 | 3.7 | 2.7 | 2,591,449,862 | Tech:36.1;Comm:35.6;Industrials:28.3 | US:71.3;EU:9.8;APAC:9.2;EMEA:4.5;LATAM:5.2 | CCC:23.4;B:20.6;BBB:37.2;AAA:18.8 | 1.71 | 56.8 | 245 | 148 | 13.4 | 3 | 25 | 45 | 20 | true | true | true | true | 1.34 | 1.05 | -0.09 | Healthcare:EW | Hedge | SingleName_CDS: +52bps notional | -40 | 34 | ECN2 | All2All | 0 | 97 | -67 | 41 | Sector>limit | Reduce | Sector concentration above limit | 230 | Rotate into defensive sectors |
C07962 | CR7375 | 2024-04-04 | Recovery | 151 | 593 | 5.2 | 0.3 | 1,418,451,947 | Industrials:31.0;RealEstate:15.2;Utilities:18.5;Financials:35.3 | US:62.4;EU:17.6;APAC:14.4;EMEA:4.9;LATAM:0.6 | AAA:18.9;B:22.0;BB:20.0;CCC:10.8;A:28.3 | 7.12 | 43.2 | 198 | 232 | 12.1 | 3 | 35 | 35 | 20 | true | true | true | false | -0.36 | 0.73 | 0.25 | Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -9 | -21 | ECN1 | DealerAxed | 2 | 87 | -91 | -76 | Sector>limit | Reduce | Sector concentration above limit | 123 | Escalate watchlist names |
C07963 | CR3526 | 2024-07-09 | Calm | 66 | 387 | 4.4 | 2.4 | 2,740,467,830 | Financials:9.3;Industrials:23.6;Consumer:8.8;Tech:22.8;Comm:18.0;Utilities:17.6 | US:55.8;EU:16.4;APAC:16.0;EMEA:3.4;LATAM:8.4 | A:17.3;BBB:17.0;AAA:26.1;CCC:19.5;BB:20.1 | 2.71 | 54.6 | 88 | 445 | 15.4 | 2 | 20 | 45 | 30 | true | true | true | false | 1.99 | -0.25 | 0.14 | null | Hedge | SingleName_CDS: +109bps notional | 2 | 35 | ECN1 | Electronic | 12 | 88 | 97 | -255 | VAR>budget | Hedge | Portfolio VAR above budget | 235 | Tighten HY exposure bands |
C07964 | CR7828 | 2025-04-29 | Calm | 102 | 409 | 3.5 | 2.3 | 1,362,087,766 | Industrials:36.6;Utilities:43.5;Materials:19.9 | US:67.5;EU:16.1;APAC:8.4;EMEA:3.8;LATAM:4.3 | AA:44.2;B:10.0;BBB:38.9;CCC:6.9 | 5.72 | 42.8 | 156 | 374 | 14.2 | 3 | 25 | 55 | 35 | true | true | false | false | 0.61 | 1.58 | -0.16 | Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -35 | 15 | DealerC | RFQ | 5 | 100 | 108 | -213 | HYCap>limit | Hedge | High-yield share above policy cap | 107 | Tighten HY exposure bands |
C07965 | CR9215 | 2025-08-16 | Tightening | 109 | 373 | 4.2 | 1.3 | 1,030,354,171 | Materials:26.1;Tech:21.6;Energy:52.3 | US:68.9;EU:16.2;APAC:7.3;EMEA:5.0;LATAM:2.6 | CCC:10.7;BBB:33.4;B:28.4;AAA:27.5 | 4.86 | 62.3 | 133 | 363 | 8.8 | 2.5 | 20 | 45 | 35 | true | true | true | false | 0.47 | 1.78 | -0.31 | null | Hedge | Treasury_Futures: +157bps notional | -48 | 27 | ECN1 | DealerAxed | 10 | 97 | 191 | 139 | HYCap>limit | Rotate | High-yield share above policy cap | 197 | Escalate watchlist names |
C07966 | CR8995 | 2025-05-08 | Calm | 78 | 296 | 3.7 | 2.2 | 1,525,726,695 | Healthcare:44.0;Energy:27.3;RealEstate:28.7 | US:63.8;EU:12.3;APAC:9.6;EMEA:8.9;LATAM:5.4 | BBB:31.4;BB:16.5;A:35.5;AA:16.6 | 3.29 | 35.2 | 220 | 155 | 9.8 | 3.5 | 30 | 35 | 20 | true | true | false | true | 0.18 | 1.32 | -0.2 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -26 | 11 | DealerA | RFQ | 0 | 98 | 78 | -124 | Region>limit | PauseAdds | Regional concentration above limit | 122 | Escalate watchlist names |
C07967 | CR8797 | 2024-08-28 | Stress | 247 | 716 | 6.7 | -0.9 | 2,335,563,824 | Industrials:28.8;Consumer:8.7;RealEstate:11.1;Materials:23.9;Tech:27.6 | US:64.8;EU:18.4;APAC:7.4;EMEA:7.6;LATAM:1.8 | BBB:20.4;AAA:28.8;AA:10.0;A:21.8;BB:4.6;CCC:14.5 | 7.05 | 25.9 | 184 | 262 | 9.7 | 2 | 20 | 35 | 25 | true | true | false | false | 0.98 | 0.02 | 0.32 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -33 | 41 | ECN2 | All2All | 8 | 98 | 279 | -13 | HYCap>limit | Rotate | High-yield share above policy cap | 101 | Reviewed by risk; hedges staggered |
C07968 | CR5492 | 2024-02-06 | Tightening | 93 | 437 | 4.1 | 1 | 1,962,926,679 | Industrials:24.5;Comm:23.4;Healthcare:24.2;Materials:27.9 | US:66.9;EU:15.5;APAC:9.4;EMEA:3.6;LATAM:4.7 | B:8.7;BBB:16.2;CCC:30.9;AAA:27.9;A:16.2 | 3.51 | 60.2 | 138 | 304 | 10.9 | 4 | 20 | 35 | 30 | true | true | true | false | 0.35 | 0.25 | -0.06 | Energy:EW | Hedge | SingleName_CDS: +124bps notional | -40 | 3 | DealerA | Electronic | 8 | 98 | 198 | 19 | Region>limit | Hedge | Regional concentration above limit | 180 | Tighten HY exposure bands |
C07969 | CR8878 | 2024-04-25 | Stress | 198 | 588 | 6.4 | -1.9 | 2,642,293,167 | Materials:53.7;Energy:21.7;Healthcare:24.6 | US:66.5;EU:16.4;APAC:8.3;EMEA:5.3;LATAM:3.5 | BBB:19.2;B:43.8;CCC:23.3;A:13.7 | 5.93 | 23.7 | 263 | 572 | 7.3 | 2 | 20 | 45 | 20 | true | true | true | true | -0.09 | 0.4 | 0.49 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 15 | 25 | ECN2 | RFQ | 5 | 93 | 240 | 3 | Sector>limit | Rotate | Sector concentration above limit | 181 | Tighten HY exposure bands |
C07970 | CR8769 | 2025-04-06 | Stress | 186 | 823 | 7.8 | -1.9 | 203,613,486 | Tech:14.7;Healthcare:25.6;Utilities:21.2;Comm:17.2;Energy:8.3;Industrials:12.9 | US:53.5;EU:14.5;APAC:15.5;EMEA:11.7;LATAM:4.8 | AA:16.4;BB:29.7;AAA:22.8;B:31.2 | 3.14 | 57.4 | 163 | 589 | 16.1 | 4 | 20 | 45 | 35 | true | true | true | false | 0.52 | 0.15 | 0.11 | Tech:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -30 | 23 | DealerA | All2All | 10 | 89 | 193 | -64 | VAR>budget | Hedge | Portfolio VAR above budget | 123 | Defer adds pending macro print |
C07971 | CR9892 | 2024-04-21 | Tightening | 138 | 433 | 4.5 | 1.9 | 161,214,919 | Industrials:23.8;RealEstate:40.3;Consumer:14.3;Comm:21.6 | US:62.4;EU:13.3;APAC:11.4;EMEA:10.9;LATAM:2.0 | BB:27.4;BBB:12.3;B:12.8;CCC:22.2;A:25.3 | 6.49 | 40.9 | 221 | 414 | 9.8 | 3 | 35 | 45 | 30 | true | true | true | true | 0.02 | 0.49 | 0.14 | null | Hedge | CDX_IG: +89bps notional | -33 | 17 | DealerA | Electronic | 11 | 100 | -115 | -10 | HYCap>limit | Rotate | High-yield share above policy cap | 194 | Rotate into defensive sectors |
C07972 | CR6302 | 2025-04-02 | Calm | 68 | 318 | 3.9 | 2.9 | 774,882,762 | Materials:19.6;RealEstate:12.1;Energy:23.7;Comm:16.5;Financials:11.8;Tech:16.3 | US:59.6;EU:16.0;APAC:12.3;EMEA:9.4;LATAM:2.8 | CCC:32.3;B:21.6;AAA:33.6;AA:12.5 | 4.96 | 26.3 | 127 | 233 | 14.2 | 2 | 30 | 55 | 35 | false | true | true | false | 2.45 | -0.2 | 0.16 | Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -40 | 24 | ECN2 | Electronic | 9 | 94 | -197 | -76 | VAR>budget | Hedge | Portfolio VAR above budget | 147 | Tighten HY exposure bands |
C07973 | CR0652 | 2024-04-26 | Stress | 214 | 662 | 7.6 | -0.6 | 2,070,595,928 | Industrials:23.6;Energy:19.8;Tech:32.5;Utilities:14.4;Financials:9.6 | US:63.8;EU:12.7;APAC:14.0;EMEA:4.8;LATAM:4.7 | AAA:25.4;B:6.1;BB:16.6;AA:23.1;A:28.7 | 4.46 | 39.3 | 306 | 321 | 15.7 | 3 | 20 | 55 | 35 | true | true | false | true | 0.61 | 1.72 | -0.04 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -58 | -18 | DealerA | Electronic | 6 | 94 | 208 | -332 | VAR>budget | Hedge | Portfolio VAR above budget | 124 | Reviewed by risk; hedges staggered |
C07974 | CR4418 | 2025-03-29 | Calm | 106 | 401 | 4.3 | 2.2 | 615,750,608 | Comm:20.0;Utilities:15.2;Energy:21.6;Financials:22.8;Industrials:20.2 | US:69.1;EU:10.1;APAC:12.0;EMEA:7.7;LATAM:1.1 | A:37.7;BB:9.7;AA:24.1;AAA:28.5 | 4.39 | 44.8 | 205 | 257 | 13.9 | 4 | 30 | 45 | 20 | false | true | false | true | 2.16 | 1.55 | 0.3 | null | Hedge | iTraxx_XOVER: +115bps notional | -36 | 26 | ECN2 | DealerAxed | 10 | 87 | 284 | -418 | Region>limit | Rotate | Regional concentration above limit | 182 | Tighten HY exposure bands |
C07975 | CR7893 | 2025-06-05 | Recovery | 112 | 566 | 6.5 | -0.2 | 486,757,470 | Energy:22.3;Consumer:55.4;Healthcare:22.2 | US:61.9;EU:15.3;APAC:6.8;EMEA:8.9;LATAM:7.1 | AAA:25.5;BB:8.5;A:23.2;BBB:26.7;B:16.1 | 5.06 | 31.4 | 187 | 430 | 5.1 | 3 | 25 | 55 | 30 | true | true | false | false | 2.05 | 0.68 | 0.44 | Energy:EW | Hedge | iTraxx_XOVER: +115bps notional | -22 | 3 | ECN2 | All2All | 12 | 99 | -21 | 72 | VAR>budget | Rotate | Portfolio VAR above budget | 167 | Defer adds pending macro print |
C07976 | CR2372 | 2025-06-11 | Calm | 93 | 344 | 3.8 | 2.2 | 2,181,062,981 | Energy:38.1;Financials:12.3;Consumer:12.4;Comm:37.2 | US:64.5;EU:11.4;APAC:13.9;EMEA:8.7;LATAM:1.4 | B:25.3;AAA:8.6;AA:29.4;BBB:23.5;BB:13.3 | 0.76 | 32.2 | 143 | 270 | 8.1 | 3.5 | 35 | 35 | 35 | true | true | true | false | 1.54 | 0.31 | -0.13 | null | Hedge | Treasury_Futures: +84bps notional | -18 | 15 | ECN1 | Electronic | 6 | 93 | 346 | -31 | Region>limit | PauseAdds | Regional concentration above limit | 222 | Defer adds pending macro print |
C07977 | CR7666 | 2024-10-01 | Tightening | 122 | 425 | 4.5 | 1.9 | 1,647,899,783 | Materials:34.6;Utilities:34.5;RealEstate:18.4;Comm:12.5 | US:61.0;EU:16.0;APAC:7.4;EMEA:11.6;LATAM:4.0 | CCC:20.2;B:16.6;AAA:18.1;A:11.9;BB:12.5;BBB:20.7 | 2.56 | 33.3 | 178 | 415 | 2.2 | 2.5 | 20 | 55 | 35 | true | true | true | false | 1.68 | 1.16 | 0.25 | RealEstate:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -59 | 26 | DealerB | All2All | 2 | 85 | -113 | -191 | Region>limit | Hedge | Regional concentration above limit | 99 | Tighten HY exposure bands |
C07978 | CR6989 | 2025-09-10 | Recovery | 150 | 448 | 6.1 | 0.9 | 1,241,350,030 | Comm:24.6;Materials:21.7;RealEstate:24.3;Tech:29.5 | US:71.9;EU:11.7;APAC:6.7;EMEA:3.4;LATAM:6.4 | BB:10.2;AA:26.2;CCC:18.6;BBB:13.9;A:31.1 | 3.44 | 62.2 | 204 | 507 | 11.4 | 2 | 20 | 45 | 25 | true | true | true | true | 0.24 | 1.62 | 0.14 | Comm:EW;Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -47 | -22 | DealerA | All2All | 7 | 87 | 294 | -38 | Region>limit | Rotate | Regional concentration above limit | 91 | Tighten HY exposure bands |
C07979 | CR2743 | 2024-04-08 | Calm | 112 | 299 | 3.6 | 2.3 | 2,229,069,633 | Energy:19.2;Financials:33.1;Comm:32.3;Materials:15.5 | US:60.7;EU:16.8;APAC:5.7;EMEA:10.5;LATAM:6.2 | B:25.3;A:7.4;AAA:16.7;BBB:14.1;CCC:25.4;BB:11.2 | 0.84 | 34.4 | 231 | 225 | 6 | 2.5 | 25 | 55 | 35 | true | true | true | true | -0.39 | 1.57 | -0.36 | Industrials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 15 | -14 | ECN2 | All2All | 5 | 98 | 263 | 39 | HYCap>limit | Hedge | High-yield share above policy cap | 231 | Defer adds pending macro print |
C07980 | CR8463 | 2025-06-20 | Calm | 111 | 306 | 4.1 | 2.4 | 1,305,842,576 | Tech:7.0;Energy:20.5;Materials:18.0;Comm:25.6;Financials:28.9 | US:72.6;EU:7.7;APAC:7.0;EMEA:9.3;LATAM:3.3 | B:8.3;AAA:37.2;BBB:36.0;A:18.5 | 6.31 | 26.7 | 265 | 466 | 11.8 | 2 | 25 | 45 | 25 | true | true | false | true | 0.55 | -0.13 | 0.05 | Healthcare:EW;Energy:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -54 | -18 | ECN1 | All2All | 12 | 88 | 369 | -58 | Sector>limit | Hedge | Sector concentration above limit | 166 | Tighten HY exposure bands |
C07981 | CR7710 | 2024-09-14 | Stress | 233 | 660 | 6.7 | 0.5 | 2,419,814,474 | Energy:7.2;Comm:21.7;Consumer:20.5;Materials:32.2;Financials:18.4 | US:68.0;EU:7.8;APAC:9.5;EMEA:7.3;LATAM:7.4 | B:32.9;CCC:21.7;AAA:15.3;BBB:12.4;A:17.7 | 6.75 | 34.6 | 151 | 315 | 16.8 | 4 | 25 | 45 | 35 | true | true | true | false | 0.97 | 0.61 | 0.1 | null | Hedge | Options_Payer: +168bps notional | 9 | 13 | DealerA | DealerAxed | 5 | 95 | 315 | -358 | Region>limit | Hedge | Regional concentration above limit | 176 | Escalate watchlist names |
C07982 | CR2371 | 2024-01-23 | Tightening | 105 | 433 | 5.1 | 1.3 | 1,985,621,640 | Comm:16.6;Tech:20.8;Industrials:35.4;Energy:27.3 | US:71.1;EU:17.9;APAC:4.9;EMEA:4.1;LATAM:2.0 | BB:11.4;CCC:6.7;A:26.2;BBB:18.7;AAA:20.9;AA:16.1 | 6.2 | 52.6 | 90 | 197 | 17.4 | 2 | 20 | 35 | 35 | true | true | false | false | 0.23 | 1.45 | 0.13 | Tech:EW;Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -56 | -21 | DealerB | Electronic | 7 | 94 | 60 | 116 | HYCap>limit | Hedge | High-yield share above policy cap | 150 | Reviewed by risk; hedges staggered |
C07983 | CR2938 | 2024-12-26 | Recovery | 166 | 467 | 6 | 1.2 | 2,743,060,852 | Utilities:39.6;Materials:21.5;Energy:38.9 | US:58.5;EU:18.2;APAC:14.2;EMEA:4.2;LATAM:4.9 | BBB:17.5;B:20.6;AAA:15.8;AA:6.5;CCC:23.5;BB:15.9 | 4.82 | 32.1 | 262 | 215 | 15.6 | 2.5 | 25 | 45 | 35 | true | true | true | true | -0.39 | 0.01 | 0.5 | Financials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -5 | -9 | ECN1 | All2All | 9 | 99 | -92 | -348 | VAR>budget | Hedge | Portfolio VAR above budget | 233 | Escalate watchlist names |
C07984 | CR7419 | 2025-08-07 | Stress | 160 | 798 | 7.5 | -1.3 | 373,343,283 | Comm:13.5;Consumer:7.6;Materials:16.4;RealEstate:22.6;Financials:25.1;Tech:14.9 | US:66.5;EU:12.7;APAC:12.4;EMEA:3.5;LATAM:5.0 | CCC:13.8;BB:14.1;B:13.5;AA:28.6;A:30.1 | 5.95 | 62.3 | 213 | 227 | 9.4 | 2 | 35 | 45 | 35 | false | true | true | true | 0.76 | 1.24 | 0.02 | Comm:EW | Hedge | CDX_HY: +125bps notional | -9 | 28 | DealerB | RFQ | 8 | 87 | 326 | -224 | Sector>limit | Hedge | Sector concentration above limit | 110 | Tighten HY exposure bands |
C07985 | CR7513 | 2025-05-15 | Tightening | 149 | 410 | 3.8 | 0.7 | 418,853,710 | Utilities:13.7;Industrials:10.1;Comm:16.4;Financials:22.8;Consumer:15.5;RealEstate:21.5 | US:63.1;EU:11.5;APAC:12.8;EMEA:5.3;LATAM:7.3 | BBB:11.2;AA:31.4;AAA:16.0;CCC:13.7;A:27.6 | 1.14 | 61.9 | 118 | 284 | 16.8 | 3 | 20 | 55 | 35 | true | true | false | false | 0.24 | 1.34 | 0.43 | RealEstate:EW | Hedge | iTraxx_XOVER: +77bps notional | -41 | 15 | DealerB | All2All | 12 | 97 | 231 | -341 | Sector>limit | PauseAdds | Sector concentration above limit | 198 | Tighten HY exposure bands |
C07986 | CR6144 | 2025-03-19 | Calm | 75 | 297 | 3.3 | 2.6 | 1,548,353,891 | Materials:39.8;Healthcare:43.4;Financials:16.8 | US:68.0;EU:7.0;APAC:10.1;EMEA:11.0;LATAM:3.9 | AA:11.6;CCC:5.5;BB:21.9;B:23.1;AAA:37.8 | 2.41 | 33.4 | 230 | 477 | 17.3 | 3.5 | 20 | 45 | 30 | true | true | true | true | 2.39 | 1.44 | -0.15 | Consumer:EW | Hedge | CDX_IG: +142bps notional | 16 | -1 | DealerB | DealerAxed | 8 | 97 | 277 | -190 | HYCap>limit | Hedge | High-yield share above policy cap | 113 | Defer adds pending macro print |
C07987 | CR3920 | 2025-06-08 | Tightening | 130 | 361 | 4.5 | 1.4 | 2,594,417,296 | Healthcare:16.9;Comm:34.4;Tech:22.9;Consumer:25.7 | US:65.3;EU:13.6;APAC:10.0;EMEA:8.1;LATAM:3.0 | AA:8.9;CCC:9.1;B:33.3;BBB:16.3;BB:16.5;AAA:15.8 | 7.16 | 27 | 264 | 157 | 11.1 | 3 | 20 | 55 | 25 | true | true | true | true | 1.75 | -0.26 | 0.33 | Healthcare:EW | Hedge | CDX_IG: +109bps notional | 9 | -5 | DealerC | Electronic | 10 | 94 | 260 | -55 | Region>limit | Hedge | Regional concentration above limit | 159 | Rotate into defensive sectors |
C07988 | CR7251 | 2025-02-18 | Calm | 101 | 306 | 3.3 | 1.8 | 57,666,919 | Healthcare:9.4;Materials:38.8;Utilities:11.4;Tech:40.4 | US:76.4;EU:8.0;APAC:7.1;EMEA:4.1;LATAM:4.4 | AA:23.4;CCC:19.7;AAA:32.1;B:24.9 | 6.56 | 42.5 | 267 | 515 | 16.3 | 3 | 35 | 55 | 25 | true | true | true | true | 0.94 | 1.36 | 0.16 | Healthcare:EW;Comm:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -8 | 19 | DealerC | Electronic | 9 | 85 | 124 | 1 | HYCap>limit | Hedge | High-yield share above policy cap | 161 | Rotate into defensive sectors |
C07989 | CR0994 | 2025-07-24 | Calm | 107 | 347 | 4.1 | 2.7 | 2,749,463,327 | Materials:29.6;Tech:32.7;Financials:37.7 | US:56.3;EU:18.7;APAC:6.4;EMEA:10.2;LATAM:8.5 | AAA:19.7;A:11.6;BB:10.9;AA:34.6;B:4.8;BBB:18.4 | 3.71 | 23.2 | 234 | 456 | 15.9 | 3 | 20 | 45 | 20 | true | true | false | true | 1.35 | -0.18 | -0.04 | Financials:EW;Healthcare:EW | Hedge | Options_Payer: +191bps notional | 1 | 10 | DealerA | RFQ | 7 | 100 | 31 | 89 | Sector>limit | Reduce | Sector concentration above limit | 177 | Tighten HY exposure bands |
C07990 | CR1690 | 2025-03-29 | Tightening | 106 | 419 | 5 | 0.7 | 1,272,939,516 | Financials:20.1;Utilities:16.9;Materials:15.7;RealEstate:14.8;Healthcare:12.3;Tech:20.1 | US:70.5;EU:9.8;APAC:11.8;EMEA:6.7;LATAM:1.1 | B:5.6;A:16.2;AAA:14.2;BBB:22.4;CCC:4.5;AA:37.1 | 3.88 | 20.6 | 234 | 276 | 6.6 | 3.5 | 20 | 35 | 35 | true | true | false | true | -0.41 | 0.78 | -0.14 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -55 | 12 | DealerB | Electronic | 2 | 94 | 32 | -72 | Region>limit | PauseAdds | Regional concentration above limit | 182 | Tighten HY exposure bands |
C07991 | CR1214 | 2024-07-14 | Tightening | 129 | 422 | 4.1 | 1.9 | 2,686,991,513 | Industrials:16.5;Utilities:22.9;Consumer:20.0;Comm:16.7;Materials:13.6;Energy:10.2 | US:58.9;EU:15.1;APAC:16.9;EMEA:8.3;LATAM:0.8 | BBB:29.4;CCC:8.8;A:13.4;AAA:19.7;AA:28.7 | 5.57 | 44.5 | 209 | 269 | 10.7 | 4 | 30 | 45 | 35 | false | true | false | true | 2.32 | 1.19 | 0.47 | RealEstate:EW;Financials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -27 | -7 | DealerA | Electronic | 4 | 85 | 0 | 121 | VAR>budget | Rotate | Portfolio VAR above budget | 253 | Tighten HY exposure bands |
C07992 | CR5634 | 2025-08-05 | Tightening | 127 | 433 | 3.9 | 1.2 | 821,634,659 | Tech:30.1;Materials:23.1;Energy:11.3;Consumer:22.4;Financials:13.0 | US:59.1;EU:16.8;APAC:7.5;EMEA:9.4;LATAM:7.1 | AA:34.0;B:4.5;A:25.5;BB:5.0;BBB:14.8;CCC:16.1 | 4.56 | 35 | 156 | 323 | 2.8 | 3 | 30 | 55 | 25 | true | true | true | false | 0.7 | 0.29 | -0.34 | null | Hedge | CDX_HY: +157bps notional | -49 | -24 | DealerB | DealerAxed | 11 | 98 | 288 | -125 | HYCap>limit | Reduce | High-yield share above policy cap | 155 | Rotate into defensive sectors |
C07993 | CR6121 | 2024-03-23 | Recovery | 156 | 438 | 5.7 | 1 | 1,444,886,978 | Consumer:26.2;Comm:23.3;Materials:13.7;RealEstate:15.6;Utilities:21.1 | US:70.9;EU:8.6;APAC:10.6;EMEA:7.8;LATAM:2.1 | AAA:13.6;A:21.1;AA:24.9;BB:17.3;BBB:23.2 | 3.68 | 22.9 | 256 | 212 | 16 | 2 | 35 | 45 | 30 | false | true | false | true | 2.48 | 0.57 | 0.17 | Comm:EW | Hedge | Treasury_Futures: +151bps notional | -12 | -10 | ECN2 | Electronic | 0 | 97 | 44 | 109 | Sector>limit | Rotate | Sector concentration above limit | 243 | Rotate into defensive sectors |
C07994 | CR2760 | 2025-10-22 | Tightening | 142 | 355 | 4.4 | 1.1 | 1,059,011,329 | Comm:43.5;Utilities:17.1;Financials:39.5 | US:71.0;EU:17.6;APAC:5.6;EMEA:4.8;LATAM:0.9 | BB:30.6;BBB:14.4;B:17.9;AA:37.1 | 4.85 | 32.2 | 235 | 143 | 14.2 | 2 | 25 | 55 | 25 | true | true | true | true | 1.25 | 1.64 | 0.59 | Consumer:EW | Hedge | iTraxx_XOVER: +91bps notional | -56 | 11 | DealerA | All2All | 4 | 86 | 216 | -309 | Region>limit | Reduce | Regional concentration above limit | 117 | Reviewed by risk; hedges staggered |
C07995 | CR1083 | 2024-06-30 | Tightening | 101 | 396 | 4.9 | 0.6 | 1,342,411,535 | Healthcare:15.4;Tech:27.4;Industrials:57.2 | US:65.7;EU:13.8;APAC:7.3;EMEA:7.1;LATAM:6.2 | BB:6.2;A:40.8;CCC:11.7;BBB:28.7;AAA:12.6 | 2.09 | 39.8 | 130 | 148 | 5.4 | 3 | 30 | 55 | 20 | true | true | false | false | 2.5 | 0.21 | 0.24 | Materials:EW | Hedge | CDX_IG: +106bps notional | -16 | 14 | DealerA | DealerAxed | 3 | 98 | 67 | -20 | Sector>limit | Hedge | Sector concentration above limit | 138 | Escalate watchlist names |
C07996 | CR9726 | 2025-09-15 | Tightening | 94 | 488 | 4.3 | 0.8 | 1,303,678,574 | Financials:18.3;RealEstate:24.6;Healthcare:31.0;Materials:13.2;Comm:12.9 | US:65.7;EU:11.5;APAC:6.8;EMEA:9.4;LATAM:6.5 | BB:8.7;AAA:15.6;BBB:10.3;AA:28.6;B:15.2;CCC:21.6 | 5.35 | 27.2 | 177 | 193 | 5.1 | 3.5 | 30 | 35 | 25 | true | true | true | false | 1.03 | 0.41 | 0.56 | null | Hedge | Options_Payer: +116bps notional | 12 | 40 | DealerB | RFQ | 1 | 90 | 150 | -87 | HYCap>limit | Hedge | High-yield share above policy cap | 207 | Defer adds pending macro print |
C07997 | CR8641 | 2024-03-31 | Tightening | 152 | 419 | 4 | 1 | 2,100,834,916 | Energy:19.7;Utilities:25.1;Tech:17.8;Materials:24.6;Financials:6.8;Healthcare:6.1 | US:66.1;EU:13.6;APAC:9.9;EMEA:7.7;LATAM:2.8 | AA:13.1;BBB:18.9;AAA:16.7;A:12.1;B:22.1;BB:17.0 | 1.7 | 57.1 | 215 | 420 | 4.7 | 3 | 25 | 35 | 30 | true | true | true | true | -0.41 | 1.36 | -0.08 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -37 | 9 | DealerB | All2All | 3 | 88 | 293 | -320 | VAR>budget | Hedge | Portfolio VAR above budget | 153 | Rotate into defensive sectors |
C07998 | CR1620 | 2024-12-21 | Calm | 81 | 401 | 4.3 | 1.8 | 59,115,165 | Financials:11.2;Materials:8.1;RealEstate:32.2;Energy:17.1;Utilities:23.8;Industrials:7.7 | US:55.6;EU:19.8;APAC:5.9;EMEA:12.2;LATAM:6.5 | BB:21.4;AAA:17.6;B:4.7;BBB:37.3;AA:19.0 | 1.57 | 54.3 | 156 | 251 | 5.6 | 2.5 | 35 | 45 | 30 | false | true | false | false | 1.39 | 0.37 | 0.56 | Industrials:EW;Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -20 | 37 | DealerA | RFQ | 2 | 94 | 374 | 150 | Sector>limit | Reduce | Sector concentration above limit | 93 | Reviewed by risk; hedges staggered |
C07999 | CR3809 | 2024-09-26 | Recovery | 108 | 576 | 5.5 | 0.9 | 665,065,518 | Tech:32.5;Comm:20.1;Consumer:9.2;Materials:21.7;RealEstate:16.5 | US:69.4;EU:11.2;APAC:8.7;EMEA:6.5;LATAM:4.2 | AA:35.3;A:43.4;BB:12.9;CCC:8.4 | 4.11 | 34.4 | 242 | 445 | 10.2 | 2 | 35 | 55 | 30 | false | true | false | true | 1.43 | 1.62 | -0.38 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -58 | 7 | ECN1 | DealerAxed | 9 | 88 | 70 | -194 | HYCap>limit | Reduce | High-yield share above policy cap | 184 | Rotate into defensive sectors |
C08000 | CR1103 | 2025-06-22 | Stress | 219 | 694 | 7.1 | -0.4 | 723,125,894 | Industrials:22.9;Financials:8.8;RealEstate:19.9;Consumer:20.4;Utilities:28.0 | US:65.4;EU:10.3;APAC:7.4;EMEA:10.5;LATAM:6.4 | CCC:11.0;B:14.8;A:29.6;BBB:15.7;AA:28.9 | 7.43 | 32.6 | 324 | 524 | 6.8 | 3.5 | 25 | 55 | 35 | true | true | false | true | 1.57 | 0.41 | 0.05 | Healthcare:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -57 | 45 | DealerA | All2All | 10 | 97 | 91 | -201 | Sector>limit | Reduce | Sector concentration above limit | 94 | Tighten HY exposure bands |
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