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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C09601
|
CR6109
|
2024-03-26
|
Recovery
| 124
| 568
| 5.5
| 0.9
| 1,682,060,661
|
Healthcare:11.8;Tech:11.5;Financials:40.8;Energy:13.8;Industrials:22.1
|
US:64.8;EU:11.9;APAC:13.7;EMEA:8.6;LATAM:1.0
|
CCC:6.1;B:14.2;A:29.1;BBB:21.7;AAA:10.3;BB:18.5
| 4.2
| 38.8
| 151
| 439
| 7.8
| 2
| 35
| 45
| 20
| true
| true
| true
| false
| 1.67
| 0.33
| 0.34
|
Industrials:EW;Tech:EW
|
Hedge
|
iTraxx_MAIN: +134bps notional
| -50
| -21
|
DealerC
|
All2All
| 10
| 91
| 365
| -288
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 257
|
Tighten HY exposure bands
|
C09602
|
CR5359
|
2024-12-15
|
Tightening
| 156
| 363
| 4.1
| 0.6
| 877,392,461
|
Industrials:30.8;Healthcare:9.0;Financials:26.5;Consumer:33.7
|
US:66.4;EU:11.4;APAC:6.8;EMEA:7.8;LATAM:7.5
|
B:21.0;A:14.5;CCC:22.9;AA:16.4;BB:13.7;BBB:11.6
| 2.39
| 22.8
| 188
| 446
| 12.4
| 3.5
| 25
| 45
| 20
| true
| true
| true
| false
| 2.26
| 0.2
| -0.23
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -17
| 25
|
ECN1
|
DealerAxed
| 4
| 96
| 338
| -444
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 174
|
Defer adds pending macro print
|
C09603
|
CR6423
|
2024-05-14
|
Calm
| 70
| 418
| 4.4
| 2.4
| 1,813,626,499
|
Consumer:28.1;Materials:17.2;Financials:25.3;Utilities:29.5
|
US:54.6;EU:20.1;APAC:10.4;EMEA:11.3;LATAM:3.5
|
A:29.2;BBB:25.0;BB:6.2;AAA:39.5
| 3.71
| 52.1
| 237
| 323
| 4.6
| 2.5
| 30
| 55
| 25
| false
| false
| false
| true
| 1.77
| 1.7
| 0.59
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -8
| -12
|
DealerB
|
DealerAxed
| 7
| 96
| -204
| -25
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 131
|
Escalate watchlist names
|
C09604
|
CR8972
|
2024-12-18
|
Tightening
| 112
| 500
| 4.7
| 0.7
| 144,402,875
|
Comm:10.5;Materials:14.7;Financials:24.4;Tech:27.3;Healthcare:23.1
|
US:76.6;EU:6.3;APAC:6.9;EMEA:5.2;LATAM:5.0
|
BBB:13.8;AA:24.3;CCC:11.2;A:10.3;BB:8.1;AAA:32.3
| 3.95
| 53.8
| 102
| 376
| 3.7
| 3.5
| 30
| 55
| 20
| false
| true
| false
| false
| 1.43
| 0.52
| 0.51
|
Consumer:EW;RealEstate:EW
|
Hedge
|
Options_Payer: +145bps notional
| -52
| 33
|
DealerB
|
Electronic
| 12
| 99
| 174
| -447
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 223
|
Defer adds pending macro print
|
C09605
|
CR5526
|
2025-11-09
|
Recovery
| 143
| 448
| 5.3
| 1.4
| 936,662,360
|
RealEstate:21.2;Financials:21.9;Healthcare:17.3;Comm:39.5
|
US:68.4;EU:12.6;APAC:12.2;EMEA:4.9;LATAM:1.8
|
BB:8.7;A:22.8;BBB:27.5;AAA:12.9;AA:19.0;CCC:9.0
| 5.88
| 45.1
| 133
| 518
| 14.6
| 2
| 25
| 55
| 20
| true
| true
| false
| false
| 2.02
| 0.92
| -0.14
|
Healthcare:EW
|
Hedge
|
CDX_IG: +183bps notional
| -57
| -20
|
DealerA
|
DealerAxed
| 5
| 92
| 334
| -11
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 166
|
Escalate watchlist names
|
C09606
|
CR6075
|
2025-06-22
|
Tightening
| 130
| 421
| 4.9
| 1.5
| 1,775,530,381
|
Healthcare:12.0;RealEstate:21.7;Energy:32.0;Consumer:34.4
|
US:63.9;EU:18.1;APAC:7.0;EMEA:5.6;LATAM:5.4
|
A:16.8;CCC:22.3;BB:22.1;B:6.6;AAA:14.7;BBB:17.4
| 7.03
| 32.1
| 144
| 491
| 6
| 3.5
| 30
| 55
| 30
| true
| true
| true
| false
| 1.66
| 1.72
| 0.53
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -40
| -19
|
DealerA
|
All2All
| 3
| 86
| 43
| -343
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 179
|
Reviewed by risk; hedges staggered
|
C09607
|
CR2253
|
2024-02-29
|
Calm
| 81
| 329
| 3.4
| 1.5
| 2,596,264,199
|
Tech:15.4;Materials:16.2;Healthcare:12.6;Financials:21.7;RealEstate:16.1;Energy:18.0
|
US:73.7;EU:10.5;APAC:7.2;EMEA:5.9;LATAM:2.7
|
CCC:15.5;AA:18.0;B:18.5;A:12.3;AAA:17.9;BBB:17.8
| 2.26
| 41.2
| 159
| 429
| 3.9
| 2
| 25
| 35
| 30
| false
| true
| true
| false
| 0.77
| 0.14
| 0.57
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 2
| 40
|
ECN2
|
All2All
| 6
| 90
| 414
| 13
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 238
|
Rotate into defensive sectors
|
C09608
|
CR3792
|
2025-06-01
|
Calm
| 102
| 287
| 4.4
| 2.8
| 1,124,762,744
|
Utilities:37.1;Comm:18.8;Industrials:44.2
|
US:68.3;EU:16.0;APAC:6.7;EMEA:3.2;LATAM:5.9
|
A:21.2;BBB:13.3;BB:17.7;AA:25.6;AAA:22.2
| 4.57
| 50.7
| 217
| 283
| 3.8
| 2
| 25
| 45
| 30
| true
| true
| false
| true
| 1.76
| 1.76
| 0.37
| null |
Hedge
|
iTraxx_XOVER: +84bps notional
| -2
| -18
|
DealerB
|
All2All
| 7
| 92
| -99
| -354
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 205
|
Reviewed by risk; hedges staggered
|
C09609
|
CR5591
|
2024-04-12
|
Recovery
| 162
| 462
| 5.1
| -0
| 1,536,856,304
|
Utilities:21.2;Industrials:14.2;Healthcare:23.2;Comm:20.1;Energy:12.1;Financials:9.2
|
US:68.5;EU:13.0;APAC:7.5;EMEA:9.4;LATAM:1.6
|
AAA:11.5;B:30.9;BB:21.6;AA:19.5;A:16.5
| 2.48
| 51.8
| 109
| 268
| 3.6
| 4
| 30
| 35
| 30
| false
| true
| true
| false
| 0.6
| 1.63
| 0.58
|
Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -20
| 28
|
DealerC
|
All2All
| 0
| 94
| 82
| 192
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 246
|
Escalate watchlist names
|
C09610
|
CR7349
|
2025-06-07
|
Calm
| 112
| 366
| 3.5
| 1.7
| 1,295,296,176
|
Utilities:12.7;Industrials:27.9;Tech:35.3;RealEstate:24.1
|
US:55.7;EU:20.5;APAC:11.3;EMEA:11.9;LATAM:0.6
|
B:9.4;BBB:15.8;AA:21.9;AAA:12.7;CCC:9.6;A:30.5
| 2.13
| 32.2
| 195
| 481
| 9.4
| 2
| 35
| 45
| 30
| true
| true
| false
| false
| 0.21
| 1.56
| 0.48
|
Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 15
| 8
|
ECN2
|
DealerAxed
| 1
| 97
| 240
| 164
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 120
|
Rotate into defensive sectors
|
C09611
|
CR5991
|
2025-05-20
|
Stress
| 190
| 720
| 5.1
| -0.4
| 146,516,050
|
Materials:27.7;Utilities:30.8;RealEstate:22.6;Financials:19.0
|
US:66.6;EU:15.0;APAC:9.5;EMEA:6.0;LATAM:3.0
|
BBB:22.8;AA:30.0;CCC:8.8;AAA:26.1;BB:3.0;B:9.3
| 5.46
| 64.9
| 192
| 551
| 7
| 2.5
| 35
| 55
| 35
| false
| true
| false
| false
| 1.92
| 1.06
| -0.16
|
Materials:EW;Healthcare:EW
|
Hedge
|
CDX_IG: +60bps notional
| 7
| 18
|
ECN2
|
Electronic
| 12
| 85
| 114
| -390
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 258
|
Defer adds pending macro print
|
C09612
|
CR2755
|
2024-07-06
|
Calm
| 114
| 283
| 3.5
| 3
| 1,683,038,192
|
Financials:35.3;Tech:19.6;Comm:13.4;RealEstate:31.6
|
US:68.2;EU:13.3;APAC:7.9;EMEA:7.8;LATAM:2.8
|
BBB:11.4;A:15.8;AA:11.1;BB:25.0;AAA:19.8;B:16.8
| 3.14
| 39.9
| 225
| 486
| 5.4
| 2.5
| 25
| 55
| 30
| true
| true
| true
| true
| 2.12
| 0.01
| 0.18
|
Comm:EW;Materials:EW
|
Hedge
|
Treasury_Futures: +60bps notional
| -33
| -19
|
ECN1
|
DealerAxed
| 6
| 93
| -22
| -128
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 114
|
Rotate into defensive sectors
|
C09613
|
CR0443
|
2025-02-17
|
Calm
| 108
| 294
| 3.3
| 2.1
| 2,176,242,693
|
RealEstate:20.4;Comm:20.4;Healthcare:28.0;Energy:31.2
|
US:65.7;EU:7.8;APAC:14.6;EMEA:8.8;LATAM:3.1
|
B:26.5;BBB:16.0;CCC:27.3;A:30.2
| 1.64
| 26.2
| 97
| 381
| 12
| 4
| 35
| 55
| 30
| false
| true
| true
| false
| 0.26
| 0.13
| 0.31
| null |
Hedge
|
iTraxx_XOVER: +192bps notional
| -5
| 23
|
DealerA
|
RFQ
| 0
| 92
| 358
| -373
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 252
|
Reviewed by risk; hedges staggered
|
C09614
|
CR2702
|
2025-03-20
|
Calm
| 85
| 394
| 4.2
| 2.7
| 2,565,368,769
|
Comm:17.1;Healthcare:43.2;Industrials:10.3;Financials:29.4
|
US:60.6;EU:13.7;APAC:9.5;EMEA:11.9;LATAM:4.3
|
AAA:34.9;BB:28.1;AA:22.6;BBB:14.4
| 3.62
| 55
| 80
| 173
| 9.9
| 4
| 25
| 45
| 30
| true
| true
| false
| false
| 0.29
| 1.5
| 0.15
| null |
Hedge
|
Treasury_Futures: +58bps notional
| 3
| 33
|
DealerA
|
All2All
| 0
| 97
| 174
| -334
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 115
|
Escalate watchlist names
|
C09615
|
CR6977
|
2025-11-02
|
Calm
| 103
| 339
| 4.1
| 3
| 2,544,913,268
|
Consumer:14.0;Utilities:35.1;Healthcare:17.4;Financials:15.9;Comm:17.6
|
US:68.5;EU:11.2;APAC:12.6;EMEA:4.0;LATAM:3.7
|
BBB:27.8;BB:23.8;B:21.1;CCC:14.6;A:12.9
| 3.63
| 20.5
| 232
| 359
| 14.5
| 2.5
| 25
| 45
| 20
| true
| true
| true
| true
| -0.44
| 0.51
| -0.35
|
Tech:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -28
| -23
|
ECN2
|
Electronic
| 5
| 90
| -14
| -136
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 157
|
Reviewed by risk; hedges staggered
|
C09616
|
CR2180
|
2025-09-25
|
Tightening
| 138
| 517
| 4.7
| 1.3
| 1,932,074,569
|
Consumer:21.5;Financials:18.7;Utilities:42.4;Energy:17.4
|
US:66.4;EU:15.1;APAC:8.1;EMEA:6.8;LATAM:3.6
|
AA:38.3;CCC:8.2;BBB:22.1;A:31.3
| 4.01
| 20.4
| 129
| 166
| 2.6
| 3
| 25
| 35
| 25
| true
| true
| false
| false
| -0.28
| 1.31
| 0.53
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -19
| 17
|
ECN2
|
RFQ
| 9
| 86
| 176
| -225
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 187
|
Rotate into defensive sectors
|
C09617
|
CR9700
|
2024-03-15
|
Recovery
| 104
| 595
| 5.2
| 1.5
| 1,085,627,037
|
Energy:26.3;Tech:29.6;RealEstate:26.4;Healthcare:17.7
|
US:63.8;EU:17.4;APAC:9.7;EMEA:8.6;LATAM:0.4
|
B:18.3;BB:7.1;AA:17.3;BBB:38.4;CCC:18.9
| 6.37
| 52
| 257
| 440
| 2.9
| 2.5
| 30
| 35
| 25
| false
| true
| true
| true
| 0.99
| -0.29
| -0.24
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -5
| 14
|
DealerA
|
Electronic
| 4
| 94
| -35
| -53
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 180
|
Reviewed by risk; hedges staggered
|
C09618
|
CR4805
|
2024-11-23
|
Stress
| 150
| 728
| 5.9
| -0.1
| 991,595,548
|
Industrials:28.6;Utilities:41.3;Comm:30.1
|
US:57.7;EU:17.0;APAC:12.1;EMEA:6.7;LATAM:6.6
|
B:14.3;AA:12.5;CCC:25.1;BBB:13.8;BB:24.9;A:9.4
| 5.4
| 40.6
| 305
| 655
| 20.5
| 4
| 30
| 45
| 25
| true
| true
| true
| true
| 2.1
| 1.37
| 0.5
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 4
| 37
|
ECN2
|
Electronic
| 0
| 91
| 177
| 123
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 143
|
Escalate watchlist names
|
C09619
|
CR0211
|
2024-04-03
|
Calm
| 111
| 401
| 4.1
| 2
| 2,270,472,101
|
Energy:12.8;Healthcare:34.6;Utilities:28.0;Industrials:24.6
|
US:77.4;EU:5.4;APAC:10.3;EMEA:5.7;LATAM:1.1
|
A:14.5;BB:9.9;CCC:29.6;AA:29.1;B:16.9
| 5.43
| 34
| 105
| 495
| 3.3
| 2.5
| 35
| 35
| 30
| false
| true
| true
| false
| 0.57
| 1.66
| -0.34
|
Consumer:EW;Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -60
| -3
|
ECN2
|
All2All
| 6
| 91
| 234
| 12
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 222
|
Rotate into defensive sectors
|
C09620
|
CR4678
|
2025-10-02
|
Calm
| 68
| 401
| 4.1
| 2.3
| 2,800,536,675
|
Consumer:21.5;Materials:18.9;Energy:20.1;Healthcare:39.5
|
US:70.7;EU:16.6;APAC:5.2;EMEA:6.6;LATAM:0.9
|
AAA:14.8;B:4.9;A:11.6;AA:27.9;BB:19.6;BBB:21.2
| 5.97
| 54.2
| 223
| 494
| 7.8
| 2
| 30
| 55
| 25
| true
| true
| false
| true
| 2.05
| -0.18
| 0.19
|
Consumer:EW;Energy:EW;Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -3
| -16
|
ECN1
|
All2All
| 12
| 89
| -50
| -78
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 259
|
Defer adds pending macro print
|
C09621
|
CR4585
|
2024-05-16
|
Stress
| 170
| 794
| 6.6
| -1.3
| 2,811,621,991
|
Energy:14.3;Materials:14.3;RealEstate:25.2;Financials:34.0;Tech:12.2
|
US:66.2;EU:16.4;APAC:12.8;EMEA:2.8;LATAM:1.9
|
A:19.8;BBB:8.5;AAA:17.7;AA:18.7;CCC:23.9;BB:11.3
| 1.55
| 59.7
| 245
| 317
| 16.7
| 3.5
| 30
| 55
| 25
| true
| true
| true
| true
| 2.23
| 0.44
| 0.37
| null |
Hedge
|
CDX_HY: +119bps notional
| 13
| 33
|
ECN1
|
DealerAxed
| 3
| 90
| -76
| -252
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 164
|
Reviewed by risk; hedges staggered
|
C09622
|
CR8405
|
2024-05-08
|
Recovery
| 171
| 525
| 5.8
| 0.2
| 985,994,901
|
RealEstate:20.6;Healthcare:53.5;Utilities:25.8
|
US:62.7;EU:7.9;APAC:13.8;EMEA:11.7;LATAM:3.9
|
AA:34.9;BBB:30.5;AAA:13.0;BB:10.0;CCC:11.6
| 2.67
| 60.6
| 112
| 323
| 11.3
| 2.5
| 25
| 35
| 30
| true
| true
| false
| false
| 1.28
| 0.35
| -0.17
|
Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 18
| -17
|
DealerC
|
All2All
| 8
| 91
| 455
| -245
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 155
|
Defer adds pending macro print
|
C09623
|
CR4125
|
2024-01-07
|
Stress
| 256
| 813
| 5.5
| -1.1
| 1,365,644,270
|
Comm:25.2;Materials:10.6;Consumer:26.9;Industrials:11.4;Energy:25.9
|
US:70.5;EU:11.4;APAC:7.6;EMEA:8.8;LATAM:1.7
|
CCC:40.4;AA:22.5;BBB:18.3;B:18.7
| 1.84
| 58.4
| 173
| 406
| 13.6
| 3
| 20
| 55
| 25
| true
| true
| true
| false
| 0.17
| 0.83
| 0.24
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -18
| -22
|
DealerA
|
Electronic
| 8
| 85
| 358
| -84
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 149
|
Rotate into defensive sectors
|
C09624
|
CR1384
|
2024-03-17
|
Calm
| 111
| 307
| 3.7
| 2
| 97,902,782
|
Comm:32.6;Industrials:28.7;Consumer:38.7
|
US:62.6;EU:10.8;APAC:14.7;EMEA:8.6;LATAM:3.2
|
BB:4.7;AAA:14.8;BBB:22.6;A:38.8;B:10.1;CCC:9.0
| 6.85
| 30.6
| 254
| 161
| 17.2
| 3.5
| 20
| 35
| 30
| true
| true
| false
| true
| 0.98
| -0.1
| 0.54
|
Consumer:EW
|
Hedge
|
iTraxx_XOVER: +186bps notional
| -14
| -23
|
DealerC
|
Electronic
| 8
| 96
| 292
| -264
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 99
|
Defer adds pending macro print
|
C09625
|
CR6782
|
2024-12-29
|
Calm
| 103
| 315
| 4.2
| 1.8
| 2,937,569,277
|
Industrials:19.0;Healthcare:19.5;Comm:22.3;Consumer:10.2;Energy:29.0
|
US:69.2;EU:6.9;APAC:10.6;EMEA:11.9;LATAM:1.3
|
CCC:28.2;BBB:19.2;AAA:37.8;AA:14.8
| 7.24
| 60.6
| 225
| 158
| 7.8
| 3.5
| 35
| 45
| 20
| false
| true
| true
| true
| 2.27
| 1.23
| -0.3
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -2
| 20
|
DealerA
|
DealerAxed
| 2
| 98
| 124
| -218
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 108
|
Reviewed by risk; hedges staggered
|
C09626
|
CR4862
|
2025-01-13
|
Tightening
| 100
| 394
| 5
| 1.2
| 961,603,748
|
Comm:6.2;Energy:25.4;Financials:27.9;Tech:14.2;Materials:16.6;RealEstate:9.7
|
US:70.8;EU:15.5;APAC:6.0;EMEA:6.5;LATAM:1.1
|
B:17.4;CCC:15.3;AAA:27.6;A:39.8
| 0.75
| 61.9
| 185
| 175
| 6.6
| 3
| 30
| 45
| 30
| false
| true
| true
| false
| 0.21
| 1.78
| -0.05
|
Healthcare:EW;Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -19
| 11
|
ECN1
|
Electronic
| 3
| 100
| 389
| -423
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 175
|
Reviewed by risk; hedges staggered
|
C09627
|
CR2392
|
2024-11-19
|
Tightening
| 119
| 479
| 4.9
| 0.7
| 825,903,582
|
Energy:34.2;Tech:34.7;Financials:31.1
|
US:66.4;EU:15.7;APAC:7.3;EMEA:8.9;LATAM:1.7
|
BBB:20.1;CCC:11.5;AAA:12.0;AA:22.1;A:34.3
| 4.49
| 57.6
| 196
| 304
| 9.4
| 3.5
| 35
| 55
| 30
| false
| true
| false
| false
| 1.55
| 1.25
| 0.48
|
Materials:EW;Energy:EW
|
Hedge
|
Options_Payer: +113bps notional
| -49
| 27
|
ECN2
|
All2All
| 3
| 90
| 299
| -310
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 130
|
Rotate into defensive sectors
|
C09628
|
CR0406
|
2024-07-24
|
Tightening
| 132
| 492
| 5.2
| 1.6
| 113,464,537
|
Tech:30.9;Consumer:41.8;Industrials:27.3
|
US:71.2;EU:4.9;APAC:10.5;EMEA:9.4;LATAM:4.0
|
BB:23.9;B:24.3;AAA:23.4;BBB:28.5
| 3.26
| 41.9
| 206
| 260
| 14.5
| 3.5
| 25
| 35
| 25
| true
| true
| true
| true
| 1.64
| 1.3
| 0.51
|
Tech:EW;Consumer:EW
|
Hedge
|
iTraxx_XOVER: +122bps notional
| 2
| 24
|
ECN1
|
All2All
| 8
| 89
| -79
| -17
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 142
|
Rotate into defensive sectors
|
C09629
|
CR0942
|
2024-09-18
|
Tightening
| 148
| 352
| 4.3
| 1
| 2,281,466,597
|
Utilities:41.7;Energy:23.5;RealEstate:34.8
|
US:61.4;EU:15.8;APAC:11.3;EMEA:8.2;LATAM:3.4
|
BB:19.4;AAA:13.9;B:31.5;A:6.1;AA:13.0;BBB:16.0
| 1.11
| 38.8
| 152
| 271
| 13
| 3
| 25
| 45
| 25
| true
| true
| true
| false
| -0.15
| -0.26
| 0.07
| null |
Hedge
|
SingleName_CDS: +77bps notional
| 0
| 37
|
DealerB
|
All2All
| 5
| 99
| 43
| -296
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 220
|
Rotate into defensive sectors
|
C09630
|
CR3744
|
2025-02-15
|
Stress
| 147
| 619
| 5.9
| -1.6
| 1,123,803,697
|
Industrials:23.7;Consumer:58.7;Materials:17.6
|
US:65.8;EU:8.3;APAC:12.0;EMEA:7.4;LATAM:6.4
|
A:30.6;AAA:29.0;B:7.1;AA:33.3
| 2.03
| 54.6
| 323
| 524
| 14.8
| 4
| 35
| 55
| 20
| true
| true
| false
| true
| 0.23
| 0.72
| 0.16
| null |
Hedge
|
iTraxx_XOVER: +187bps notional
| -40
| -3
|
DealerA
|
Electronic
| 3
| 90
| 339
| -355
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 136
|
Reviewed by risk; hedges staggered
|
C09631
|
CR6078
|
2025-07-07
|
Tightening
| 123
| 457
| 5.2
| 0.9
| 2,018,427,602
|
Healthcare:9.6;Utilities:10.3;Tech:25.9;Energy:20.4;Materials:14.0;Financials:19.8
|
US:58.7;EU:16.6;APAC:13.2;EMEA:10.4;LATAM:1.2
|
AAA:8.6;BBB:28.5;AA:29.3;BB:8.3;A:21.2;B:4.1
| 5.51
| 41.2
| 161
| 198
| 12.3
| 4
| 30
| 55
| 35
| false
| true
| false
| false
| 1.99
| 0.04
| 0.35
|
Healthcare:EW;Comm:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -23
| -9
|
DealerC
|
All2All
| 4
| 98
| -3
| -407
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 174
|
Rotate into defensive sectors
|
C09632
|
CR4106
|
2024-01-24
|
Tightening
| 101
| 457
| 4
| 0.7
| 2,924,214,092
|
Industrials:30.8;Healthcare:33.6;RealEstate:8.6;Consumer:8.3;Utilities:18.7
|
US:71.5;EU:7.0;APAC:13.8;EMEA:7.5;LATAM:0.3
|
BB:7.0;B:29.5;BBB:24.3;AA:12.4;AAA:26.8
| 7.21
| 37
| 280
| 280
| 12.7
| 3
| 35
| 45
| 35
| false
| true
| true
| true
| 1.04
| 0.27
| 0.27
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -47
| -11
|
ECN2
|
All2All
| 2
| 91
| 257
| -456
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 246
|
Defer adds pending macro print
|
C09633
|
CR8430
|
2024-10-05
|
Recovery
| 101
| 544
| 4.9
| -0.3
| 2,575,194,246
|
Tech:15.2;Healthcare:22.7;Financials:16.1;Consumer:16.1;RealEstate:15.2;Materials:14.6
|
US:56.0;EU:9.7;APAC:15.1;EMEA:12.3;LATAM:6.9
|
BB:16.9;B:29.6;A:20.6;AAA:18.9;CCC:13.9
| 6.6
| 27.8
| 211
| 299
| 13.4
| 4
| 30
| 35
| 30
| false
| true
| true
| true
| 0.86
| -0.26
| -0.18
|
Comm:EW
|
Hedge
|
SingleName_CDS: +133bps notional
| 9
| 11
|
ECN1
|
Electronic
| 1
| 96
| 377
| -2
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 130
|
Defer adds pending macro print
|
C09634
|
CR0892
|
2024-08-27
|
Tightening
| 139
| 469
| 4.6
| 1
| 903,263,595
|
Financials:34.8;Consumer:10.1;RealEstate:19.7;Utilities:35.4
|
US:75.8;EU:11.3;APAC:7.2;EMEA:5.4;LATAM:0.4
|
AA:32.3;CCC:16.6;A:34.6;AAA:16.5
| 4.81
| 62.6
| 264
| 156
| 9.9
| 2
| 25
| 55
| 20
| true
| true
| false
| true
| 0.98
| 0.19
| 0.55
| null |
Hedge
|
iTraxx_MAIN: +142bps notional
| 3
| 42
|
ECN2
|
All2All
| 5
| 85
| -104
| -77
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 223
|
Reviewed by risk; hedges staggered
|
C09635
|
CR4772
|
2025-03-22
|
Calm
| 70
| 351
| 4.3
| 1.8
| 95,792,378
|
Comm:25.5;Financials:21.9;RealEstate:16.2;Utilities:12.1;Tech:24.2
|
US:63.3;EU:15.7;APAC:11.5;EMEA:6.8;LATAM:2.8
|
CCC:6.5;BBB:44.9;AA:30.1;B:10.6;BB:7.9
| 4.07
| 51
| 262
| 396
| 10.2
| 3.5
| 25
| 55
| 25
| true
| true
| false
| true
| 2.37
| 1.21
| 0.22
|
Energy:EW
|
Hedge
|
CDX_HY: +66bps notional
| -60
| 26
|
DealerA
|
All2All
| 9
| 86
| 10
| -92
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 152
|
Defer adds pending macro print
|
C09636
|
CR8294
|
2025-01-06
|
Calm
| 70
| 408
| 4.3
| 2.8
| 2,520,644,561
|
Consumer:10.9;Comm:16.9;Materials:6.3;Industrials:28.2;Healthcare:26.5;Utilities:11.2
|
US:61.4;EU:9.1;APAC:14.7;EMEA:7.6;LATAM:7.1
|
BBB:18.4;BB:15.3;AAA:15.0;A:13.7;B:19.0;AA:18.5
| 4.23
| 32
| 272
| 421
| 15.9
| 2
| 20
| 35
| 30
| true
| true
| true
| true
| -0.13
| 1.33
| 0.21
|
Financials:EW;Industrials:EW;RealEstate:EW
|
Hedge
|
iTraxx_MAIN: +128bps notional
| -22
| 16
|
ECN2
|
Electronic
| 7
| 95
| -173
| 92
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 159
|
Rotate into defensive sectors
|
C09637
|
CR6506
|
2025-07-31
|
Recovery
| 119
| 450
| 5
| 0.4
| 2,160,660,081
|
Materials:21.3;Energy:12.7;Healthcare:24.4;RealEstate:10.7;Utilities:16.4;Financials:14.6
|
US:68.9;EU:13.9;APAC:5.4;EMEA:8.6;LATAM:3.3
|
BBB:13.8;AAA:17.0;A:24.4;CCC:6.8;AA:30.7;BB:7.3
| 0.65
| 42.4
| 83
| 354
| 3.3
| 3.5
| 25
| 45
| 35
| false
| true
| false
| false
| 2.1
| 0.69
| 0.03
|
Healthcare:EW
|
Hedge
|
iTraxx_MAIN: +156bps notional
| -26
| 25
|
DealerA
|
DealerAxed
| 11
| 93
| 225
| -343
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 237
|
Defer adds pending macro print
|
C09638
|
CR9557
|
2024-09-19
|
Calm
| 70
| 324
| 3.5
| 2.6
| 800,932,649
|
Financials:25.1;Tech:33.3;Materials:41.7
|
US:66.7;EU:7.1;APAC:14.8;EMEA:10.7;LATAM:0.8
|
BB:16.1;CCC:12.8;A:13.1;AAA:22.3;AA:35.7
| 5.06
| 41.8
| 231
| 487
| 16.1
| 4
| 30
| 45
| 35
| true
| true
| false
| true
| 1.34
| 1.2
| 0.12
|
Tech:EW;Materials:EW
|
Hedge
|
iTraxx_MAIN: +140bps notional
| -25
| 22
|
DealerC
|
RFQ
| 12
| 99
| 35
| 164
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 201
|
Escalate watchlist names
|
C09639
|
CR2206
|
2024-09-27
|
Calm
| 73
| 408
| 3.7
| 1.5
| 454,546,402
|
Healthcare:39.2;Consumer:23.9;Financials:36.9
|
US:68.7;EU:8.4;APAC:8.1;EMEA:7.4;LATAM:7.3
|
AA:27.2;A:13.8;BBB:9.7;AAA:8.7;BB:16.0;B:24.7
| 2.36
| 30.7
| 116
| 205
| 2.5
| 2.5
| 30
| 45
| 25
| true
| true
| true
| false
| 1.02
| 0.19
| 0.36
| null |
Hedge
|
CDX_HY: +62bps notional
| -27
| -6
|
DealerB
|
RFQ
| 8
| 98
| 31
| -75
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 197
|
Reviewed by risk; hedges staggered
|
C09640
|
CR4042
|
2024-12-25
|
Stress
| 204
| 772
| 6.3
| -0.9
| 215,438,654
|
Industrials:31.9;Financials:12.3;Materials:30.7;Energy:25.2
|
US:69.3;EU:5.1;APAC:9.8;EMEA:10.4;LATAM:5.5
|
BB:11.0;B:21.0;AAA:13.7;CCC:19.4;A:21.0;AA:13.9
| 4.4
| 40.8
| 317
| 619
| 6.9
| 3
| 30
| 35
| 35
| true
| true
| true
| true
| 0.7
| 0.53
| 0.34
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 17
| -21
|
DealerC
|
All2All
| 4
| 93
| 49
| 52
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 242
|
Escalate watchlist names
|
C09641
|
CR4370
|
2025-07-17
|
Tightening
| 143
| 447
| 4.3
| 1.2
| 2,811,758,497
|
Financials:13.6;Comm:40.8;RealEstate:30.7;Energy:15.0
|
US:56.3;EU:18.2;APAC:12.0;EMEA:6.2;LATAM:7.3
|
CCC:7.5;BB:14.6;B:12.4;A:65.5
| 3.15
| 40.3
| 185
| 299
| 9.5
| 3.5
| 20
| 35
| 30
| true
| true
| true
| false
| 0.11
| -0
| 0.05
|
Energy:EW
|
Hedge
|
iTraxx_XOVER: +61bps notional
| -40
| 16
|
DealerB
|
DealerAxed
| 10
| 92
| 268
| -157
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 193
|
Escalate watchlist names
|
C09642
|
CR4652
|
2025-10-10
|
Tightening
| 154
| 359
| 5
| 1.9
| 1,163,492,381
|
Comm:22.2;Healthcare:23.1;Materials:22.1;Utilities:21.5;Industrials:5.1;Consumer:6.1
|
US:66.9;EU:17.3;APAC:9.1;EMEA:5.9;LATAM:0.7
|
BBB:23.8;CCC:19.6;BB:30.9;A:8.7;AA:17.0
| 7.05
| 42.6
| 169
| 480
| 14
| 3.5
| 35
| 45
| 35
| false
| true
| true
| false
| 0.62
| 1.44
| -0.04
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -20
| 12
|
DealerC
|
RFQ
| 9
| 95
| -181
| -51
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 229
|
Defer adds pending macro print
|
C09643
|
CR6094
|
2025-04-25
|
Recovery
| 119
| 598
| 5.2
| 0.5
| 168,143,180
|
Comm:35.2;Industrials:23.9;Consumer:28.6;Energy:12.3
|
US:66.0;EU:11.9;APAC:8.4;EMEA:4.9;LATAM:8.8
|
AA:23.3;B:25.6;BBB:20.9;AAA:17.9;BB:12.3
| 2.29
| 56.2
| 240
| 271
| 2.2
| 2
| 35
| 35
| 30
| true
| true
| true
| true
| 0.92
| 1.31
| -0.38
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 14
| -7
|
DealerA
|
RFQ
| 7
| 96
| 326
| 81
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 103
|
Defer adds pending macro print
|
C09644
|
CR8406
|
2024-05-29
|
Recovery
| 120
| 449
| 4.6
| 0.5
| 2,785,846,533
|
Comm:8.0;Materials:22.7;Energy:14.9;Utilities:13.5;RealEstate:20.0;Industrials:20.9
|
US:62.5;EU:15.7;APAC:10.3;EMEA:6.0;LATAM:5.6
|
A:19.7;B:9.2;AA:25.8;BBB:25.7;BB:5.2;CCC:14.5
| 4.4
| 32.8
| 269
| 262
| 3
| 3
| 30
| 35
| 25
| false
| true
| true
| true
| 0.74
| 1.57
| 0.48
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -1
| -6
|
ECN2
|
DealerAxed
| 11
| 100
| 246
| -445
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 251
|
Tighten HY exposure bands
|
C09645
|
CR6560
|
2024-10-20
|
Tightening
| 115
| 443
| 4.5
| 1.3
| 1,245,227,725
|
Materials:9.0;Utilities:26.8;Healthcare:22.3;Comm:41.9
|
US:62.1;EU:16.3;APAC:12.2;EMEA:3.4;LATAM:6.0
|
AAA:28.0;BBB:20.2;CCC:11.7;BB:40.1
| 0.64
| 58.9
| 88
| 445
| 9.9
| 2.5
| 35
| 55
| 25
| true
| true
| true
| false
| 0.66
| 0.83
| -0.24
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 9
| 4
|
ECN1
|
Electronic
| 3
| 100
| -22
| -291
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 256
|
Escalate watchlist names
|
C09646
|
CR4202
|
2025-04-09
|
Tightening
| 104
| 478
| 4.5
| 0.6
| 2,699,434,574
|
Energy:41.2;Tech:20.9;Comm:24.4;Financials:13.5
|
US:64.0;EU:9.7;APAC:10.5;EMEA:11.0;LATAM:4.8
|
CCC:16.3;AA:57.6;BB:19.3;B:6.8
| 2.58
| 40.1
| 279
| 223
| 7.9
| 2.5
| 25
| 35
| 35
| true
| true
| true
| true
| 0.64
| 0.49
| -0.15
|
Industrials:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 13
| -14
|
DealerB
|
DealerAxed
| 7
| 98
| 199
| -151
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 136
|
Defer adds pending macro print
|
C09647
|
CR5138
|
2025-12-20
|
Tightening
| 115
| 441
| 4.3
| 1.8
| 856,138,765
|
Healthcare:23.8;Tech:24.8;Financials:20.3;RealEstate:31.1
|
US:69.1;EU:13.9;APAC:8.9;EMEA:6.1;LATAM:2.0
|
AA:42.4;B:19.6;CCC:9.7;AAA:28.3
| 7.16
| 64.7
| 110
| 216
| 11.7
| 4
| 20
| 55
| 30
| true
| true
| false
| false
| 1.37
| 1.23
| -0.24
|
Utilities:EW
|
Hedge
|
Treasury_Futures: +112bps notional
| -1
| 18
|
DealerC
|
RFQ
| 11
| 98
| 320
| 24
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 136
|
Escalate watchlist names
|
C09648
|
CR2141
|
2025-06-03
|
Tightening
| 101
| 367
| 3.8
| 1.7
| 2,580,764,517
|
Healthcare:24.3;Financials:19.9;Materials:41.9;Industrials:13.9
|
US:68.2;EU:12.2;APAC:8.4;EMEA:6.3;LATAM:4.9
|
AAA:19.9;BBB:16.1;A:24.1;BB:16.9;B:15.5;AA:7.5
| 3.46
| 42
| 120
| 250
| 12.6
| 2.5
| 30
| 45
| 35
| true
| true
| false
| false
| 2.03
| -0.3
| -0.25
|
RealEstate:EW;Industrials:EW
|
Hedge
|
Options_Payer: +123bps notional
| -9
| 27
|
DealerB
|
All2All
| 2
| 87
| -136
| -255
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 90
|
Escalate watchlist names
|
C09649
|
CR3973
|
2024-09-26
|
Calm
| 119
| 374
| 3.9
| 2.8
| 1,950,987,920
|
Financials:22.2;Industrials:23.5;Healthcare:31.3;Comm:22.9
|
US:59.8;EU:18.6;APAC:6.3;EMEA:7.8;LATAM:7.4
|
CCC:29.6;AAA:14.0;BB:28.1;AA:28.2
| 2.62
| 20.1
| 110
| 225
| 9
| 2.5
| 30
| 45
| 25
| true
| true
| true
| false
| 1.61
| 0.52
| 0.26
|
Healthcare:EW;Comm:EW;Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 2
| 45
|
ECN1
|
RFQ
| 6
| 95
| -133
| -358
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 236
|
Defer adds pending macro print
|
C09650
|
CR5113
|
2024-02-02
|
Tightening
| 102
| 514
| 3.9
| 1.4
| 2,488,953,447
|
Healthcare:20.4;Energy:11.5;Tech:24.3;Materials:8.6;Industrials:25.7;Consumer:9.6
|
US:69.1;EU:18.6;APAC:5.2;EMEA:5.9;LATAM:1.2
|
AAA:20.0;BBB:27.7;A:12.4;B:18.5;CCC:9.9;BB:11.6
| 7.47
| 36.6
| 109
| 129
| 17.5
| 4
| 30
| 35
| 35
| false
| true
| true
| false
| 0.06
| 0.8
| 0.12
| null |
Hedge
|
CDX_IG: +56bps notional
| 19
| 25
|
DealerC
|
DealerAxed
| 11
| 94
| -138
| -205
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 232
|
Tighten HY exposure bands
|
C09651
|
CR3533
|
2024-01-11
|
Recovery
| 136
| 478
| 5.5
| 0.6
| 2,465,285,035
|
Healthcare:15.3;Utilities:34.3;Industrials:35.4;Materials:15.1
|
US:63.0;EU:17.1;APAC:7.5;EMEA:8.6;LATAM:3.9
|
BBB:18.2;AAA:20.1;A:18.7;BB:12.7;AA:20.7;CCC:9.6
| 7.35
| 28.5
| 271
| 128
| 11
| 2.5
| 20
| 55
| 30
| true
| true
| false
| true
| 0.55
| 1.46
| 0.48
|
Utilities:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -34
| 23
|
DealerC
|
Electronic
| 12
| 97
| 84
| -6
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 259
|
Tighten HY exposure bands
|
C09652
|
CR8476
|
2024-09-14
|
Tightening
| 152
| 474
| 5.2
| 0.7
| 823,603,118
|
Materials:39.6;Healthcare:21.1;Financials:39.3
|
US:63.0;EU:17.2;APAC:8.6;EMEA:9.0;LATAM:2.2
|
CCC:7.6;BBB:18.1;A:12.9;B:24.2;AA:19.5;AAA:17.6
| 7.23
| 48.4
| 240
| 216
| 5.9
| 2.5
| 25
| 35
| 35
| true
| true
| false
| true
| 0.65
| 1.62
| -0.29
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -34
| 36
|
ECN2
|
Electronic
| 10
| 99
| -25
| -175
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 143
|
Reviewed by risk; hedges staggered
|
C09653
|
CR6101
|
2024-02-24
|
Recovery
| 104
| 614
| 5.8
| 1.1
| 601,973,492
|
Materials:32.6;RealEstate:32.9;Industrials:34.5
|
US:57.4;EU:15.6;APAC:11.9;EMEA:9.3;LATAM:5.8
|
BBB:13.2;A:19.9;AAA:10.5;BB:10.8;CCC:27.3;AA:18.3
| 1.53
| 47.7
| 198
| 182
| 2.5
| 3.5
| 30
| 35
| 25
| true
| true
| true
| false
| 0.1
| 0.24
| -0.33
|
RealEstate:EW;Materials:EW
|
Hedge
|
CDX_HY: +171bps notional
| -1
| 28
|
ECN2
|
Electronic
| 1
| 99
| 2
| -108
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 245
|
Defer adds pending macro print
|
C09654
|
CR6092
|
2024-08-19
|
Stress
| 223
| 849
| 7.4
| -0.6
| 965,926,681
|
Consumer:21.9;RealEstate:43.7;Financials:34.4
|
US:69.6;EU:13.5;APAC:7.5;EMEA:4.5;LATAM:4.9
|
AA:25.2;B:5.3;CCC:5.9;AAA:32.9;A:30.7
| 6.32
| 20.4
| 202
| 319
| 6.9
| 3
| 35
| 55
| 25
| true
| true
| false
| true
| -0.41
| -0.28
| -0.13
|
Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 11
| 10
|
ECN1
|
Electronic
| 9
| 99
| -115
| -343
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 248
|
Reviewed by risk; hedges staggered
|
C09655
|
CR9586
|
2024-05-27
|
Stress
| 199
| 847
| 7.5
| -1.2
| 466,157,078
|
Industrials:8.7;Healthcare:23.8;Financials:31.0;Consumer:36.5
|
US:63.1;EU:16.7;APAC:13.0;EMEA:3.2;LATAM:3.9
|
BB:15.8;AAA:21.0;BBB:37.9;A:25.3
| 7.19
| 32.2
| 252
| 311
| 9.9
| 3.5
| 20
| 45
| 20
| true
| true
| false
| true
| 2.08
| 1.38
| 0.47
|
RealEstate:EW
|
Hedge
|
Treasury_Futures: +197bps notional
| 17
| 10
|
DealerA
|
DealerAxed
| 7
| 91
| -95
| -51
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 255
|
Escalate watchlist names
|
C09656
|
CR8118
|
2025-03-07
|
Tightening
| 108
| 371
| 5
| 1.4
| 2,142,093,406
|
Tech:32.0;RealEstate:34.5;Industrials:33.5
|
US:63.7;EU:13.4;APAC:10.8;EMEA:8.6;LATAM:3.5
|
BB:5.6;A:17.4;B:8.0;BBB:29.7;AAA:31.5;CCC:7.8
| 4.17
| 50.5
| 194
| 230
| 8
| 2.5
| 25
| 35
| 20
| true
| true
| true
| false
| 1.03
| 1.11
| 0.26
|
Utilities:EW
|
Hedge
|
iTraxx_XOVER: +134bps notional
| -1
| 21
|
ECN1
|
DealerAxed
| 9
| 86
| 199
| -187
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 229
|
Defer adds pending macro print
|
C09657
|
CR3547
|
2025-04-15
|
Recovery
| 153
| 629
| 6.5
| 0.9
| 1,272,061,565
|
Consumer:16.5;Comm:6.6;Industrials:19.1;Energy:14.7;RealEstate:19.4;Financials:23.8
|
US:69.5;EU:8.2;APAC:10.5;EMEA:6.6;LATAM:5.2
|
BBB:22.8;AA:25.2;AAA:26.3;CCC:14.7;B:11.0
| 4.08
| 55.3
| 236
| 444
| 16.6
| 3
| 30
| 35
| 20
| false
| true
| true
| true
| 2.1
| 1.34
| 0.25
|
Healthcare:EW
|
Hedge
|
iTraxx_XOVER: +172bps notional
| -25
| 14
|
DealerB
|
All2All
| 1
| 88
| 265
| 65
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 213
|
Defer adds pending macro print
|
C09658
|
CR8093
|
2025-08-21
|
Stress
| 152
| 698
| 7.5
| -0.5
| 2,350,573,399
|
Utilities:21.0;Consumer:17.2;Materials:25.8;Tech:23.8;Industrials:12.2
|
US:61.7;EU:16.8;APAC:7.1;EMEA:5.5;LATAM:8.8
|
AA:16.5;CCC:23.9;AAA:30.3;A:29.3
| 3.34
| 34.5
| 271
| 640
| 6.9
| 3.5
| 25
| 35
| 35
| true
| true
| false
| true
| 0.8
| -0.16
| -0.17
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -39
| 45
|
DealerB
|
All2All
| 1
| 86
| 46
| 126
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 156
|
Defer adds pending macro print
|
C09659
|
CR8423
|
2025-01-17
|
Calm
| 103
| 387
| 4
| 2.8
| 905,344,692
|
Materials:26.5;Consumer:29.6;Healthcare:24.2;RealEstate:19.6
|
US:66.3;EU:7.5;APAC:15.2;EMEA:6.0;LATAM:4.9
|
AA:22.9;A:21.1;BB:27.9;BBB:28.1
| 0.48
| 60.5
| 125
| 236
| 9.8
| 2.5
| 35
| 35
| 20
| false
| true
| true
| false
| 2.42
| 0.6
| 0.03
|
Healthcare:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -19
| -13
|
DealerB
|
DealerAxed
| 0
| 87
| 366
| 73
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 200
|
Rotate into defensive sectors
|
C09660
|
CR4216
|
2024-10-25
|
Recovery
| 134
| 475
| 5.7
| 1.2
| 294,984,993
|
Energy:55.7;Utilities:17.0;RealEstate:27.3
|
US:60.5;EU:15.5;APAC:13.3;EMEA:5.9;LATAM:4.8
|
BB:25.6;AA:13.4;A:11.9;CCC:7.2;AAA:22.0;BBB:19.9
| 1.15
| 42.9
| 210
| 470
| 6.1
| 4
| 30
| 35
| 35
| true
| true
| false
| true
| 1.58
| 1.31
| -0.11
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -2
| 4
|
ECN1
|
RFQ
| 1
| 92
| 137
| -414
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 207
|
Reviewed by risk; hedges staggered
|
C09661
|
CR6307
|
2024-01-29
|
Calm
| 111
| 324
| 3.9
| 1.6
| 1,696,817,322
|
Comm:10.5;Consumer:9.4;Industrials:37.4;Materials:17.5;Energy:25.2
|
US:65.0;EU:9.3;APAC:10.2;EMEA:8.3;LATAM:7.2
|
CCC:35.7;AA:17.8;B:27.1;A:19.4
| 3.72
| 21.4
| 254
| 161
| 7.8
| 3.5
| 35
| 45
| 30
| true
| true
| true
| true
| 1.84
| 0.86
| -0.05
|
Healthcare:EW;Tech:EW
|
Hedge
|
Options_Payer: +69bps notional
| -56
| 44
|
ECN1
|
DealerAxed
| 2
| 93
| 278
| -154
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 250
|
Tighten HY exposure bands
|
C09662
|
CR7749
|
2025-04-11
|
Recovery
| 150
| 618
| 6.1
| -0.4
| 2,257,880,020
|
RealEstate:34.4;Healthcare:31.5;Comm:8.2;Utilities:25.8
|
US:65.8;EU:10.8;APAC:10.5;EMEA:5.6;LATAM:7.4
|
BB:18.5;AAA:17.9;AA:15.6;B:29.3;A:18.7
| 3.03
| 29.8
| 196
| 214
| 2
| 2.5
| 35
| 55
| 35
| false
| true
| true
| false
| 0.77
| 1.39
| 0.17
|
RealEstate:EW
|
Hedge
|
Treasury_Futures: +111bps notional
| 17
| 19
|
ECN2
|
DealerAxed
| 1
| 91
| 192
| -153
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 137
|
Defer adds pending macro print
|
C09663
|
CR2190
|
2025-05-14
|
Calm
| 113
| 332
| 4.5
| 1.7
| 1,730,874,604
|
Comm:16.0;Tech:13.6;RealEstate:23.6;Industrials:26.3;Financials:20.5
|
US:68.4;EU:11.0;APAC:10.6;EMEA:5.5;LATAM:4.5
|
CCC:20.5;BBB:12.2;AA:28.7;AAA:25.2;A:13.5
| 4.22
| 35.9
| 90
| 328
| 7.1
| 3.5
| 20
| 55
| 30
| true
| true
| false
| false
| 1.92
| 0.37
| -0.18
| null |
Hedge
|
iTraxx_MAIN: +97bps notional
| -45
| 35
|
ECN2
|
DealerAxed
| 0
| 99
| 173
| -385
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 115
|
Rotate into defensive sectors
|
C09664
|
CR7214
|
2024-09-18
|
Stress
| 259
| 719
| 6
| -1
| 2,732,317,078
|
Healthcare:12.0;Industrials:19.1;RealEstate:22.7;Comm:8.3;Materials:16.0;Financials:21.9
|
US:65.8;EU:9.0;APAC:13.4;EMEA:8.9;LATAM:2.8
|
AA:19.5;BB:23.7;BBB:19.1;AAA:13.2;B:24.6
| 4.83
| 35.4
| 268
| 345
| 13.4
| 2
| 25
| 35
| 25
| false
| true
| true
| true
| -0.13
| -0.01
| -0.04
|
Tech:EW
|
Hedge
|
SingleName_CDS: +149bps notional
| 17
| 38
|
DealerC
|
All2All
| 6
| 90
| -169
| -391
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 250
|
Tighten HY exposure bands
|
C09665
|
CR0920
|
2024-11-16
|
Recovery
| 174
| 477
| 6
| 0.1
| 348,506,315
|
Utilities:11.2;Financials:29.5;Comm:32.1;RealEstate:27.1
|
US:58.1;EU:11.3;APAC:14.1;EMEA:10.7;LATAM:5.8
|
B:20.0;A:9.9;CCC:26.8;BB:18.7;BBB:18.3;AA:6.2
| 5.05
| 45
| 172
| 453
| 16.2
| 3
| 30
| 55
| 30
| true
| true
| true
| false
| 1.43
| 0.84
| 0.58
|
Energy:EW
|
Hedge
|
Options_Payer: +168bps notional
| -4
| -10
|
ECN2
|
Electronic
| 0
| 95
| 210
| -61
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 243
|
Escalate watchlist names
|
C09666
|
CR8227
|
2024-02-03
|
Tightening
| 111
| 489
| 3.8
| 1
| 812,115,495
|
Financials:6.7;RealEstate:21.6;Industrials:15.5;Energy:15.5;Comm:11.8;Consumer:28.9
|
US:53.8;EU:17.8;APAC:14.6;EMEA:9.0;LATAM:4.9
|
AA:15.8;CCC:38.7;BB:17.5;A:14.2;BBB:13.9
| 3.13
| 29.3
| 109
| 378
| 12.9
| 3
| 35
| 55
| 25
| false
| false
| true
| false
| 0.61
| 0.86
| 0.21
| null |
Hedge
|
iTraxx_XOVER: +85bps notional
| -43
| 25
|
DealerA
|
DealerAxed
| 0
| 94
| 128
| -291
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 153
|
Escalate watchlist names
|
C09667
|
CR2887
|
2025-03-04
|
Calm
| 102
| 334
| 3.2
| 2.5
| 2,578,358,087
|
Comm:27.8;Utilities:33.6;Tech:18.6;Financials:20.0
|
US:72.1;EU:7.9;APAC:7.6;EMEA:5.2;LATAM:7.1
|
CCC:43.2;AAA:10.0;AA:19.0;BBB:7.0;A:20.9
| 3.23
| 27.2
| 263
| 475
| 9.3
| 3
| 25
| 35
| 25
| true
| true
| true
| true
| 0.53
| 0.67
| -0.3
|
RealEstate:EW;Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -32
| 20
|
ECN2
|
DealerAxed
| 6
| 100
| 76
| -432
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 90
|
Escalate watchlist names
|
C09668
|
CR5737
|
2024-04-25
|
Calm
| 101
| 345
| 4.4
| 2.5
| 881,404,998
|
RealEstate:13.6;Energy:8.2;Utilities:16.3;Industrials:31.6;Consumer:12.4;Tech:17.9
|
US:69.0;EU:10.1;APAC:12.6;EMEA:4.5;LATAM:3.8
|
A:19.0;BB:7.2;BBB:9.3;AA:27.7;CCC:20.1;AAA:16.7
| 5.67
| 32
| 272
| 172
| 9.4
| 2.5
| 30
| 45
| 25
| true
| true
| true
| true
| 1.12
| 0.46
| 0.2
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -33
| 6
|
DealerC
|
All2All
| 11
| 85
| 318
| -4
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 194
|
Escalate watchlist names
|
C09669
|
CR9432
|
2025-10-25
|
Recovery
| 100
| 519
| 5.1
| 1.8
| 2,717,658,443
|
Tech:15.5;Healthcare:14.5;Comm:23.1;Materials:23.9;Financials:23.0
|
US:69.8;EU:8.5;APAC:6.1;EMEA:9.7;LATAM:5.8
|
B:44.9;AAA:9.3;AA:24.4;A:21.4
| 3.84
| 20.7
| 97
| 387
| 10.7
| 2.5
| 30
| 55
| 30
| false
| true
| true
| false
| 1.89
| 0.98
| 0.14
|
RealEstate:EW;Consumer:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -37
| 13
|
DealerB
|
Electronic
| 8
| 92
| 400
| -147
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 106
|
Reviewed by risk; hedges staggered
|
C09670
|
CR1745
|
2024-09-18
|
Calm
| 116
| 408
| 3.8
| 2.4
| 1,162,296,379
|
RealEstate:14.7;Industrials:15.4;Materials:13.4;Energy:18.6;Financials:18.6;Comm:19.3
|
US:65.8;EU:6.6;APAC:12.9;EMEA:9.1;LATAM:5.5
|
AA:40.1;A:14.5;AAA:18.4;BBB:27.0
| 6.94
| 61.4
| 217
| 369
| 17.5
| 3.5
| 30
| 35
| 25
| false
| true
| false
| true
| 1.76
| 1.18
| -0.1
|
Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -4
| 6
|
DealerA
|
All2All
| 12
| 92
| 256
| -83
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 191
|
Escalate watchlist names
|
C09671
|
CR6576
|
2024-07-23
|
Stress
| 248
| 811
| 6.8
| -0.9
| 1,331,614,493
|
Materials:23.2;Energy:12.3;Healthcare:24.6;Industrials:21.9;Comm:18.0
|
US:65.6;EU:9.2;APAC:11.3;EMEA:6.1;LATAM:7.8
|
BBB:17.2;B:14.9;CCC:16.3;AAA:32.3;BB:19.3
| 6.04
| 24.7
| 260
| 266
| 7.9
| 2
| 20
| 45
| 25
| true
| true
| true
| true
| 0.75
| 1.61
| 0.53
|
Materials:EW
|
Hedge
|
CDX_HY: +192bps notional
| 4
| -20
|
DealerC
|
Electronic
| 1
| 100
| 112
| 55
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 232
|
Tighten HY exposure bands
|
C09672
|
CR1237
|
2024-10-07
|
Calm
| 70
| 376
| 3.8
| 2.3
| 1,507,836,249
|
Utilities:37.7;Materials:43.0;Financials:19.3
|
US:61.1;EU:11.5;APAC:12.9;EMEA:11.8;LATAM:2.7
|
B:18.5;AA:16.1;CCC:18.3;AAA:23.1;BB:24.0
| 2.69
| 52.7
| 275
| 316
| 16.4
| 3.5
| 35
| 55
| 20
| true
| true
| true
| true
| 1.89
| 1.54
| -0.4
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -37
| 20
|
DealerB
|
Electronic
| 10
| 100
| 332
| -226
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 204
|
Tighten HY exposure bands
|
C09673
|
CR2891
|
2024-10-02
|
Calm
| 83
| 323
| 3.3
| 2.9
| 155,433,253
|
Tech:22.3;Financials:24.0;Energy:24.5;Comm:29.1
|
US:69.0;EU:14.9;APAC:6.2;EMEA:5.7;LATAM:4.1
|
CCC:10.1;BB:6.4;AAA:11.1;B:11.5;AA:25.4;BBB:35.5
| 4.52
| 46
| 240
| 470
| 6.3
| 2
| 20
| 45
| 35
| true
| true
| false
| true
| 2
| 1.31
| 0.32
|
Utilities:EW;Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -50
| 28
|
ECN1
|
DealerAxed
| 2
| 89
| 330
| 74
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 234
|
Rotate into defensive sectors
|
C09674
|
CR9272
|
2024-01-10
|
Calm
| 88
| 313
| 3.2
| 2.7
| 1,359,878,466
|
Materials:17.1;Energy:22.2;Industrials:17.9;Consumer:28.2;Financials:14.5
|
US:66.4;EU:15.0;APAC:6.2;EMEA:7.2;LATAM:5.2
|
BBB:29.0;A:19.4;AA:17.4;BB:34.2
| 2.21
| 57.7
| 195
| 327
| 5.3
| 2
| 25
| 55
| 20
| true
| true
| true
| false
| 1.89
| 0.93
| 0.02
|
Financials:EW;Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -17
| -5
|
DealerB
|
RFQ
| 5
| 89
| 129
| -374
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 164
|
Tighten HY exposure bands
|
C09675
|
CR9147
|
2025-08-19
|
Tightening
| 149
| 351
| 4
| 1.8
| 1,894,704,054
|
Industrials:14.1;Materials:17.9;RealEstate:43.9;Healthcare:24.1
|
US:74.4;EU:11.6;APAC:5.7;EMEA:5.0;LATAM:3.3
|
CCC:15.6;AA:14.1;BBB:17.7;AAA:16.4;BB:36.2
| 5.63
| 43.5
| 207
| 386
| 8.8
| 4
| 30
| 35
| 25
| true
| true
| true
| true
| -0.1
| 1.8
| -0.17
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 7
| 16
|
ECN2
|
RFQ
| 4
| 87
| 378
| -28
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 196
|
Reviewed by risk; hedges staggered
|
C09676
|
CR8885
|
2025-01-13
|
Calm
| 77
| 298
| 4.1
| 1.7
| 944,849,936
|
RealEstate:11.5;Materials:21.9;Financials:11.9;Healthcare:18.4;Utilities:11.5;Comm:24.7
|
US:69.4;EU:9.4;APAC:7.9;EMEA:8.5;LATAM:4.8
|
CCC:20.8;BB:25.1;B:5.2;A:27.9;AA:20.9
| 5.84
| 48.8
| 261
| 332
| 5.5
| 2
| 35
| 45
| 35
| false
| true
| true
| true
| 1.1
| 0.71
| -0.1
|
Utilities:EW
|
Hedge
|
iTraxx_XOVER: +173bps notional
| -39
| 29
|
DealerC
|
DealerAxed
| 4
| 86
| 79
| -170
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 233
|
Escalate watchlist names
|
C09677
|
CR1666
|
2024-06-27
|
Tightening
| 131
| 415
| 3.9
| 0.9
| 2,799,866,980
|
Consumer:36.8;Tech:11.8;Comm:18.4;RealEstate:33.0
|
US:62.5;EU:12.6;APAC:11.2;EMEA:6.1;LATAM:7.5
|
B:33.9;CCC:20.3;BBB:15.2;AA:6.7;A:10.6;AAA:13.3
| 2.67
| 61.1
| 173
| 369
| 3.2
| 3.5
| 25
| 45
| 25
| true
| true
| true
| false
| -0.43
| 0.42
| -0.1
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -60
| 36
|
DealerA
|
DealerAxed
| 2
| 92
| 357
| -270
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 182
|
Rotate into defensive sectors
|
C09678
|
CR0032
|
2025-02-24
|
Recovery
| 111
| 482
| 5.9
| 1.3
| 1,065,480,821
|
Utilities:39.7;Industrials:43.3;Healthcare:17.0
|
US:76.2;EU:5.6;APAC:10.0;EMEA:4.9;LATAM:3.4
|
CCC:16.2;AAA:11.4;B:32.5;BBB:13.0;BB:9.5;A:17.4
| 6.66
| 33.7
| 213
| 313
| 8.9
| 3.5
| 30
| 45
| 20
| true
| true
| true
| true
| 2
| 1.32
| 0.35
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -33
| -19
|
DealerA
|
Electronic
| 1
| 100
| 46
| 124
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 184
|
Tighten HY exposure bands
|
C09679
|
CR8014
|
2025-07-01
|
Recovery
| 146
| 532
| 5.5
| 1.8
| 645,499,099
|
Consumer:29.9;Utilities:29.6;Energy:20.0;Comm:20.5
|
US:66.2;EU:6.5;APAC:16.2;EMEA:4.9;LATAM:6.3
|
AA:41.2;AAA:15.4;BB:5.4;B:13.5;BBB:24.5
| 3.69
| 23.5
| 133
| 307
| 10
| 3
| 30
| 35
| 20
| false
| true
| false
| false
| 0.44
| 1.23
| -0.33
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 5
| 31
|
DealerB
|
All2All
| 10
| 88
| 336
| -347
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 139
|
Rotate into defensive sectors
|
C09680
|
CR6909
|
2025-02-06
|
Recovery
| 134
| 627
| 5
| 0.1
| 632,948,144
|
Financials:6.9;Utilities:26.3;Healthcare:24.9;Energy:18.5;Industrials:23.3
|
US:64.3;EU:19.7;APAC:9.8;EMEA:5.4;LATAM:0.9
|
AA:27.2;A:9.6;B:13.8;AAA:26.9;BBB:10.9;CCC:11.6
| 3.46
| 28.3
| 94
| 136
| 2.1
| 2.5
| 25
| 45
| 35
| true
| true
| false
| false
| 1.68
| 0.93
| 0.24
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -16
| -10
|
ECN2
|
DealerAxed
| 12
| 86
| -25
| 26
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 218
|
Tighten HY exposure bands
|
C09681
|
CR2757
|
2024-12-19
|
Calm
| 100
| 400
| 3.7
| 1.9
| 311,105,291
|
Industrials:48.8;Healthcare:17.3;Financials:33.9
|
US:60.2;EU:13.7;APAC:13.4;EMEA:7.4;LATAM:5.3
|
AAA:8.0;CCC:20.3;BB:11.7;A:20.6;AA:10.4;BBB:29.0
| 2.9
| 57.3
| 271
| 345
| 14.8
| 4
| 20
| 35
| 35
| true
| true
| false
| true
| -0.19
| 0.22
| -0.36
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 6
| -1
|
DealerB
|
Electronic
| 10
| 100
| 22
| -227
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 227
|
Rotate into defensive sectors
|
C09682
|
CR5457
|
2025-07-23
|
Recovery
| 121
| 532
| 6.2
| 1.6
| 673,130,612
|
Comm:7.7;Tech:11.9;Materials:23.7;Financials:29.3;Utilities:8.5;Consumer:18.9
|
US:71.3;EU:6.6;APAC:10.2;EMEA:10.4;LATAM:1.5
|
AAA:17.1;A:7.0;BBB:22.2;CCC:7.5;AA:19.4;B:26.8
| 1.02
| 44.1
| 256
| 158
| 11.6
| 2.5
| 35
| 55
| 20
| false
| true
| true
| true
| 2.24
| 0.25
| -0.29
|
Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -7
| -2
|
DealerA
|
Electronic
| 8
| 97
| -153
| -210
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 98
|
Tighten HY exposure bands
|
C09683
|
CR1456
|
2025-05-24
|
Tightening
| 140
| 375
| 4.7
| 1.9
| 2,671,076,739
|
Industrials:14.4;Consumer:20.6;Utilities:8.1;Healthcare:21.1;Tech:18.3;Financials:17.5
|
US:65.3;EU:13.9;APAC:12.8;EMEA:5.4;LATAM:2.6
|
AA:29.0;BB:19.2;B:21.8;AAA:29.9
| 2.44
| 57.6
| 178
| 469
| 17.6
| 3.5
| 30
| 45
| 35
| false
| true
| true
| false
| -0.17
| 0.19
| 0.47
|
Financials:EW
|
Hedge
|
CDX_HY: +151bps notional
| 10
| -5
|
DealerA
|
DealerAxed
| 9
| 93
| 152
| -33
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 113
|
Defer adds pending macro print
|
C09684
|
CR1731
|
2024-02-29
|
Stress
| 163
| 825
| 5.2
| -0.4
| 1,912,710,823
|
Tech:27.9;Comm:48.0;Industrials:24.1
|
US:69.9;EU:9.5;APAC:8.1;EMEA:5.6;LATAM:6.8
|
AA:20.1;CCC:14.1;B:23.2;BBB:21.3;A:21.3
| 1.49
| 40.8
| 278
| 532
| 5.5
| 2
| 30
| 45
| 35
| true
| true
| true
| true
| 1.29
| 0.23
| -0
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 2
| -2
|
DealerB
|
Electronic
| 7
| 85
| -10
| -118
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 119
|
Defer adds pending macro print
|
C09685
|
CR3019
|
2024-10-15
|
Tightening
| 145
| 480
| 4.3
| 1
| 2,487,697,718
|
Energy:33.8;Utilities:42.6;Comm:23.7
|
US:76.2;EU:9.3;APAC:9.1;EMEA:5.1;LATAM:0.4
|
BB:13.1;A:12.2;BBB:14.5;CCC:28.7;B:19.6;AAA:11.9
| 0.8
| 38.1
| 206
| 149
| 3.4
| 3.5
| 25
| 55
| 25
| true
| true
| true
| true
| 1.33
| 1.66
| -0.17
| null |
Hedge
|
CDX_IG: +109bps notional
| -42
| 29
|
ECN2
|
RFQ
| 12
| 96
| 313
| 28
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 194
|
Escalate watchlist names
|
C09686
|
CR3977
|
2024-09-14
|
Stress
| 209
| 742
| 6.4
| 0.5
| 942,752,028
|
Financials:31.2;Materials:30.7;Consumer:29.7;Utilities:8.3
|
US:65.9;EU:13.6;APAC:4.9;EMEA:9.6;LATAM:6.0
|
A:13.3;AA:24.0;B:18.0;AAA:12.4;CCC:16.6;BB:15.7
| 5.85
| 29.9
| 327
| 403
| 7.8
| 4
| 30
| 45
| 30
| true
| true
| true
| true
| 0.87
| 1.25
| 0.05
|
RealEstate:EW;Consumer:EW;Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -13
| 9
|
DealerB
|
Electronic
| 6
| 87
| 11
| -110
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 205
|
Rotate into defensive sectors
|
C09687
|
CR1748
|
2025-02-18
|
Recovery
| 173
| 476
| 6.5
| 0.9
| 1,433,660,884
|
Industrials:31.5;Energy:29.0;Materials:39.5
|
US:68.9;EU:8.1;APAC:7.3;EMEA:8.4;LATAM:7.3
|
AAA:21.6;BBB:21.4;AA:36.0;CCC:21.0
| 6.62
| 61.5
| 179
| 337
| 12.5
| 3
| 35
| 45
| 35
| true
| true
| false
| false
| 1.29
| 1.51
| -0.36
| null |
Hedge
|
Treasury_Futures: +78bps notional
| 7
| 28
|
ECN1
|
DealerAxed
| 4
| 97
| 237
| -99
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 108
|
Escalate watchlist names
|
C09688
|
CR7248
|
2024-01-18
|
Calm
| 116
| 399
| 3.5
| 2
| 2,027,494,274
|
Consumer:18.4;Materials:25.8;Financials:55.8
|
US:70.9;EU:10.3;APAC:6.4;EMEA:6.5;LATAM:5.9
|
B:18.7;BB:10.5;CCC:18.8;A:24.3;AA:15.3;BBB:12.5
| 1.07
| 40.4
| 164
| 239
| 10.1
| 4
| 35
| 35
| 35
| true
| true
| true
| false
| 0.42
| 0.21
| 0.38
|
Financials:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -10
| -5
|
DealerC
|
DealerAxed
| 3
| 90
| 61
| -169
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 158
|
Reviewed by risk; hedges staggered
|
C09689
|
CR8469
|
2025-01-28
|
Calm
| 92
| 286
| 3.8
| 2.8
| 191,419,469
|
Comm:24.1;Materials:7.8;Healthcare:28.3;RealEstate:9.5;Consumer:9.6;Industrials:20.7
|
US:60.8;EU:20.4;APAC:6.9;EMEA:9.0;LATAM:2.9
|
BB:24.0;A:35.7;BBB:22.5;CCC:17.8
| 6.03
| 25.1
| 138
| 202
| 2.9
| 2
| 25
| 45
| 30
| true
| true
| true
| false
| 1.84
| 1.31
| 0.13
|
Healthcare:EW;Energy:EW;Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -57
| 16
|
DealerA
|
RFQ
| 12
| 87
| -52
| -3
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 188
|
Tighten HY exposure bands
|
C09690
|
CR8336
|
2025-02-18
|
Calm
| 116
| 372
| 4
| 2.6
| 846,419,328
|
Healthcare:38.2;Materials:11.7;Industrials:25.1;RealEstate:25.1
|
US:69.6;EU:8.4;APAC:9.8;EMEA:6.9;LATAM:5.3
|
B:20.6;AAA:17.9;AA:17.1;A:16.2;CCC:28.2
| 3.63
| 30.9
| 172
| 385
| 2.9
| 2
| 25
| 55
| 35
| true
| true
| true
| false
| 2.06
| 0.71
| 0.24
|
RealEstate:EW
|
Hedge
|
CDX_IG: +103bps notional
| -4
| 36
|
ECN2
|
DealerAxed
| 11
| 94
| 317
| -394
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 222
|
Tighten HY exposure bands
|
C09691
|
CR0068
|
2024-04-26
|
Recovery
| 102
| 567
| 5.8
| 0.7
| 1,042,852,072
|
Healthcare:18.6;Financials:20.9;Utilities:13.1;Energy:18.8;Industrials:28.5
|
US:68.6;EU:7.3;APAC:13.6;EMEA:10.0;LATAM:0.4
|
BB:48.5;AA:10.5;BBB:14.2;B:9.6;AAA:17.2
| 1.58
| 60.4
| 195
| 302
| 3.4
| 2.5
| 20
| 35
| 20
| true
| true
| true
| false
| 1.02
| 1.59
| -0.36
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -11
| 8
|
DealerB
|
All2All
| 2
| 98
| -2
| -217
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 237
|
Rotate into defensive sectors
|
C09692
|
CR9763
|
2024-07-22
|
Calm
| 81
| 299
| 4.3
| 2.9
| 1,892,722,529
|
Healthcare:10.2;Consumer:18.5;Industrials:17.0;Tech:26.9;Materials:15.3;Comm:12.0
|
US:66.8;EU:13.6;APAC:11.4;EMEA:7.6;LATAM:0.5
|
BBB:23.0;AA:24.5;CCC:15.0;BB:11.8;AAA:25.6
| 4.66
| 40.3
| 101
| 318
| 14.4
| 2
| 30
| 45
| 20
| false
| true
| true
| false
| 2.39
| -0.08
| 0.02
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -29
| 12
|
DealerC
|
Electronic
| 10
| 89
| 159
| 173
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 121
|
Rotate into defensive sectors
|
C09693
|
CR5022
|
2025-08-13
|
Recovery
| 100
| 459
| 4.7
| 1.4
| 1,078,476,130
|
Energy:20.6;Financials:24.6;RealEstate:7.8;Industrials:16.8;Consumer:18.3;Materials:11.9
|
US:67.9;EU:13.2;APAC:9.2;EMEA:9.3;LATAM:0.4
|
AA:13.7;BBB:28.5;CCC:29.6;B:28.2
| 5.92
| 53.3
| 231
| 130
| 3.2
| 3.5
| 25
| 55
| 35
| false
| true
| true
| true
| 1.97
| 1.5
| 0.19
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -38
| 29
|
DealerC
|
RFQ
| 8
| 97
| -155
| 159
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 234
|
Reviewed by risk; hedges staggered
|
C09694
|
CR9336
|
2024-01-15
|
Stress
| 205
| 788
| 8.3
| -0.9
| 2,195,623,519
|
Energy:42.5;Utilities:31.1;Healthcare:26.4
|
US:60.9;EU:11.7;APAC:11.6;EMEA:10.6;LATAM:5.2
|
B:27.1;BB:14.2;A:11.1;CCC:14.4;AA:33.3
| 0.68
| 56.1
| 204
| 346
| 10.4
| 2.5
| 30
| 35
| 30
| true
| true
| true
| true
| 1.87
| 1.6
| -0.22
|
Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -38
| -18
|
DealerC
|
RFQ
| 4
| 90
| 43
| -168
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 95
|
Tighten HY exposure bands
|
C09695
|
CR5689
|
2025-01-04
|
Tightening
| 100
| 458
| 4.3
| 1.6
| 532,209,667
|
Industrials:7.9;Tech:20.9;Energy:27.9;Comm:16.6;Healthcare:13.9;Consumer:12.8
|
US:73.5;EU:9.6;APAC:9.9;EMEA:6.6;LATAM:0.4
|
A:27.6;AAA:21.3;B:8.9;BB:7.8;CCC:8.3;AA:26.1
| 6.16
| 38.3
| 149
| 512
| 17.6
| 2
| 20
| 55
| 35
| true
| true
| false
| false
| 0.7
| 1.79
| 0.25
|
Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -21
| -4
|
DealerA
|
All2All
| 7
| 89
| 146
| -51
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 103
|
Defer adds pending macro print
|
C09696
|
CR0473
|
2024-12-25
|
Tightening
| 106
| 353
| 4.1
| 1.3
| 1,725,808,205
|
Tech:27.1;Materials:27.6;Comm:17.3;Financials:14.2;Utilities:13.9
|
US:53.3;EU:17.9;APAC:12.0;EMEA:11.1;LATAM:5.8
|
BBB:17.6;CCC:18.4;AAA:18.9;BB:25.1;A:20.0
| 5.53
| 20
| 249
| 332
| 9.8
| 4
| 25
| 45
| 35
| true
| true
| true
| true
| 0.15
| 1.58
| -0.07
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -50
| -1
|
DealerA
|
DealerAxed
| 8
| 95
| -33
| -11
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 251
|
Defer adds pending macro print
|
C09697
|
CR2299
|
2025-11-24
|
Stress
| 230
| 576
| 6
| -1.2
| 1,885,539,934
|
Industrials:22.0;Comm:20.6;Financials:16.4;Tech:19.8;Utilities:21.2
|
US:69.5;EU:8.2;APAC:11.9;EMEA:9.9;LATAM:0.4
|
CCC:10.3;BBB:26.0;B:9.7;A:30.6;AA:23.4
| 2.45
| 34.2
| 300
| 492
| 16.1
| 3
| 30
| 45
| 30
| false
| true
| false
| true
| 1.46
| 0.28
| 0.37
|
RealEstate:EW
|
Hedge
|
CDX_IG: +137bps notional
| -52
| 12
|
ECN1
|
Electronic
| 9
| 94
| 44
| -213
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 257
|
Rotate into defensive sectors
|
C09698
|
CR2003
|
2024-05-18
|
Recovery
| 110
| 643
| 5.7
| -0.5
| 889,819,999
|
Industrials:15.5;RealEstate:13.3;Healthcare:16.2;Materials:20.3;Comm:16.0;Consumer:18.7
|
US:64.4;EU:11.9;APAC:12.9;EMEA:8.0;LATAM:2.8
|
BB:25.2;B:15.8;AAA:36.5;CCC:22.5
| 3.24
| 42.1
| 196
| 394
| 8.6
| 2
| 25
| 45
| 20
| false
| true
| true
| false
| 1.28
| 0.25
| 0.05
|
Materials:EW;RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -60
| 35
|
DealerC
|
All2All
| 12
| 89
| 21
| -103
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 238
|
Escalate watchlist names
|
C09699
|
CR2591
|
2025-12-12
|
Tightening
| 160
| 354
| 4.6
| 1
| 178,546,069
|
Consumer:21.2;Healthcare:30.0;Industrials:10.0;Materials:13.8;RealEstate:13.7;Comm:11.2
|
US:79.7;EU:6.5;APAC:6.7;EMEA:6.9;LATAM:0.2
|
A:46.2;B:12.5;BB:12.0;AA:23.6;CCC:5.7
| 0.64
| 52.4
| 203
| 477
| 9.4
| 4
| 25
| 35
| 35
| true
| true
| false
| true
| -0.37
| 1
| -0.39
|
Comm:EW;Materials:EW;Industrials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -33
| -13
|
ECN1
|
DealerAxed
| 4
| 88
| 212
| -339
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 123
|
Escalate watchlist names
|
C09700
|
CR1143
|
2024-03-12
|
Stress
| 170
| 666
| 7.6
| -0.3
| 2,064,949,037
|
Industrials:24.1;Consumer:25.9;Energy:27.7;RealEstate:22.3
|
US:61.9;EU:13.3;APAC:12.3;EMEA:9.3;LATAM:3.3
|
AAA:22.4;A:13.9;B:9.7;CCC:18.4;BBB:25.0;AA:10.7
| 2.09
| 20.5
| 358
| 415
| 19.3
| 4
| 30
| 55
| 30
| false
| true
| false
| true
| 2.07
| 1.59
| -0.36
|
Healthcare:EW
|
Hedge
|
SingleName_CDS: +195bps notional
| 6
| -20
|
DealerC
|
DealerAxed
| 11
| 96
| 42
| -18
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 177
|
Defer adds pending macro print
|
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