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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