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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C09701 | CR0708 | 2025-12-23 | Recovery | 157 | 616 | 5 | 0.2 | 1,130,343,672 | Tech:29.4;Financials:34.1;Comm:8.3;Utilities:28.3 | US:61.4;EU:18.5;APAC:7.4;EMEA:8.6;LATAM:4.1 | BB:16.5;CCC:13.9;A:16.7;B:26.4;AAA:7.9;BBB:18.6 | 5.9 | 54.2 | 271 | 128 | 7.7 | 3.5 | 25 | 55 | 25 | true | true | true | true | 2.37 | 0.78 | -0.33 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -42 | 34 | DealerA | Electronic | 4 | 92 | 277 | -129 | Sector>limit | Reduce | Sector concentration above limit | 241 | Escalate watchlist names |
C09702 | CR2413 | 2024-11-05 | Calm | 81 | 337 | 4.5 | 1.6 | 206,509,970 | Materials:26.5;RealEstate:60.4;Utilities:13.2 | US:75.1;EU:6.5;APAC:12.8;EMEA:4.7;LATAM:0.9 | AAA:25.2;CCC:33.0;BB:12.2;AA:12.2;A:17.5 | 4.12 | 50.9 | 223 | 430 | 8.9 | 3.5 | 30 | 55 | 25 | true | true | true | true | 0.38 | 1.64 | 0.1 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -20 | 7 | DealerA | All2All | 0 | 87 | 336 | -95 | Region>limit | Hedge | Regional concentration above limit | 256 | Rotate into defensive sectors |
C09703 | CR4100 | 2025-07-20 | Tightening | 143 | 351 | 5 | 1.9 | 56,044,115 | Financials:27.7;Healthcare:14.2;Utilities:11.3;Consumer:19.3;Industrials:27.5 | US:68.9;EU:5.7;APAC:11.0;EMEA:10.7;LATAM:3.7 | A:29.2;BB:30.4;AA:15.0;BBB:25.4 | 0.52 | 58.9 | 121 | 274 | 8.9 | 3.5 | 30 | 45 | 25 | false | true | true | false | 1.28 | 1.47 | -0.18 | RealEstate:EW;Tech:EW | Hedge | SingleName_CDS: +183bps notional | 7 | -9 | ECN1 | RFQ | 12 | 87 | 341 | -383 | Region>limit | Hedge | Regional concentration above limit | 124 | Tighten HY exposure bands |
C09704 | CR6160 | 2024-12-01 | Calm | 96 | 340 | 3.6 | 2.6 | 1,938,946,823 | Financials:42.2;Tech:44.9;Comm:12.9 | US:69.8;EU:5.8;APAC:13.7;EMEA:3.7;LATAM:7.0 | AAA:24.7;AA:17.6;A:13.7;BBB:12.4;BB:11.6;CCC:19.9 | 3.58 | 57.8 | 107 | 520 | 16.6 | 2.5 | 30 | 45 | 30 | true | true | true | false | 1.73 | 1.34 | 0.38 | Industrials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -27 | -8 | DealerC | All2All | 1 | 86 | 371 | -339 | Region>limit | Hedge | Regional concentration above limit | 105 | Rotate into defensive sectors |
C09705 | CR8895 | 2025-01-23 | Tightening | 98 | 393 | 4.6 | 1 | 1,678,691,920 | Comm:47.0;Healthcare:30.8;Energy:22.2 | US:70.3;EU:13.9;APAC:9.8;EMEA:3.7;LATAM:2.2 | AAA:13.3;BBB:23.0;BB:9.4;CCC:12.8;B:17.9;AA:23.6 | 3.5 | 25.1 | 122 | 174 | 17.1 | 2.5 | 30 | 45 | 35 | true | true | true | false | 0.77 | 1.32 | 0.57 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -25 | 30 | DealerB | RFQ | 3 | 94 | 102 | 148 | HYCap>limit | Hedge | High-yield share above policy cap | 149 | Rotate into defensive sectors |
C09706 | CR0874 | 2024-07-18 | Tightening | 137 | 421 | 4 | 1.3 | 2,390,123,425 | Materials:19.0;Consumer:37.4;Financials:11.1;Comm:32.4 | US:67.1;EU:16.4;APAC:7.6;EMEA:8.8;LATAM:0.1 | A:14.6;B:6.8;BB:13.6;AA:42.9;CCC:22.1 | 2.11 | 42.2 | 207 | 457 | 10.1 | 3 | 30 | 45 | 30 | true | true | true | true | 1.99 | 1.01 | -0.34 | Energy:EW | Hedge | iTraxx_MAIN: +128bps notional | -45 | -18 | ECN1 | DealerAxed | 0 | 90 | -181 | -229 | HYCap>limit | Rotate | High-yield share above policy cap | 151 | Rotate into defensive sectors |
C09707 | CR6213 | 2024-12-14 | Tightening | 155 | 454 | 4 | 1.2 | 2,164,514,549 | Industrials:29.0;Materials:35.9;RealEstate:10.6;Healthcare:24.5 | US:68.9;EU:15.3;APAC:4.9;EMEA:7.6;LATAM:3.4 | A:35.8;BB:16.9;CCC:19.3;AAA:12.9;AA:15.0 | 5.04 | 56 | 195 | 381 | 5.2 | 2 | 30 | 55 | 20 | true | true | true | false | 0.63 | 1.42 | -0.25 | null | Hedge | Options_Payer: +54bps notional | -9 | 39 | ECN2 | DealerAxed | 4 | 95 | 25 | -75 | HYCap>limit | Hedge | High-yield share above policy cap | 153 | Rotate into defensive sectors |
C09708 | CR4494 | 2025-12-13 | Calm | 91 | 412 | 3.7 | 3 | 1,022,999,115 | Materials:41.1;Healthcare:19.7;Tech:39.2 | US:67.5;EU:6.0;APAC:10.2;EMEA:11.1;LATAM:5.3 | A:20.2;B:11.7;AA:39.5;CCC:28.6 | 3.63 | 58.9 | 257 | 449 | 13.3 | 4 | 35 | 35 | 20 | true | true | true | true | 0.61 | 0.72 | 0.44 | Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -32 | 8 | DealerB | DealerAxed | 6 | 85 | 335 | -306 | Sector>limit | Hedge | Sector concentration above limit | 191 | Rotate into defensive sectors |
C09709 | CR2115 | 2024-02-20 | Tightening | 139 | 374 | 3.8 | 0.7 | 2,317,798,728 | Industrials:28.1;Energy:18.3;RealEstate:25.1;Utilities:28.5 | US:67.1;EU:8.7;APAC:11.7;EMEA:6.9;LATAM:5.5 | B:14.2;BB:12.5;A:34.0;BBB:39.3 | 7.07 | 53.1 | 175 | 284 | 9.7 | 2 | 20 | 45 | 30 | true | true | false | false | 0.6 | 0.92 | 0.33 | Industrials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -42 | -18 | DealerA | Electronic | 12 | 85 | 120 | -346 | Region>limit | Reduce | Regional concentration above limit | 107 | Rotate into defensive sectors |
C09710 | CR6838 | 2024-02-26 | Calm | 68 | 385 | 3.7 | 3 | 209,779,398 | RealEstate:36.8;Energy:15.9;Industrials:20.2;Consumer:27.1 | US:66.0;EU:8.1;APAC:14.9;EMEA:3.8;LATAM:7.2 | AA:52.3;AAA:29.5;B:5.9;CCC:12.3 | 4.52 | 35.7 | 113 | 509 | 12.6 | 2 | 20 | 45 | 35 | true | true | false | false | 2.19 | 0.64 | 0.45 | Energy:EW;Consumer:EW | Hedge | Options_Payer: +135bps notional | -43 | -13 | ECN2 | RFQ | 11 | 91 | 169 | 13 | Sector>limit | Reduce | Sector concentration above limit | 176 | Reviewed by risk; hedges staggered |
C09711 | CR7062 | 2024-05-25 | Tightening | 115 | 375 | 4.6 | 1 | 800,289,073 | Healthcare:22.4;Comm:18.0;Materials:31.4;Tech:13.7;Energy:14.5 | US:59.7;EU:12.7;APAC:9.4;EMEA:13.2;LATAM:5.1 | A:10.6;AAA:27.6;BB:17.0;AA:20.4;B:17.0;CCC:7.4 | 5.52 | 59.5 | 160 | 337 | 11.6 | 2 | 25 | 35 | 20 | true | true | true | false | -0.03 | 1.64 | 0.56 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -53 | -5 | DealerB | Electronic | 3 | 92 | -106 | -452 | VAR>budget | Hedge | Portfolio VAR above budget | 113 | Rotate into defensive sectors |
C09712 | CR0791 | 2025-06-05 | Calm | 93 | 304 | 3.5 | 1.9 | 2,258,937,289 | Energy:36.2;Utilities:28.6;Tech:35.2 | US:64.5;EU:11.3;APAC:8.7;EMEA:10.9;LATAM:4.5 | CCC:44.3;BBB:21.2;AA:19.0;BB:15.4 | 6.74 | 63.3 | 108 | 499 | 15.3 | 3 | 25 | 55 | 20 | true | true | true | false | 0.74 | 0.92 | -0.33 | Industrials:EW | Hedge | iTraxx_MAIN: +136bps notional | -23 | 41 | ECN2 | RFQ | 1 | 89 | 66 | -100 | Region>limit | Rotate | Regional concentration above limit | 175 | Rotate into defensive sectors |
C09713 | CR8637 | 2024-06-01 | Tightening | 132 | 459 | 5.1 | 0.5 | 910,759,296 | Consumer:38.7;Industrials:20.4;RealEstate:16.1;Healthcare:24.8 | US:70.3;EU:14.3;APAC:5.4;EMEA:8.0;LATAM:2.1 | AAA:15.9;A:37.3;B:30.0;BB:16.8 | 2.39 | 36.5 | 188 | 339 | 3.7 | 3.5 | 35 | 55 | 20 | true | true | true | false | 2.21 | 1.53 | 0.33 | Industrials:EW;Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -1 | 3 | ECN2 | All2All | 9 | 87 | 305 | -31 | VAR>budget | Rotate | Portfolio VAR above budget | 243 | Rotate into defensive sectors |
C09714 | CR5860 | 2024-02-18 | Stress | 233 | 690 | 7.9 | -1.8 | 97,979,354 | Utilities:11.7;Tech:13.4;Energy:8.9;Industrials:12.0;Consumer:24.2;Healthcare:29.7 | US:67.2;EU:18.7;APAC:7.5;EMEA:4.6;LATAM:2.0 | A:15.8;AAA:24.4;B:19.5;CCC:4.3;BBB:23.4;AA:12.6 | 0.7 | 39.8 | 345 | 626 | 10.7 | 4 | 25 | 55 | 25 | true | true | false | true | -0.27 | 0.3 | -0.21 | Industrials:EW | Hedge | CDX_IG: +108bps notional | 3 | 28 | DealerA | RFQ | 2 | 95 | 235 | 6 | HYCap>limit | Reduce | High-yield share above policy cap | 147 | Defer adds pending macro print |
C09715 | CR3668 | 2024-09-24 | Stress | 231 | 777 | 6.9 | 0.1 | 555,197,084 | RealEstate:36.7;Consumer:16.0;Materials:17.3;Utilities:30.0 | US:60.4;EU:16.4;APAC:7.9;EMEA:9.6;LATAM:5.7 | CCC:22.6;B:22.8;BBB:18.2;A:10.6;AAA:25.8 | 6.28 | 37.2 | 165 | 453 | 6.7 | 2.5 | 35 | 55 | 20 | true | true | true | false | 0.57 | -0.02 | 0.16 | Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -54 | 3 | ECN2 | DealerAxed | 5 | 98 | 198 | 79 | Sector>limit | Hedge | Sector concentration above limit | 246 | Rotate into defensive sectors |
C09716 | CR5280 | 2024-04-03 | Stress | 231 | 757 | 6.4 | 0.2 | 1,036,466,179 | Utilities:40.0;Healthcare:14.2;Comm:24.5;Industrials:21.4 | US:65.4;EU:15.9;APAC:9.0;EMEA:4.5;LATAM:5.2 | A:12.8;CCC:30.2;BB:6.4;B:28.1;BBB:22.5 | 1.77 | 41.9 | 226 | 591 | 5.2 | 3 | 35 | 55 | 25 | true | true | true | true | 0.43 | 0.33 | 0.14 | Healthcare:EW;Financials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -5 | 10 | ECN1 | DealerAxed | 8 | 91 | 409 | 44 | Sector>limit | Reduce | Sector concentration above limit | 155 | Tighten HY exposure bands |
C09717 | CR1794 | 2025-05-19 | Tightening | 158 | 480 | 5.1 | 1.6 | 2,264,307,037 | Tech:34.2;Financials:19.3;RealEstate:14.8;Materials:31.6 | US:59.0;EU:12.3;APAC:10.4;EMEA:10.4;LATAM:7.8 | B:11.1;CCC:21.7;A:42.1;BB:25.1 | 2.26 | 33 | 225 | 420 | 10.1 | 2 | 20 | 55 | 30 | true | true | true | true | 0.1 | 1.13 | 0.47 | Comm:EW | Hedge | CDX_IG: +107bps notional | -18 | -24 | DealerC | Electronic | 9 | 98 | -66 | -130 | HYCap>limit | Reduce | High-yield share above policy cap | 211 | Escalate watchlist names |
C09718 | CR3681 | 2024-08-11 | Tightening | 160 | 473 | 5 | 1.2 | 2,822,241,769 | Tech:22.0;Utilities:33.7;Consumer:24.5;Healthcare:19.8 | US:69.1;EU:10.8;APAC:10.2;EMEA:8.9;LATAM:1.0 | BB:27.0;AAA:17.9;B:26.1;BBB:29.0 | 1.73 | 40.9 | 115 | 212 | 13.5 | 4 | 20 | 45 | 35 | true | true | true | false | 0.01 | 0.79 | -0.16 | Consumer:EW;Comm:EW | Hedge | Options_Payer: +100bps notional | -10 | 36 | DealerB | All2All | 3 | 95 | 342 | -234 | Region>limit | Hedge | Regional concentration above limit | 120 | Tighten HY exposure bands |
C09719 | CR9452 | 2025-08-25 | Recovery | 155 | 605 | 5.5 | 0.3 | 900,034,512 | Industrials:33.9;Materials:15.1;Energy:34.4;Tech:16.6 | US:66.4;EU:14.9;APAC:8.6;EMEA:8.1;LATAM:2.0 | AA:24.6;CCC:22.4;BBB:10.8;AAA:13.9;B:28.3 | 6.76 | 40.8 | 233 | 151 | 11.6 | 3.5 | 20 | 45 | 25 | true | true | true | true | 0.53 | 0.13 | 0.18 | null | Hedge | SingleName_CDS: +170bps notional | -6 | 21 | DealerA | RFQ | 0 | 91 | -162 | -25 | HYCap>limit | Reduce | High-yield share above policy cap | 129 | Tighten HY exposure bands |
C09720 | CR2643 | 2025-05-11 | Recovery | 115 | 639 | 5.1 | 0.2 | 1,848,459,839 | Comm:32.7;RealEstate:43.4;Industrials:23.9 | US:66.1;EU:15.5;APAC:10.9;EMEA:5.5;LATAM:2.0 | A:25.4;BB:10.8;CCC:26.2;B:37.5 | 6.36 | 59.5 | 97 | 266 | 13.6 | 3.5 | 20 | 55 | 20 | true | true | true | false | 1.66 | 0.51 | 0.59 | Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -23 | 18 | ECN2 | All2All | 9 | 89 | 132 | -335 | Sector>limit | Hedge | Sector concentration above limit | 112 | Defer adds pending macro print |
C09721 | CR8156 | 2024-05-09 | Calm | 65 | 305 | 4.4 | 2.3 | 126,355,047 | Industrials:21.8;Comm:17.4;Materials:12.5;Utilities:13.8;Healthcare:21.1;Consumer:13.4 | US:59.5;EU:16.8;APAC:12.8;EMEA:5.9;LATAM:5.0 | AAA:22.0;AA:34.0;BB:13.5;BBB:30.6 | 4.66 | 20.1 | 239 | 193 | 12.9 | 3 | 25 | 45 | 20 | false | true | false | true | 1.92 | 1.44 | 0.4 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 7 | 28 | DealerA | All2All | 2 | 92 | 122 | -325 | Sector>limit | Rotate | Sector concentration above limit | 135 | Defer adds pending macro print |
C09722 | CR3375 | 2025-01-03 | Recovery | 156 | 584 | 6.2 | -0.1 | 1,856,001,497 | Healthcare:12.4;Energy:14.6;Comm:10.1;RealEstate:18.1;Financials:22.4;Utilities:22.3 | US:64.9;EU:13.8;APAC:11.8;EMEA:9.2;LATAM:0.2 | CCC:25.2;AAA:22.3;BBB:13.2;B:24.0;A:15.4 | 3.54 | 29.4 | 152 | 343 | 11.6 | 4 | 25 | 55 | 30 | false | true | true | false | 2.49 | 0.71 | -0.03 | null | Hedge | Options_Payer: +67bps notional | -56 | 5 | DealerA | RFQ | 2 | 100 | 157 | 63 | HYCap>limit | Rotate | High-yield share above policy cap | 110 | Defer adds pending macro print |
C09723 | CR5134 | 2024-05-28 | Tightening | 119 | 459 | 4.3 | 0.5 | 2,533,207,101 | Utilities:22.9;Healthcare:8.8;Comm:15.3;Energy:30.6;Financials:22.4 | US:67.3;EU:15.2;APAC:5.4;EMEA:9.9;LATAM:2.2 | AA:27.1;B:18.0;A:44.6;BB:10.2 | 0.74 | 52.4 | 198 | 238 | 11.4 | 3 | 25 | 45 | 20 | true | true | true | false | 0.88 | 1.53 | 0.12 | Energy:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -49 | -11 | ECN2 | All2All | 8 | 100 | -112 | 52 | Region>limit | Hedge | Regional concentration above limit | 159 | Escalate watchlist names |
C09724 | CR3472 | 2024-03-31 | Calm | 79 | 416 | 4.4 | 2.4 | 853,465,245 | Financials:18.1;Utilities:15.7;Healthcare:9.5;Materials:21.2;Comm:15.9;Consumer:19.6 | US:73.2;EU:9.8;APAC:10.9;EMEA:3.8;LATAM:2.3 | AA:35.8;BB:17.1;BBB:26.3;CCC:20.9 | 7.12 | 26.8 | 135 | 246 | 12.4 | 3.5 | 20 | 55 | 20 | true | true | true | false | 0.88 | 0.07 | -0.34 | null | Hedge | Treasury_Futures: +152bps notional | 9 | 34 | ECN2 | DealerAxed | 2 | 99 | 407 | -52 | HYCap>limit | PauseAdds | High-yield share above policy cap | 144 | Defer adds pending macro print |
C09725 | CR6427 | 2024-03-27 | Calm | 105 | 406 | 4.3 | 1.6 | 1,326,732,312 | Utilities:11.7;Materials:40.7;Healthcare:32.9;Comm:14.7 | US:64.1;EU:9.3;APAC:9.5;EMEA:9.4;LATAM:7.6 | A:9.2;CCC:14.5;BB:19.4;AAA:22.6;BBB:18.8;B:15.5 | 3.31 | 57 | 240 | 368 | 3.4 | 3 | 20 | 35 | 25 | true | true | true | true | 0.39 | 0.43 | -0.17 | Tech:EW | Hedge | CDX_HY: +94bps notional | -60 | -9 | DealerB | All2All | 5 | 94 | -1 | 103 | Region>limit | Reduce | Regional concentration above limit | 116 | Escalate watchlist names |
C09726 | CR3912 | 2024-12-16 | Stress | 203 | 558 | 8.1 | 0.6 | 1,751,673,528 | RealEstate:27.0;Materials:40.5;Tech:32.5 | US:62.3;EU:9.8;APAC:11.8;EMEA:10.6;LATAM:5.4 | BBB:13.2;A:38.2;B:21.0;AAA:27.5 | 1.8 | 51.8 | 340 | 576 | 9.7 | 3.5 | 25 | 35 | 35 | true | true | false | true | 1.67 | 1.48 | -0.31 | Energy:EW;Tech:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 11 | 19 | ECN2 | RFQ | 2 | 96 | 7 | 78 | VAR>budget | Reduce | Portfolio VAR above budget | 116 | Escalate watchlist names |
C09727 | CR8165 | 2024-09-03 | Calm | 111 | 397 | 3.4 | 1.9 | 2,950,773,450 | Financials:19.6;Materials:34.8;Energy:45.6 | US:64.3;EU:5.5;APAC:12.4;EMEA:12.1;LATAM:5.8 | AAA:16.5;B:8.0;AA:13.3;BBB:24.1;A:23.9;BB:14.2 | 6.83 | 58.9 | 100 | 159 | 10 | 4 | 25 | 45 | 20 | true | true | true | false | 2.35 | 0.08 | 0.48 | Comm:EW;Utilities:EW | Hedge | Options_Payer: +157bps notional | -48 | 10 | ECN1 | Electronic | 4 | 85 | -156 | -234 | HYCap>limit | Hedge | High-yield share above policy cap | 196 | Defer adds pending macro print |
C09728 | CR2650 | 2024-08-29 | Calm | 96 | 385 | 4 | 2.7 | 129,932,172 | Tech:45.6;Healthcare:27.3;Materials:12.2;Comm:15.0 | US:61.0;EU:16.7;APAC:10.4;EMEA:5.0;LATAM:6.8 | CCC:7.8;BB:14.7;B:25.5;A:51.9 | 7 | 63.9 | 112 | 428 | 17.3 | 3.5 | 20 | 45 | 30 | true | true | true | false | 0.69 | -0.27 | 0.45 | Comm:EW;Materials:EW;Financials:EW | Hedge | CDX_IG: +173bps notional | 3 | -9 | ECN1 | Electronic | 8 | 94 | -54 | 92 | HYCap>limit | Rotate | High-yield share above policy cap | 128 | Defer adds pending macro print |
C09729 | CR6335 | 2024-10-08 | Tightening | 156 | 457 | 4.7 | 0.6 | 957,570,444 | Utilities:12.9;Financials:32.0;Consumer:21.2;RealEstate:33.8 | US:58.3;EU:11.9;APAC:11.8;EMEA:11.3;LATAM:6.7 | AAA:14.4;BB:13.1;B:50.1;AA:22.4 | 3.69 | 21.5 | 190 | 299 | 11.3 | 3.5 | 20 | 45 | 20 | true | true | true | false | 1.28 | 1.17 | -0.06 | Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -35 | -11 | ECN1 | RFQ | 10 | 90 | -44 | -12 | Sector>limit | Reduce | Sector concentration above limit | 232 | Tighten HY exposure bands |
C09730 | CR5436 | 2024-05-07 | Recovery | 100 | 511 | 4.7 | 1.1 | 1,923,050,167 | Comm:14.8;Energy:31.8;Utilities:16.1;Industrials:37.3 | US:64.5;EU:7.1;APAC:13.8;EMEA:11.0;LATAM:3.6 | AAA:15.5;A:10.1;CCC:24.8;B:29.1;BB:13.0;BBB:7.6 | 6.77 | 24.3 | 88 | 371 | 7.4 | 2 | 30 | 45 | 25 | true | true | true | false | 0.1 | 0.56 | 0.13 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -33 | -1 | DealerB | DealerAxed | 5 | 87 | 171 | -208 | Sector>limit | Reduce | Sector concentration above limit | 258 | Defer adds pending macro print |
C09731 | CR3660 | 2024-10-18 | Tightening | 118 | 492 | 4.7 | 1.3 | 2,760,355,147 | Healthcare:25.5;Consumer:31.1;Comm:8.6;RealEstate:18.4;Utilities:16.4 | US:58.9;EU:13.2;APAC:16.6;EMEA:11.1;LATAM:0.1 | CCC:45.2;BBB:14.6;B:28.7;AA:11.5 | 0.91 | 61.3 | 225 | 447 | 3.3 | 3 | 20 | 45 | 30 | true | true | true | true | 2.33 | 1.22 | 0.14 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 13 | 4 | DealerC | Electronic | 7 | 91 | 177 | 32 | Sector>limit | Hedge | Sector concentration above limit | 199 | Reviewed by risk; hedges staggered |
C09732 | CR1236 | 2024-12-05 | Recovery | 124 | 561 | 6.2 | 0.5 | 342,260,582 | Materials:19.9;Energy:15.1;Comm:21.0;Financials:10.8;Industrials:20.0;Utilities:13.1 | US:65.8;EU:10.8;APAC:8.1;EMEA:13.7;LATAM:1.6 | AAA:28.3;AA:13.0;A:20.9;BBB:26.9;B:7.9;CCC:2.9 | 2.47 | 59.4 | 278 | 396 | 5.6 | 4 | 20 | 45 | 35 | true | true | false | true | 0.39 | 0.13 | -0.22 | Tech:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 9 | 5 | DealerA | All2All | 2 | 90 | -66 | -302 | Region>limit | Reduce | Regional concentration above limit | 162 | Defer adds pending macro print |
C09733 | CR3495 | 2024-07-10 | Tightening | 120 | 459 | 5.1 | 1.8 | 1,403,121,845 | RealEstate:10.4;Industrials:7.7;Comm:13.7;Utilities:23.3;Materials:19.3;Financials:25.6 | US:61.6;EU:16.5;APAC:9.2;EMEA:6.8;LATAM:5.8 | A:8.4;BBB:23.3;B:18.9;AA:25.8;BB:23.7 | 0.73 | 53.3 | 127 | 395 | 13.9 | 3 | 20 | 45 | 25 | true | true | true | false | 0.53 | 1.33 | -0.18 | Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 14 | 29 | DealerC | All2All | 1 | 97 | 189 | 3 | Sector>limit | Hedge | Sector concentration above limit | 151 | Reviewed by risk; hedges staggered |
C09734 | CR6016 | 2025-05-30 | Tightening | 94 | 360 | 3.9 | 0.8 | 2,072,896,054 | Financials:43.2;Materials:21.8;Tech:35.0 | US:67.9;EU:13.1;APAC:9.1;EMEA:4.2;LATAM:5.7 | AAA:45.7;BB:5.4;B:7.8;CCC:8.7;A:32.4 | 3.2 | 46.2 | 157 | 397 | 2.3 | 2 | 35 | 55 | 20 | true | true | true | false | 1.46 | 1.3 | 0.45 | Tech:EW;Utilities:EW | Hedge | CDX_IG: +89bps notional | -30 | -21 | ECN2 | Electronic | 5 | 88 | 153 | 96 | VAR>budget | Hedge | Portfolio VAR above budget | 149 | Defer adds pending macro print |
C09735 | CR5732 | 2025-12-04 | Recovery | 109 | 581 | 5.7 | 0.7 | 67,272,696 | Financials:14.2;Healthcare:20.8;Consumer:24.0;Comm:19.9;Materials:21.1 | US:75.5;EU:9.3;APAC:7.9;EMEA:7.0;LATAM:0.3 | CCC:32.6;AA:13.1;A:26.0;BB:17.6;BBB:10.9 | 3.47 | 61.6 | 118 | 309 | 6.3 | 2.5 | 30 | 55 | 35 | false | true | true | false | 2.48 | 1.66 | 0.43 | Industrials:EW | Hedge | iTraxx_MAIN: +91bps notional | 18 | -6 | ECN2 | DealerAxed | 6 | 93 | -78 | 78 | VAR>budget | Reduce | Portfolio VAR above budget | 135 | Escalate watchlist names |
C09736 | CR0118 | 2025-08-22 | Calm | 112 | 317 | 4 | 1.9 | 277,574,354 | Utilities:36.3;RealEstate:16.9;Materials:46.8 | US:60.1;EU:19.3;APAC:9.9;EMEA:3.7;LATAM:7.0 | BB:20.4;B:19.5;AA:19.9;CCC:10.4;AAA:19.7;A:10.2 | 4.97 | 59.2 | 195 | 138 | 4.4 | 4 | 25 | 55 | 30 | true | true | true | false | 1.43 | -0.12 | -0.12 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 13 | 9 | DealerC | Electronic | 4 | 96 | 117 | -382 | Region>limit | Hedge | Regional concentration above limit | 222 | Escalate watchlist names |
C09737 | CR4599 | 2025-02-27 | Stress | 164 | 826 | 8.2 | -1.8 | 130,136,789 | Consumer:16.2;Energy:43.1;Comm:19.9;RealEstate:20.8 | US:63.1;EU:14.7;APAC:12.4;EMEA:5.9;LATAM:3.9 | AAA:32.3;A:21.7;B:21.2;BB:24.8 | 2.99 | 58.2 | 336 | 665 | 18.3 | 3 | 20 | 45 | 20 | true | true | true | true | -0.01 | 0 | 0.28 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -51 | -22 | ECN2 | Electronic | 11 | 90 | 218 | -421 | HYCap>limit | Rotate | High-yield share above policy cap | 173 | Defer adds pending macro print |
C09738 | CR9718 | 2025-09-01 | Tightening | 126 | 425 | 5.1 | 1.1 | 2,592,463,179 | Utilities:12.5;Industrials:14.5;Tech:16.7;Financials:19.3;Consumer:22.2;Energy:14.8 | US:65.3;EU:14.0;APAC:10.9;EMEA:8.0;LATAM:1.9 | AA:25.1;B:31.1;BB:13.9;CCC:11.1;A:18.8 | 5.98 | 32.8 | 128 | 397 | 17 | 4 | 25 | 45 | 35 | false | true | true | false | -0.45 | 0.92 | 0.21 | RealEstate:EW | Hedge | CDX_IG: +75bps notional | -18 | 30 | ECN2 | Electronic | 5 | 92 | 310 | 15 | HYCap>limit | Reduce | High-yield share above policy cap | 250 | Reviewed by risk; hedges staggered |
C09739 | CR1114 | 2025-06-26 | Calm | 101 | 348 | 3.3 | 2.4 | 731,920,711 | Energy:11.3;Industrials:25.7;Consumer:23.9;Financials:13.9;Comm:25.2 | US:62.3;EU:16.6;APAC:9.5;EMEA:4.7;LATAM:6.9 | CCC:27.6;AAA:14.9;BBB:20.6;A:16.4;B:11.7;BB:8.9 | 2.06 | 26.2 | 148 | 324 | 14.8 | 3 | 30 | 45 | 25 | false | true | true | false | 0.12 | -0.12 | 0.26 | Financials:EW | Hedge | CDX_IG: +152bps notional | -1 | 23 | DealerC | Electronic | 6 | 100 | -14 | -290 | HYCap>limit | Rotate | High-yield share above policy cap | 172 | Reviewed by risk; hedges staggered |
C09740 | CR0428 | 2025-11-17 | Tightening | 131 | 509 | 4 | 1.1 | 205,009,392 | RealEstate:20.8;Healthcare:20.0;Utilities:19.1;Energy:14.0;Tech:26.1 | US:55.0;EU:17.6;APAC:10.3;EMEA:9.5;LATAM:7.6 | B:32.0;A:25.6;AAA:10.9;CCC:31.5 | 2.12 | 30.2 | 236 | 377 | 10.4 | 4 | 20 | 45 | 30 | true | true | true | true | -0.04 | 1.23 | -0.31 | Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -6 | 10 | DealerA | Electronic | 11 | 86 | -33 | -354 | HYCap>limit | Rotate | High-yield share above policy cap | 208 | Reviewed by risk; hedges staggered |
C09741 | CR0183 | 2024-09-02 | Stress | 204 | 672 | 7.1 | 0.2 | 574,966,791 | Financials:32.0;Energy:33.7;RealEstate:12.7;Healthcare:21.6 | US:57.7;EU:18.0;APAC:9.7;EMEA:8.7;LATAM:6.0 | BB:22.2;AA:10.1;BBB:16.7;A:18.8;B:32.1 | 5.46 | 59.7 | 279 | 276 | 12 | 4 | 30 | 35 | 30 | true | true | true | true | 1.15 | 0.82 | 0.29 | Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -43 | 45 | ECN1 | DealerAxed | 11 | 89 | 182 | -475 | Sector>limit | Reduce | Sector concentration above limit | 102 | Rotate into defensive sectors |
C09742 | CR0327 | 2024-06-21 | Tightening | 120 | 379 | 4.3 | 0.9 | 1,614,663,917 | Industrials:14.9;Comm:47.1;Tech:38.0 | US:70.8;EU:11.9;APAC:10.8;EMEA:3.0;LATAM:3.6 | BB:6.6;CCC:7.3;AA:12.7;BBB:18.0;A:39.1;B:16.3 | 2.6 | 51.1 | 194 | 507 | 3.4 | 3 | 20 | 55 | 30 | true | true | true | false | 0.52 | 1.79 | 0.1 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -21 | 0 | DealerA | Electronic | 2 | 98 | 358 | -268 | Region>limit | Hedge | Regional concentration above limit | 119 | Tighten HY exposure bands |
C09743 | CR5752 | 2024-07-21 | Tightening | 122 | 487 | 5 | 0.7 | 2,619,061,954 | Healthcare:10.1;Tech:26.3;Materials:9.1;Comm:29.7;Energy:24.8 | US:73.5;EU:10.1;APAC:7.7;EMEA:8.7;LATAM:0.0 | CCC:38.7;B:11.8;BB:16.0;AAA:33.5 | 7.26 | 27.9 | 139 | 503 | 8.8 | 3.5 | 35 | 45 | 20 | false | true | true | false | 0.85 | -0.21 | 0.14 | Financials:EW;Materials:EW | Hedge | Options_Payer: +191bps notional | -48 | -14 | DealerA | DealerAxed | 2 | 99 | 434 | -14 | Sector>limit | Hedge | Sector concentration above limit | 178 | Defer adds pending macro print |
C09744 | CR8206 | 2024-03-06 | Recovery | 152 | 594 | 4.7 | 1.4 | 1,773,374,868 | Industrials:15.7;Utilities:37.2;Materials:23.5;Comm:23.6 | US:69.3;EU:16.2;APAC:8.2;EMEA:5.3;LATAM:0.9 | BB:7.6;BBB:26.7;A:17.3;B:8.7;CCC:9.3;AAA:30.4 | 2.32 | 31.6 | 159 | 330 | 3.1 | 2.5 | 25 | 45 | 30 | true | true | false | false | 1.32 | 1.49 | 0.58 | null | Hedge | Treasury_Futures: +137bps notional | 3 | -2 | DealerB | Electronic | 0 | 87 | -103 | -17 | Region>limit | Reduce | Regional concentration above limit | 191 | Rotate into defensive sectors |
C09745 | CR8527 | 2024-07-30 | Tightening | 116 | 408 | 4.8 | 1.4 | 218,070,214 | Materials:55.5;Utilities:23.2;Industrials:21.3 | US:71.0;EU:5.2;APAC:13.4;EMEA:5.6;LATAM:4.7 | B:8.1;BB:6.7;BBB:39.3;A:46.0 | 4.9 | 60.6 | 162 | 477 | 7.4 | 4 | 30 | 45 | 30 | true | true | false | false | -0.11 | 1.4 | 0.27 | Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 19 | 10 | DealerB | RFQ | 11 | 96 | 331 | 179 | HYCap>limit | Reduce | High-yield share above policy cap | 117 | Escalate watchlist names |
C09746 | CR7860 | 2025-10-08 | Tightening | 123 | 400 | 4.9 | 1 | 2,705,328,269 | RealEstate:12.1;Utilities:31.1;Materials:10.8;Comm:30.1;Energy:15.8 | US:67.1;EU:11.0;APAC:14.8;EMEA:6.7;LATAM:0.4 | CCC:17.0;BBB:14.1;A:10.3;AA:32.3;B:4.7;BB:21.6 | 0.88 | 27.7 | 221 | 317 | 14.3 | 2.5 | 20 | 55 | 25 | true | true | true | true | -0.46 | -0.14 | -0.38 | Healthcare:EW;RealEstate:EW | Hedge | Treasury_Futures: +127bps notional | -6 | 30 | DealerA | DealerAxed | 8 | 97 | -119 | 99 | HYCap>limit | Hedge | High-yield share above policy cap | 90 | Rotate into defensive sectors |
C09747 | CR6081 | 2024-11-07 | Recovery | 116 | 491 | 5.9 | -0.5 | 2,907,899,810 | Materials:7.1;Industrials:27.1;Energy:15.9;Comm:21.3;Utilities:6.0;RealEstate:22.7 | US:63.1;EU:9.9;APAC:12.0;EMEA:7.8;LATAM:7.2 | AAA:13.5;BBB:31.2;AA:23.9;A:31.4 | 3.75 | 31 | 85 | 394 | 4.9 | 2 | 35 | 35 | 20 | false | true | false | false | 2.1 | 1.09 | 0.53 | RealEstate:EW;Financials:EW | Hedge | iTraxx_MAIN: +69bps notional | 19 | 42 | ECN2 | RFQ | 8 | 85 | 259 | -170 | Region>limit | Reduce | Regional concentration above limit | 108 | Reviewed by risk; hedges staggered |
C09748 | CR8641 | 2025-01-09 | Tightening | 121 | 379 | 4.6 | 1.5 | 1,704,574,492 | Tech:23.2;Consumer:20.8;Industrials:9.3;Comm:7.9;RealEstate:18.5;Energy:20.3 | US:64.0;EU:10.5;APAC:10.7;EMEA:13.4;LATAM:1.4 | AAA:16.6;AA:28.9;A:28.0;CCC:15.1;BB:11.4 | 4.61 | 63.6 | 217 | 337 | 7.3 | 3.5 | 35 | 35 | 35 | false | true | false | true | -0.24 | 0.19 | 0.04 | Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -32 | 12 | ECN1 | All2All | 1 | 97 | 338 | 87 | Sector>limit | PauseAdds | Sector concentration above limit | 159 | Reviewed by risk; hedges staggered |
C09749 | CR2810 | 2024-10-06 | Recovery | 149 | 535 | 6.4 | 1.9 | 1,964,435,004 | Energy:32.5;RealEstate:28.4;Tech:39.1 | US:69.1;EU:13.6;APAC:6.4;EMEA:10.2;LATAM:0.8 | A:25.4;BB:8.5;CCC:10.0;B:3.9;AA:21.1;BBB:31.2 | 3.6 | 20.8 | 214 | 355 | 2.6 | 3 | 25 | 35 | 20 | true | true | true | true | 0.52 | 0.48 | -0.35 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -54 | 42 | ECN1 | DealerAxed | 1 | 97 | 265 | 11 | Sector>limit | Rotate | Sector concentration above limit | 238 | Escalate watchlist names |
C09750 | CR9690 | 2025-07-16 | Stress | 253 | 848 | 6.9 | -0.1 | 875,117,449 | Energy:7.7;Financials:6.2;Industrials:25.7;Comm:29.1;RealEstate:22.2;Tech:9.1 | US:72.5;EU:6.5;APAC:6.3;EMEA:7.4;LATAM:7.3 | CCC:9.0;AA:36.7;BB:2.5;AAA:18.2;B:6.7;A:26.9 | 0.72 | 44.2 | 270 | 456 | 7.4 | 3.5 | 20 | 35 | 35 | true | true | false | true | 0.66 | 1.27 | -0.34 | Industrials:EW;Consumer:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 5 | 22 | DealerB | Electronic | 3 | 91 | -143 | -260 | Sector>limit | Hedge | Sector concentration above limit | 231 | Tighten HY exposure bands |
C09751 | CR3452 | 2024-01-22 | Calm | 75 | 284 | 4.2 | 2.7 | 1,045,545,192 | Financials:10.8;Healthcare:33.4;Consumer:14.5;Comm:16.2;Industrials:25.1 | US:70.0;EU:9.9;APAC:7.9;EMEA:8.9;LATAM:3.3 | BB:29.6;AA:16.4;AAA:13.8;CCC:15.9;A:8.3;B:16.2 | 3.93 | 32.1 | 178 | 166 | 9.3 | 2 | 35 | 35 | 30 | false | true | true | false | 0.35 | 1.06 | 0.13 | Energy:EW | Hedge | CDX_HY: +109bps notional | 17 | -1 | DealerA | Electronic | 4 | 89 | 244 | -431 | HYCap>limit | Reduce | High-yield share above policy cap | 180 | Escalate watchlist names |
C09752 | CR8843 | 2025-08-23 | Recovery | 140 | 561 | 5.8 | 1.6 | 2,354,734,619 | Utilities:28.8;Consumer:20.0;Comm:19.0;Healthcare:32.2 | US:56.8;EU:18.5;APAC:11.8;EMEA:12.6;LATAM:0.2 | A:14.9;BBB:21.2;AA:29.9;CCC:22.4;AAA:11.6 | 6.24 | 51.4 | 207 | 127 | 10.5 | 4 | 20 | 55 | 30 | true | true | false | true | 1.4 | 0.77 | 0.43 | Utilities:EW;Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -6 | 37 | ECN2 | RFQ | 0 | 98 | 220 | -190 | Region>limit | Reduce | Regional concentration above limit | 152 | Rotate into defensive sectors |
C09753 | CR3929 | 2025-04-25 | Tightening | 93 | 424 | 5.1 | 1.4 | 85,101,995 | Energy:25.6;Financials:32.3;RealEstate:16.0;Utilities:26.1 | US:74.3;EU:5.8;APAC:12.6;EMEA:3.0;LATAM:4.3 | AA:26.1;A:26.0;CCC:16.9;BB:12.0;B:19.1 | 0.61 | 28.3 | 220 | 452 | 6.4 | 2 | 20 | 55 | 25 | true | true | true | true | -0.3 | 0.05 | 0.39 | RealEstate:EW | Hedge | CDX_IG: +132bps notional | -20 | 41 | DealerA | Electronic | 1 | 96 | 153 | -421 | VAR>budget | Reduce | Portfolio VAR above budget | 231 | Rotate into defensive sectors |
C09754 | CR7740 | 2025-10-04 | Tightening | 142 | 424 | 4.3 | 0.5 | 1,782,521,334 | Healthcare:15.4;Utilities:26.5;RealEstate:22.6;Comm:6.4;Tech:11.1;Materials:18.1 | US:65.2;EU:6.6;APAC:14.6;EMEA:5.6;LATAM:8.0 | CCC:6.7;BBB:24.0;AAA:12.4;B:8.5;AA:22.5;A:25.9 | 2.97 | 40.1 | 192 | 490 | 15.7 | 3 | 25 | 35 | 30 | true | true | false | false | 1.69 | 0.77 | -0.19 | RealEstate:EW | Hedge | iTraxx_XOVER: +145bps notional | 3 | 9 | DealerA | All2All | 4 | 95 | -10 | -90 | VAR>budget | PauseAdds | Portfolio VAR above budget | 206 | Tighten HY exposure bands |
C09755 | CR6561 | 2025-10-03 | Calm | 108 | 296 | 4 | 2.2 | 860,260,858 | Comm:36.8;Energy:21.9;Industrials:41.3 | US:64.8;EU:9.0;APAC:9.9;EMEA:10.6;LATAM:5.7 | BB:29.5;CCC:6.6;AAA:12.2;B:28.2;A:8.0;BBB:15.5 | 2.78 | 51.4 | 261 | 121 | 4.8 | 3.5 | 20 | 45 | 35 | true | true | true | true | 0.9 | 0.15 | -0.17 | Financials:EW;Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -11 | -21 | DealerB | RFQ | 0 | 90 | 21 | -378 | HYCap>limit | Reduce | High-yield share above policy cap | 258 | Defer adds pending macro print |
C09756 | CR3764 | 2025-06-06 | Stress | 246 | 742 | 7.9 | -1.5 | 1,206,708,915 | RealEstate:17.0;Energy:17.8;Tech:13.8;Utilities:27.2;Materials:24.3 | US:68.8;EU:9.4;APAC:7.7;EMEA:7.2;LATAM:6.9 | A:22.2;B:13.8;AAA:22.4;BB:9.5;CCC:15.6;BBB:16.4 | 5.45 | 62 | 241 | 411 | 18.8 | 3.5 | 20 | 45 | 35 | true | true | true | true | 0.7 | 0.73 | 0.21 | null | Hedge | iTraxx_XOVER: +153bps notional | -44 | -22 | DealerC | RFQ | 10 | 85 | 368 | -257 | VAR>budget | Rotate | Portfolio VAR above budget | 136 | Rotate into defensive sectors |
C09757 | CR0040 | 2024-05-05 | Tightening | 136 | 427 | 4.7 | 0.6 | 2,943,432,790 | Tech:22.9;Industrials:30.9;Materials:20.3;Consumer:25.9 | US:60.6;EU:10.4;APAC:11.5;EMEA:11.4;LATAM:6.1 | BBB:28.0;AAA:11.6;A:17.6;CCC:16.7;B:7.1;BB:19.1 | 5.52 | 58.7 | 259 | 446 | 17.9 | 4 | 20 | 55 | 35 | true | true | true | true | -0.21 | 0.77 | -0.13 | RealEstate:EW;Energy:EW | Hedge | CDX_IG: +179bps notional | -25 | 41 | DealerA | DealerAxed | 1 | 86 | 171 | -40 | Sector>limit | Hedge | Sector concentration above limit | 180 | Defer adds pending macro print |
C09758 | CR7680 | 2025-12-08 | Calm | 80 | 364 | 3.5 | 2.5 | 1,013,681,309 | Consumer:46.0;Energy:34.9;Materials:19.1 | US:70.4;EU:7.3;APAC:12.2;EMEA:5.6;LATAM:4.5 | BBB:28.0;AAA:26.3;BB:9.7;A:26.1;CCC:9.8 | 6.81 | 37.8 | 96 | 510 | 10.6 | 3 | 35 | 35 | 30 | true | true | false | false | 1.92 | 1.77 | 0.18 | Materials:EW;Comm:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -10 | 14 | ECN1 | All2All | 11 | 85 | 87 | -15 | Region>limit | Hedge | Regional concentration above limit | 138 | Defer adds pending macro print |
C09759 | CR3543 | 2024-03-18 | Stress | 257 | 757 | 6 | -1.8 | 2,084,271,984 | Industrials:23.1;Healthcare:17.3;Consumer:21.8;RealEstate:12.2;Comm:9.9;Tech:15.7 | US:71.2;EU:10.7;APAC:10.0;EMEA:6.4;LATAM:1.6 | B:18.5;BB:22.0;AA:12.7;CCC:22.6;AAA:7.4;BBB:16.7 | 4.9 | 26.7 | 164 | 413 | 8.5 | 2 | 25 | 55 | 25 | false | true | true | false | 0.65 | 1.6 | 0.56 | Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -30 | 39 | DealerB | All2All | 9 | 92 | 160 | -156 | HYCap>limit | Reduce | High-yield share above policy cap | 112 | Tighten HY exposure bands |
C09760 | CR0417 | 2025-11-02 | Recovery | 145 | 509 | 5.7 | 1.4 | 2,923,614,928 | Materials:23.5;Energy:9.0;Financials:22.5;Tech:14.7;RealEstate:13.5;Comm:16.7 | US:68.7;EU:12.9;APAC:12.1;EMEA:5.9;LATAM:0.4 | AA:20.3;A:13.9;BB:21.4;CCC:16.9;BBB:12.8;AAA:14.8 | 2.48 | 60.7 | 264 | 470 | 10.3 | 3.5 | 25 | 55 | 30 | false | true | true | true | 0.11 | 0.03 | 0.24 | Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 7 | 37 | DealerB | DealerAxed | 12 | 87 | 310 | -376 | HYCap>limit | Reduce | High-yield share above policy cap | 95 | Rotate into defensive sectors |
C09761 | CR6031 | 2024-06-23 | Calm | 73 | 413 | 3.4 | 1.6 | 2,787,065,410 | Tech:31.9;Financials:20.5;Healthcare:27.5;Industrials:20.2 | US:63.1;EU:17.6;APAC:8.0;EMEA:10.0;LATAM:1.3 | BB:6.9;CCC:19.7;AAA:34.8;B:10.6;BBB:28.1 | 4.3 | 20.8 | 239 | 327 | 15.9 | 2.5 | 20 | 45 | 25 | true | true | true | true | 2.31 | 1.52 | 0.57 | RealEstate:EW | Hedge | Treasury_Futures: +130bps notional | -32 | -25 | DealerC | Electronic | 1 | 93 | 380 | -93 | HYCap>limit | PauseAdds | High-yield share above policy cap | 192 | Rotate into defensive sectors |
C09762 | CR5357 | 2025-06-04 | Calm | 96 | 322 | 3.5 | 2.9 | 616,161,478 | Tech:19.8;Comm:7.5;Materials:17.0;Utilities:20.3;RealEstate:12.6;Healthcare:22.8 | US:64.7;EU:12.4;APAC:9.8;EMEA:11.9;LATAM:1.2 | B:30.4;AAA:26.5;AA:14.6;CCC:28.5 | 1.54 | 41.6 | 139 | 398 | 5.6 | 4 | 20 | 35 | 30 | true | true | true | false | 0.52 | 0.99 | -0.4 | Utilities:EW;Energy:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 11 | 40 | DealerC | DealerAxed | 11 | 98 | 80 | 90 | Sector>limit | Rotate | Sector concentration above limit | 96 | Escalate watchlist names |
C09763 | CR6680 | 2025-06-16 | Recovery | 155 | 577 | 5.3 | -0.3 | 1,004,983,740 | Industrials:26.9;RealEstate:46.1;Consumer:27.1 | US:67.2;EU:13.3;APAC:10.2;EMEA:7.4;LATAM:1.9 | BB:5.9;AA:16.9;B:15.5;AAA:43.3;BBB:13.4;CCC:5.0 | 5.91 | 50.8 | 213 | 376 | 15.4 | 3 | 25 | 55 | 30 | true | true | false | true | 1.63 | 1.31 | 0.49 | RealEstate:EW | Hedge | Treasury_Futures: +138bps notional | -24 | -2 | DealerA | Electronic | 9 | 86 | 214 | 29 | Sector>limit | Hedge | Sector concentration above limit | 242 | Rotate into defensive sectors |
C09764 | CR1375 | 2025-12-22 | Stress | 200 | 781 | 5.9 | -1.7 | 2,231,595,791 | RealEstate:16.0;Comm:38.4;Utilities:13.4;Materials:32.1 | US:69.6;EU:5.1;APAC:11.0;EMEA:8.3;LATAM:6.1 | B:3.2;AA:24.9;BBB:24.2;A:21.5;AAA:11.9;CCC:14.4 | 6.06 | 63.9 | 284 | 560 | 16.3 | 3 | 30 | 45 | 20 | true | true | false | true | 1.81 | 1.68 | -0.36 | Financials:EW | Hedge | iTraxx_MAIN: +68bps notional | -26 | 32 | DealerB | All2All | 12 | 97 | -199 | -175 | HYCap>limit | Hedge | High-yield share above policy cap | 203 | Escalate watchlist names |
C09765 | CR3303 | 2025-08-12 | Stress | 224 | 682 | 5.1 | 0.8 | 563,694,263 | RealEstate:34.1;Energy:18.9;Utilities:31.3;Comm:15.6 | US:63.7;EU:8.5;APAC:17.0;EMEA:5.7;LATAM:5.1 | BB:9.8;AAA:26.6;BBB:14.7;AA:20.6;B:5.4;A:22.8 | 5.38 | 30 | 220 | 588 | 18.8 | 2 | 20 | 35 | 35 | true | true | false | true | -0.06 | 0.83 | 0.36 | Materials:EW;Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -40 | 24 | ECN1 | All2All | 3 | 93 | 49 | -202 | Region>limit | Rotate | Regional concentration above limit | 129 | Rotate into defensive sectors |
C09766 | CR8670 | 2025-12-16 | Tightening | 110 | 363 | 4.4 | 1 | 2,114,334,075 | Healthcare:9.8;Energy:38.5;RealEstate:18.7;Consumer:11.4;Industrials:10.3;Utilities:11.3 | US:65.8;EU:8.4;APAC:13.5;EMEA:8.2;LATAM:4.0 | AA:25.6;BBB:14.7;B:22.5;CCC:25.4;BB:11.9 | 2.64 | 41 | 124 | 458 | 14.2 | 3 | 25 | 45 | 30 | true | true | true | false | 2.44 | 0.62 | 0.45 | Consumer:EW | Hedge | Treasury_Futures: +100bps notional | -25 | 24 | DealerB | All2All | 6 | 96 | -24 | -353 | Region>limit | Reduce | Regional concentration above limit | 154 | Defer adds pending macro print |
C09767 | CR9150 | 2024-07-14 | Recovery | 117 | 554 | 6.3 | 1.8 | 1,667,805,231 | Energy:26.3;Healthcare:22.5;Utilities:34.4;RealEstate:16.9 | US:71.0;EU:5.4;APAC:10.5;EMEA:10.1;LATAM:3.0 | B:28.0;BBB:28.0;BB:14.8;A:29.2 | 4.35 | 33 | 206 | 295 | 16.6 | 3 | 25 | 35 | 35 | true | true | true | true | 2.47 | 0.01 | 0.44 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -46 | 41 | DealerA | All2All | 3 | 92 | 21 | -163 | Sector>limit | Reduce | Sector concentration above limit | 181 | Tighten HY exposure bands |
C09768 | CR3701 | 2025-09-23 | Calm | 79 | 335 | 3.4 | 3 | 875,574,695 | Financials:26.0;Materials:30.5;Tech:9.7;RealEstate:22.1;Comm:11.8 | US:80.9;EU:7.6;APAC:7.0;EMEA:4.0;LATAM:0.4 | BBB:15.8;A:26.2;B:24.6;BB:10.6;AAA:22.7 | 3.09 | 52.4 | 183 | 505 | 15.9 | 3 | 25 | 45 | 35 | true | true | true | false | 1.6 | 0.94 | -0.3 | null | Rotate | From Energy -1.0% to Utilities +1.0% | 6 | 28 | ECN2 | All2All | 4 | 97 | 122 | -379 | HYCap>limit | Hedge | High-yield share above policy cap | 249 | Reviewed by risk; hedges staggered |
C09769 | CR5618 | 2025-12-17 | Calm | 111 | 344 | 3.9 | 1.8 | 1,915,811,451 | Materials:46.4;Industrials:42.1;Tech:11.5 | US:62.3;EU:9.3;APAC:16.5;EMEA:10.9;LATAM:1.0 | BBB:34.4;AAA:29.0;AA:21.0;A:15.7 | 3.09 | 22 | 124 | 473 | 16.3 | 3.5 | 20 | 35 | 35 | true | true | false | false | 0.83 | 1.12 | -0.35 | Utilities:EW | Hedge | iTraxx_MAIN: +151bps notional | -8 | 33 | DealerB | Electronic | 7 | 91 | 245 | 89 | HYCap>limit | Reduce | High-yield share above policy cap | 172 | Tighten HY exposure bands |
C09770 | CR4983 | 2024-11-16 | Recovery | 159 | 628 | 5.9 | 0.6 | 836,668,433 | Financials:11.2;Tech:40.0;Healthcare:20.7;Industrials:9.5;Comm:18.5 | US:67.3;EU:18.0;APAC:10.0;EMEA:4.0;LATAM:0.6 | B:15.8;AAA:26.2;AA:27.9;CCC:30.2 | 3.73 | 42.6 | 172 | 450 | 2.5 | 3.5 | 30 | 55 | 20 | true | true | true | false | 2.24 | 0.42 | 0.28 | Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -12 | 21 | DealerC | All2All | 3 | 94 | 373 | -330 | Sector>limit | Reduce | Sector concentration above limit | 209 | Rotate into defensive sectors |
C09771 | CR3199 | 2025-01-16 | Tightening | 135 | 392 | 3.9 | 1.3 | 160,395,036 | Materials:45.5;Healthcare:22.0;Financials:19.7;Consumer:12.8 | US:62.3;EU:8.8;APAC:8.9;EMEA:12.3;LATAM:7.7 | BB:29.1;A:29.2;B:19.8;CCC:21.9 | 1.62 | 51.2 | 170 | 375 | 17.3 | 2 | 35 | 55 | 20 | true | true | true | false | 0.35 | 1.46 | 0.59 | Tech:EW;Consumer:EW | Hedge | iTraxx_MAIN: +193bps notional | 11 | -19 | ECN1 | All2All | 2 | 87 | 360 | -82 | Sector>limit | Reduce | Sector concentration above limit | 196 | Defer adds pending macro print |
C09772 | CR3069 | 2025-05-17 | Recovery | 106 | 440 | 5.7 | -0.4 | 139,014,086 | Industrials:22.4;Materials:21.3;Utilities:9.1;Comm:25.2;Tech:22.0 | US:63.4;EU:15.4;APAC:9.0;EMEA:5.4;LATAM:6.9 | CCC:48.4;AAA:12.2;A:14.5;BBB:24.9 | 6.67 | 24.3 | 155 | 125 | 12.8 | 3 | 35 | 45 | 25 | false | true | true | false | -0.37 | -0.01 | 0.16 | Industrials:EW;Utilities:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -54 | 12 | ECN1 | RFQ | 5 | 88 | 206 | -274 | Region>limit | Rotate | Regional concentration above limit | 93 | Reviewed by risk; hedges staggered |
C09773 | CR0978 | 2025-05-26 | Calm | 67 | 365 | 4 | 2.4 | 457,035,689 | Consumer:26.3;Tech:7.2;Industrials:20.1;RealEstate:7.9;Energy:24.4;Utilities:14.1 | US:55.8;EU:15.2;APAC:12.8;EMEA:10.4;LATAM:5.8 | B:11.3;CCC:3.9;AAA:25.7;BB:12.1;A:29.5;BBB:17.4 | 2.58 | 52.7 | 120 | 141 | 13 | 4 | 30 | 55 | 25 | false | true | true | false | 0.21 | 1.06 | -0.15 | Utilities:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -50 | -20 | DealerB | Electronic | 8 | 99 | 136 | -440 | Sector>limit | Reduce | Sector concentration above limit | 108 | Tighten HY exposure bands |
C09774 | CR2216 | 2024-10-01 | Tightening | 138 | 417 | 5 | 0.9 | 1,480,539,984 | Materials:12.3;Consumer:15.4;Tech:7.2;Industrials:23.4;RealEstate:21.5;Comm:20.2 | US:64.3;EU:11.7;APAC:7.2;EMEA:10.0;LATAM:6.8 | AA:14.5;B:24.6;BB:20.8;A:10.8;CCC:14.8;BBB:14.5 | 6.39 | 21.6 | 162 | 232 | 16.7 | 2 | 35 | 35 | 20 | false | true | true | false | 0.5 | 1.78 | 0.52 | Industrials:EW;Financials:EW;Materials:EW | Hedge | SingleName_CDS: +116bps notional | -3 | 16 | DealerC | DealerAxed | 5 | 93 | 86 | -39 | HYCap>limit | Reduce | High-yield share above policy cap | 209 | Escalate watchlist names |
C09775 | CR9647 | 2025-04-19 | Stress | 225 | 665 | 5.2 | -0.4 | 1,647,225,000 | Industrials:18.9;Materials:17.4;Comm:16.0;Financials:10.3;Utilities:27.2;RealEstate:10.1 | US:62.5;EU:8.8;APAC:14.4;EMEA:9.0;LATAM:5.4 | BB:28.3;AA:23.7;CCC:23.2;A:24.8 | 5.28 | 24.3 | 277 | 466 | 15.8 | 3 | 25 | 35 | 30 | true | true | true | true | 1 | -0.08 | -0.26 | Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -48 | -20 | ECN2 | DealerAxed | 3 | 85 | -74 | 12 | Sector>limit | Rotate | Sector concentration above limit | 257 | Escalate watchlist names |
C09776 | CR2803 | 2025-08-20 | Recovery | 110 | 503 | 5.6 | 1.8 | 986,591,030 | Energy:24.4;Utilities:19.0;Materials:11.9;Consumer:20.6;Comm:24.1 | US:65.2;EU:19.5;APAC:5.3;EMEA:9.6;LATAM:0.4 | AAA:15.3;B:13.3;AA:12.7;BB:29.0;BBB:29.6 | 6.37 | 29.5 | 132 | 328 | 12.8 | 2.5 | 30 | 45 | 25 | false | true | true | false | 0.63 | 1.78 | 0.42 | Consumer:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -49 | -17 | DealerB | RFQ | 0 | 99 | 28 | -68 | HYCap>limit | PauseAdds | High-yield share above policy cap | 234 | Rotate into defensive sectors |
C09777 | CR2481 | 2024-07-07 | Calm | 70 | 384 | 4.3 | 2.2 | 1,792,553,822 | Financials:16.4;Energy:28.9;Tech:16.8;Healthcare:38.0 | US:56.5;EU:15.5;APAC:14.2;EMEA:6.4;LATAM:7.4 | BBB:27.6;AAA:23.3;BB:26.9;AA:22.2 | 1.46 | 61.3 | 130 | 371 | 5.5 | 2.5 | 25 | 35 | 35 | true | true | false | false | 0.51 | 0.65 | -0.13 | Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -32 | -20 | ECN2 | DealerAxed | 10 | 92 | 105 | 27 | HYCap>limit | Hedge | High-yield share above policy cap | 204 | Escalate watchlist names |
C09778 | CR8985 | 2024-12-27 | Calm | 85 | 291 | 4.4 | 1.9 | 866,561,689 | RealEstate:20.2;Utilities:13.1;Comm:31.1;Tech:26.3;Materials:9.4 | US:58.7;EU:19.4;APAC:15.2;EMEA:5.7;LATAM:0.9 | B:29.0;BBB:19.3;CCC:9.9;BB:11.7;AA:13.1;AAA:17.0 | 5.33 | 41.8 | 244 | 430 | 15.7 | 3.5 | 25 | 35 | 20 | true | true | true | true | 1.36 | 1.54 | 0.45 | Healthcare:EW | Hedge | iTraxx_XOVER: +98bps notional | -52 | -20 | ECN2 | Electronic | 0 | 91 | 133 | 106 | Sector>limit | Rotate | Sector concentration above limit | 243 | Defer adds pending macro print |
C09779 | CR5465 | 2024-03-19 | Stress | 162 | 747 | 5.3 | -1.5 | 1,382,277,598 | Utilities:37.3;Financials:29.7;Healthcare:33.0 | US:73.9;EU:8.3;APAC:13.0;EMEA:4.3;LATAM:0.4 | BB:18.2;BBB:44.8;B:4.3;A:32.7 | 4.53 | 43.4 | 231 | 342 | 18.9 | 3 | 20 | 35 | 30 | true | true | false | true | -0.24 | 1.48 | -0.05 | null | Hedge | CDX_HY: +182bps notional | 8 | 30 | DealerA | RFQ | 4 | 85 | -2 | -334 | Sector>limit | Reduce | Sector concentration above limit | 256 | Escalate watchlist names |
C09780 | CR3429 | 2025-11-02 | Calm | 109 | 344 | 4 | 1.6 | 2,361,407,423 | Tech:12.7;Industrials:28.1;Healthcare:10.5;Utilities:27.7;RealEstate:21.1 | US:73.7;EU:6.9;APAC:6.8;EMEA:7.6;LATAM:5.1 | AA:15.9;BB:17.5;BBB:37.2;B:13.3;AAA:16.0 | 5.14 | 37.8 | 199 | 475 | 2.7 | 3 | 30 | 35 | 25 | false | true | true | false | 1.14 | 1.64 | 0.17 | Healthcare:EW | Hedge | CDX_IG: +102bps notional | -27 | 29 | ECN2 | RFQ | 0 | 87 | 52 | -137 | HYCap>limit | Hedge | High-yield share above policy cap | 163 | Escalate watchlist names |
C09781 | CR5109 | 2025-08-23 | Stress | 244 | 674 | 8.1 | -0.3 | 140,385,000 | Financials:12.4;Materials:9.9;Consumer:35.5;Utilities:33.0;Energy:9.2 | US:61.6;EU:21.2;APAC:9.5;EMEA:5.2;LATAM:2.5 | BB:22.2;BBB:38.0;AAA:23.0;CCC:16.8 | 2.7 | 38.3 | 312 | 299 | 10 | 3.5 | 35 | 35 | 20 | true | true | true | true | 2.27 | 0.45 | 0.1 | Industrials:EW;Energy:EW | Hedge | Treasury_Futures: +82bps notional | 5 | 20 | ECN1 | All2All | 3 | 89 | -42 | 57 | VAR>budget | Reduce | Portfolio VAR above budget | 200 | Escalate watchlist names |
C09782 | CR9471 | 2024-02-19 | Stress | 228 | 759 | 8.1 | -0.4 | 1,613,234,424 | Energy:20.1;Comm:20.1;Financials:29.5;Tech:30.3 | US:58.8;EU:21.1;APAC:11.9;EMEA:3.9;LATAM:4.3 | AAA:14.8;AA:6.5;BB:20.0;B:32.6;CCC:6.7;BBB:19.4 | 2.17 | 39.7 | 212 | 616 | 18.1 | 3 | 20 | 35 | 35 | true | true | true | true | 2.41 | 0.65 | 0.47 | Industrials:EW;Comm:EW | Hedge | CDX_HY: +107bps notional | -2 | -4 | ECN2 | Electronic | 2 | 96 | 269 | -144 | Sector>limit | Rotate | Sector concentration above limit | 159 | Tighten HY exposure bands |
C09783 | CR8863 | 2025-10-17 | Recovery | 139 | 521 | 6 | 0.4 | 2,875,314,391 | Comm:32.2;Energy:17.0;Consumer:36.3;Tech:14.5 | US:72.9;EU:8.8;APAC:13.8;EMEA:4.0;LATAM:0.4 | BBB:38.6;BB:17.4;A:34.9;B:9.1 | 1.04 | 41.9 | 128 | 453 | 9.2 | 2.5 | 35 | 55 | 30 | true | true | false | false | -0.12 | 0.93 | -0.08 | RealEstate:EW | Hedge | CDX_HY: +183bps notional | -41 | 13 | DealerA | All2All | 5 | 97 | -96 | 134 | VAR>budget | Reduce | Portfolio VAR above budget | 198 | Tighten HY exposure bands |
C09784 | CR9965 | 2025-08-06 | Recovery | 177 | 582 | 4.8 | 1.7 | 352,103,636 | Materials:33.6;Healthcare:14.3;Utilities:18.3;Financials:12.8;Tech:21.0 | US:69.9;EU:10.5;APAC:7.9;EMEA:6.0;LATAM:5.8 | AAA:29.9;AA:27.2;A:17.6;B:25.3 | 1.73 | 55.8 | 228 | 226 | 4.7 | 3 | 25 | 35 | 20 | true | true | true | true | 1.53 | 1.03 | 0.29 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -5 | 6 | ECN2 | Electronic | 7 | 86 | 98 | -71 | Region>limit | Reduce | Regional concentration above limit | 256 | Escalate watchlist names |
C09785 | CR2742 | 2025-04-18 | Tightening | 93 | 518 | 4.1 | 1.5 | 686,115,519 | Consumer:16.9;Tech:25.7;Utilities:10.9;Financials:25.6;Comm:21.0 | US:64.9;EU:14.3;APAC:9.4;EMEA:4.1;LATAM:7.2 | A:32.7;B:6.8;AA:29.1;BB:6.9;BBB:24.5 | 3.29 | 57 | 131 | 319 | 4.9 | 2 | 20 | 35 | 30 | true | true | false | false | 1.14 | 1.4 | 0.32 | Consumer:EW | Hedge | SingleName_CDS: +141bps notional | -41 | 25 | ECN1 | DealerAxed | 11 | 89 | -124 | 58 | Sector>limit | PauseAdds | Sector concentration above limit | 155 | Reviewed by risk; hedges staggered |
C09786 | CR6356 | 2024-09-12 | Calm | 78 | 302 | 4.3 | 2.6 | 2,041,532,240 | Financials:31.7;Industrials:32.6;Comm:35.6 | US:70.9;EU:11.0;APAC:9.0;EMEA:7.7;LATAM:1.4 | CCC:25.1;BBB:42.0;AAA:17.5;AA:15.4 | 4.08 | 20.3 | 149 | 402 | 7.9 | 4 | 20 | 45 | 20 | true | true | true | false | 1.81 | 0.88 | -0.08 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -12 | 14 | DealerB | DealerAxed | 5 | 96 | -15 | 152 | HYCap>limit | PauseAdds | High-yield share above policy cap | 116 | Rotate into defensive sectors |
C09787 | CR2946 | 2025-12-20 | Recovery | 158 | 420 | 4.6 | 1.1 | 1,754,406,159 | RealEstate:19.1;Financials:11.1;Utilities:32.4;Tech:7.6;Materials:12.0;Consumer:17.8 | US:55.6;EU:16.2;APAC:15.3;EMEA:10.8;LATAM:2.2 | AAA:32.6;BBB:33.3;B:26.2;BB:7.9 | 7.28 | 28 | 91 | 181 | 10.5 | 2.5 | 35 | 45 | 25 | false | true | true | false | 0.39 | 1.6 | -0.07 | Materials:EW;Industrials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -43 | 39 | DealerA | DealerAxed | 12 | 91 | 290 | 17 | VAR>budget | Hedge | Portfolio VAR above budget | 253 | Defer adds pending macro print |
C09788 | CR3191 | 2024-11-16 | Stress | 238 | 644 | 5.8 | -0.4 | 2,583,794,259 | Financials:18.6;RealEstate:24.8;Energy:17.8;Industrials:20.0;Materials:18.8 | US:66.0;EU:10.0;APAC:10.6;EMEA:9.2;LATAM:4.3 | BBB:31.4;AA:22.2;AAA:20.4;A:26.0 | 1.39 | 60.8 | 222 | 325 | 11.7 | 3.5 | 20 | 35 | 25 | true | true | false | true | 1 | 0.12 | -0.15 | RealEstate:EW | Hedge | CDX_IG: +196bps notional | 0 | 1 | ECN2 | All2All | 8 | 98 | 254 | -412 | HYCap>limit | Hedge | High-yield share above policy cap | 136 | Tighten HY exposure bands |
C09789 | CR1699 | 2025-07-23 | Tightening | 156 | 515 | 5.1 | 1 | 2,313,714,265 | Consumer:45.2;Healthcare:42.2;Energy:12.6 | US:60.0;EU:16.0;APAC:11.7;EMEA:9.2;LATAM:3.2 | A:19.4;AA:26.4;CCC:20.5;BB:15.7;BBB:17.9 | 4.93 | 60.8 | 186 | 168 | 2.7 | 2.5 | 20 | 45 | 20 | true | true | true | false | 2.02 | 0.72 | -0.07 | Healthcare:EW | Hedge | Treasury_Futures: +123bps notional | 9 | 39 | DealerB | DealerAxed | 3 | 90 | 267 | -254 | VAR>budget | Rotate | Portfolio VAR above budget | 197 | Tighten HY exposure bands |
C09790 | CR2097 | 2025-09-22 | Stress | 183 | 623 | 5.6 | -0.3 | 1,802,424,669 | Materials:29.3;Industrials:39.8;Energy:31.0 | US:61.6;EU:17.5;APAC:10.1;EMEA:5.1;LATAM:5.7 | AAA:36.9;BB:15.9;CCC:15.2;BBB:32.0 | 0.48 | 58.3 | 225 | 622 | 12.6 | 3 | 30 | 55 | 25 | true | true | true | true | 2.27 | 1.7 | 0.31 | Materials:EW | Hedge | iTraxx_XOVER: +99bps notional | -24 | 7 | DealerC | RFQ | 9 | 96 | -104 | -217 | Sector>limit | Reduce | Sector concentration above limit | 214 | Defer adds pending macro print |
C09791 | CR5797 | 2024-06-24 | Recovery | 171 | 566 | 4.7 | 0.2 | 1,961,426,198 | Financials:30.2;Materials:30.3;Healthcare:15.6;Consumer:23.9 | US:65.9;EU:17.2;APAC:7.6;EMEA:7.0;LATAM:2.2 | AA:19.2;BBB:16.7;B:35.5;BB:28.6 | 3.7 | 42 | 136 | 362 | 11.4 | 4 | 35 | 55 | 35 | false | true | true | false | 1.98 | 1.29 | -0.1 | Healthcare:EW;Tech:EW;Energy:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -18 | 40 | DealerA | RFQ | 3 | 99 | 425 | 14 | Sector>limit | Reduce | Sector concentration above limit | 114 | Reviewed by risk; hedges staggered |
C09792 | CR2079 | 2025-12-25 | Calm | 115 | 376 | 4.1 | 2.1 | 2,516,319,830 | Healthcare:9.3;Financials:31.4;Tech:26.1;Consumer:12.9;Utilities:20.3 | US:67.3;EU:13.8;APAC:8.0;EMEA:8.8;LATAM:2.1 | BBB:34.6;AA:24.6;AAA:12.9;A:27.9 | 1.03 | 39.4 | 157 | 327 | 9.5 | 2.5 | 30 | 45 | 35 | true | true | false | false | 0.29 | 0.27 | 0.43 | RealEstate:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 11 | 6 | ECN2 | DealerAxed | 9 | 98 | -175 | 62 | Sector>limit | Reduce | Sector concentration above limit | 107 | Defer adds pending macro print |
C09793 | CR4625 | 2025-02-16 | Calm | 119 | 295 | 3.3 | 3 | 127,720,087 | Comm:18.5;Materials:37.4;Consumer:17.2;Utilities:26.8 | US:61.5;EU:13.5;APAC:13.0;EMEA:9.8;LATAM:2.2 | B:34.8;BB:12.4;AAA:14.5;AA:10.0;BBB:28.4 | 1.24 | 44.4 | 117 | 201 | 17.8 | 3.5 | 20 | 35 | 35 | true | true | true | false | 1.53 | 0.34 | 0.26 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -49 | 43 | DealerB | RFQ | 5 | 89 | 311 | -307 | Sector>limit | Rotate | Sector concentration above limit | 257 | Tighten HY exposure bands |
C09794 | CR6426 | 2024-11-15 | Tightening | 101 | 461 | 5.2 | 1.9 | 1,585,672,941 | Materials:6.5;Financials:28.3;Healthcare:20.1;Comm:15.4;Consumer:19.9;Industrials:9.8 | US:57.1;EU:15.1;APAC:15.0;EMEA:4.8;LATAM:8.0 | AA:11.6;CCC:26.9;BBB:13.2;A:7.3;BB:30.7;B:10.3 | 4.08 | 58.3 | 193 | 290 | 11.9 | 4 | 20 | 45 | 20 | true | true | true | false | -0.05 | -0.28 | 0.15 | null | Hedge | CDX_IG: +101bps notional | -17 | 4 | DealerA | DealerAxed | 8 | 99 | 119 | 179 | VAR>budget | Hedge | Portfolio VAR above budget | 196 | Reviewed by risk; hedges staggered |
C09795 | CR5466 | 2025-10-15 | Tightening | 156 | 466 | 4.7 | 0.9 | 2,858,343,283 | Consumer:14.5;Healthcare:17.0;Utilities:10.6;Energy:35.0;Financials:22.9 | US:60.7;EU:19.2;APAC:9.6;EMEA:6.5;LATAM:3.9 | B:17.2;CCC:19.1;A:28.4;AA:21.3;BB:14.0 | 6.03 | 29.7 | 254 | 300 | 16.5 | 4 | 25 | 35 | 30 | true | true | true | true | 1.09 | 1.74 | 0.19 | Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 10 | 29 | DealerA | DealerAxed | 6 | 86 | 154 | -330 | VAR>budget | Hedge | Portfolio VAR above budget | 166 | Defer adds pending macro print |
C09796 | CR8617 | 2025-06-02 | Tightening | 98 | 355 | 4.3 | 0.7 | 1,432,000,669 | Utilities:20.3;Comm:23.8;Energy:15.6;Tech:40.3 | US:52.9;EU:17.0;APAC:11.0;EMEA:11.5;LATAM:7.6 | BB:12.2;BBB:17.3;B:14.5;CCC:47.7;AAA:8.2 | 3.11 | 59.5 | 248 | 461 | 5.9 | 2 | 20 | 35 | 35 | true | true | true | true | 1.83 | 0.53 | -0.36 | Healthcare:EW | Hedge | iTraxx_MAIN: +161bps notional | 13 | -16 | DealerB | DealerAxed | 4 | 86 | 299 | -25 | HYCap>limit | Hedge | High-yield share above policy cap | 229 | Rotate into defensive sectors |
C09797 | CR3097 | 2024-07-18 | Stress | 222 | 647 | 6.6 | -0.6 | 1,005,386,023 | Consumer:47.0;Industrials:24.7;Healthcare:28.2 | US:72.4;EU:14.4;APAC:6.9;EMEA:3.5;LATAM:2.8 | BBB:26.9;B:20.1;AA:12.6;BB:20.8;CCC:19.6 | 3.62 | 44.4 | 215 | 307 | 5.8 | 4 | 30 | 45 | 25 | true | true | true | true | 2.44 | 0.67 | 0.42 | Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -35 | -22 | ECN1 | DealerAxed | 4 | 93 | -38 | 62 | VAR>budget | Reduce | Portfolio VAR above budget | 182 | Rotate into defensive sectors |
C09798 | CR7821 | 2025-04-03 | Tightening | 144 | 443 | 4.2 | 1.8 | 2,988,150,600 | Healthcare:23.3;Industrials:17.6;Comm:20.4;Energy:19.3;Consumer:19.3 | US:60.4;EU:15.5;APAC:7.8;EMEA:10.4;LATAM:5.8 | B:20.1;A:19.5;AA:14.7;BB:13.0;AAA:32.7 | 3.99 | 21.6 | 271 | 489 | 13 | 4 | 20 | 55 | 20 | true | true | true | true | 1.16 | 0.95 | 0.34 | Energy:EW | Hedge | iTraxx_MAIN: +92bps notional | 0 | 30 | DealerB | RFQ | 12 | 99 | 294 | 1 | Sector>limit | Rotate | Sector concentration above limit | 241 | Escalate watchlist names |
C09799 | CR2236 | 2025-03-23 | Tightening | 95 | 414 | 4.5 | 1.9 | 200,268,091 | Financials:8.9;Utilities:31.0;RealEstate:17.8;Healthcare:19.0;Materials:23.4 | US:65.1;EU:18.0;APAC:10.1;EMEA:4.0;LATAM:2.8 | B:13.9;AAA:22.2;BB:6.2;CCC:18.8;A:38.9 | 5.37 | 41.7 | 182 | 447 | 2.8 | 2.5 | 35 | 45 | 30 | false | true | true | false | 1.84 | 1.41 | -0.26 | Tech:EW | Hedge | CDX_IG: +141bps notional | -34 | 44 | DealerA | DealerAxed | 3 | 95 | 156 | 14 | Sector>limit | Reduce | Sector concentration above limit | 188 | Reviewed by risk; hedges staggered |
C09800 | CR2468 | 2024-12-17 | Tightening | 113 | 400 | 4.4 | 1.4 | 2,114,974,618 | RealEstate:16.0;Financials:17.6;Tech:16.3;Consumer:15.2;Energy:17.3;Materials:17.7 | US:64.1;EU:16.4;APAC:6.8;EMEA:7.7;LATAM:5.1 | AAA:22.1;A:27.7;AA:13.9;CCC:9.1;BB:27.2 | 1.39 | 30.2 | 228 | 288 | 7.3 | 3 | 25 | 55 | 25 | false | true | true | true | -0.25 | 0.78 | 0.34 | Healthcare:EW | Hedge | CDX_IG: +148bps notional | -18 | -10 | ECN1 | RFQ | 7 | 94 | -125 | 55 | HYCap>limit | Reduce | High-yield share above policy cap | 114 | Reviewed by risk; hedges staggered |
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