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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C09801
|
CR4412
|
2025-01-07
|
Recovery
| 122
| 491
| 5.1
| 1.9
| 2,984,215,676
|
Financials:18.4;Comm:39.0;Energy:21.4;Materials:21.3
|
US:73.2;EU:7.7;APAC:11.9;EMEA:4.3;LATAM:2.8
|
AAA:25.7;AA:24.9;A:23.0;CCC:8.8;BBB:17.7
| 4.99
| 41.3
| 188
| 395
| 15.2
| 2.5
| 25
| 55
| 30
| true
| true
| false
| false
| 0.95
| 0.73
| -0.36
|
Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -41
| -8
|
ECN1
|
RFQ
| 3
| 95
| 352
| 141
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 226
|
Escalate watchlist names
|
C09802
|
CR5450
|
2025-10-03
|
Stress
| 185
| 735
| 7.7
| -0.9
| 1,137,307,283
|
Utilities:12.7;RealEstate:10.2;Consumer:23.5;Industrials:11.2;Tech:17.2;Energy:25.2
|
US:67.3;EU:15.4;APAC:5.9;EMEA:5.3;LATAM:6.1
|
CCC:22.7;BBB:23.5;AAA:17.3;AA:36.6
| 6.62
| 59.7
| 305
| 495
| 14.8
| 2.5
| 25
| 55
| 30
| true
| true
| false
| true
| 1.38
| 0.45
| 0.15
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -3
| -14
|
ECN1
|
DealerAxed
| 4
| 100
| 236
| 60
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 154
|
Rotate into defensive sectors
|
C09803
|
CR7152
|
2025-08-13
|
Recovery
| 116
| 609
| 5.4
| 0.6
| 1,093,971,913
|
Tech:22.8;Utilities:15.1;Industrials:21.8;Consumer:16.2;Materials:24.0
|
US:64.7;EU:8.4;APAC:14.5;EMEA:6.7;LATAM:5.6
|
CCC:33.4;AA:16.5;A:33.0;AAA:17.2
| 5.12
| 33.7
| 235
| 393
| 11.6
| 3
| 20
| 45
| 35
| true
| true
| false
| true
| 2.48
| 1.14
| -0.3
|
Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 20
| -23
|
ECN1
|
RFQ
| 4
| 96
| 333
| -290
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 243
|
Tighten HY exposure bands
|
C09804
|
CR0757
|
2025-05-25
|
Calm
| 107
| 416
| 4.4
| 2.8
| 1,729,354,386
|
Comm:39.7;Materials:30.0;Financials:15.0;Industrials:15.3
|
US:65.5;EU:12.0;APAC:6.5;EMEA:10.0;LATAM:5.9
|
AAA:19.6;BB:6.6;BBB:26.4;B:21.5;A:25.9
| 2.24
| 51
| 255
| 487
| 7.8
| 2.5
| 35
| 35
| 35
| true
| true
| false
| true
| 0.91
| 1.55
| 0.12
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -16
| 22
|
ECN2
|
All2All
| 11
| 95
| 243
| -120
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 236
|
Reviewed by risk; hedges staggered
|
C09805
|
CR6485
|
2024-07-14
|
Calm
| 93
| 327
| 3.6
| 2
| 2,482,977,623
|
Industrials:8.5;Energy:12.2;RealEstate:13.5;Financials:12.8;Healthcare:25.5;Comm:27.5
|
US:54.0;EU:17.4;APAC:12.8;EMEA:10.8;LATAM:4.9
|
BB:20.0;B:29.0;AAA:19.1;A:32.0
| 4.61
| 35.5
| 222
| 487
| 6.5
| 2.5
| 35
| 55
| 25
| false
| false
| true
| true
| 2.05
| 1.53
| 0.27
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 9
| 24
|
ECN1
|
All2All
| 8
| 89
| 239
| -115
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 186
|
Reviewed by risk; hedges staggered
|
C09806
|
CR1367
|
2025-02-27
|
Calm
| 73
| 398
| 3.4
| 2.5
| 1,340,331,588
|
Comm:11.0;RealEstate:13.9;Industrials:17.8;Utilities:20.5;Consumer:19.8;Healthcare:17.0
|
US:68.8;EU:9.0;APAC:10.1;EMEA:6.2;LATAM:5.9
|
BBB:11.0;BB:13.5;AAA:11.7;AA:16.4;B:25.2;CCC:22.1
| 5.36
| 59.3
| 157
| 453
| 3.3
| 2
| 20
| 55
| 35
| true
| true
| true
| false
| 0.14
| 1.69
| -0.13
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -18
| 9
|
ECN2
|
DealerAxed
| 5
| 92
| 15
| -198
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 189
|
Escalate watchlist names
|
C09807
|
CR1934
|
2024-09-04
|
Calm
| 98
| 297
| 3.4
| 2.8
| 1,932,077,125
|
RealEstate:18.3;Industrials:51.5;Tech:30.1
|
US:77.3;EU:7.8;APAC:6.7;EMEA:7.5;LATAM:0.9
|
BB:7.4;A:34.6;AA:21.9;CCC:12.5;BBB:23.6
| 3.8
| 59.9
| 91
| 349
| 15
| 4
| 30
| 35
| 25
| true
| true
| false
| false
| 2.37
| 0.67
| 0.59
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -34
| 41
|
DealerC
|
DealerAxed
| 6
| 91
| 103
| -118
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 167
|
Tighten HY exposure bands
|
C09808
|
CR4715
|
2025-10-27
|
Stress
| 227
| 838
| 6.2
| -1
| 1,906,884,430
|
Consumer:27.0;Comm:37.7;Tech:10.8;Materials:24.6
|
US:60.9;EU:15.8;APAC:7.5;EMEA:9.3;LATAM:6.6
|
CCC:28.7;BB:23.7;BBB:28.5;B:19.1
| 2.09
| 35.5
| 332
| 464
| 14.5
| 3
| 20
| 45
| 35
| true
| true
| true
| true
| 0.45
| 0.33
| 0.13
| null |
Hedge
|
SingleName_CDS: +61bps notional
| 10
| 37
|
DealerC
|
DealerAxed
| 2
| 94
| 259
| -405
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 225
|
Defer adds pending macro print
|
C09809
|
CR7640
|
2024-02-07
|
Calm
| 84
| 397
| 4.2
| 2.3
| 257,342,145
|
Energy:10.9;Utilities:17.7;Industrials:32.1;Materials:27.6;RealEstate:11.7
|
US:66.6;EU:11.9;APAC:5.9;EMEA:9.8;LATAM:5.9
|
AAA:7.9;CCC:13.0;A:19.8;BBB:19.5;BB:39.8
| 1.67
| 32.4
| 170
| 256
| 3.2
| 3
| 25
| 55
| 25
| true
| true
| true
| false
| 0.79
| 1.63
| -0.23
|
Industrials:EW;Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -31
| -1
|
DealerC
|
All2All
| 4
| 89
| 185
| -480
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 195
|
Rotate into defensive sectors
|
C09810
|
CR1348
|
2024-09-08
|
Recovery
| 119
| 550
| 5
| -0.2
| 2,642,005,235
|
Energy:7.2;Financials:29.5;Healthcare:12.2;Industrials:27.7;Materials:10.3;Utilities:13.2
|
US:61.2;EU:18.3;APAC:9.6;EMEA:4.7;LATAM:6.2
|
AA:15.8;B:22.9;BBB:19.0;AAA:16.8;CCC:25.4
| 7.05
| 31.5
| 92
| 142
| 11
| 4
| 20
| 55
| 35
| true
| true
| true
| false
| 0.23
| 0.28
| -0.07
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -50
| 4
|
DealerC
|
RFQ
| 12
| 100
| 263
| -40
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 173
|
Reviewed by risk; hedges staggered
|
C09811
|
CR4957
|
2025-02-27
|
Recovery
| 160
| 573
| 6.1
| 0.6
| 1,600,453,598
|
Industrials:23.0;Financials:8.4;RealEstate:12.7;Tech:16.7;Utilities:26.6;Energy:12.5
|
US:65.6;EU:9.6;APAC:10.6;EMEA:7.5;LATAM:6.7
|
BB:32.9;AA:28.1;CCC:17.1;BBB:21.8
| 4.1
| 37
| 269
| 371
| 13
| 3.5
| 20
| 35
| 20
| true
| true
| true
| true
| 1.03
| 0.81
| -0.25
|
Consumer:EW
|
Hedge
|
SingleName_CDS: +70bps notional
| -49
| -13
|
DealerA
|
RFQ
| 2
| 87
| 356
| 175
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 194
|
Rotate into defensive sectors
|
C09812
|
CR7084
|
2024-10-04
|
Calm
| 94
| 311
| 3.5
| 2.1
| 2,160,458,161
|
Industrials:14.1;Tech:38.6;Energy:34.0;Healthcare:13.4
|
US:57.7;EU:16.5;APAC:13.1;EMEA:5.3;LATAM:7.5
|
BBB:12.9;CCC:19.0;AAA:20.7;A:18.6;AA:14.4;B:14.4
| 0.9
| 48.2
| 221
| 217
| 7.3
| 2
| 25
| 35
| 30
| true
| true
| true
| true
| 0.91
| 0.12
| -0.02
|
Healthcare:EW;Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -21
| 41
|
DealerA
|
RFQ
| 2
| 87
| 338
| -196
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 240
|
Tighten HY exposure bands
|
C09813
|
CR3228
|
2024-12-20
|
Stress
| 225
| 726
| 6.1
| -1.5
| 1,673,614,501
|
Healthcare:12.7;Financials:22.8;Tech:23.1;Materials:24.0;Consumer:17.4
|
US:65.2;EU:12.3;APAC:13.2;EMEA:8.7;LATAM:0.6
|
AA:21.9;A:27.3;BBB:25.0;B:25.8
| 3.61
| 35.4
| 287
| 414
| 13
| 4
| 30
| 45
| 35
| false
| true
| false
| true
| 0.43
| 1.77
| 0.21
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -28
| 45
|
ECN2
|
Electronic
| 2
| 93
| -154
| -105
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 238
|
Defer adds pending macro print
|
C09814
|
CR5469
|
2024-05-24
|
Stress
| 205
| 728
| 5
| -2
| 2,361,309,394
|
Materials:22.2;RealEstate:27.0;Utilities:24.0;Tech:9.5;Consumer:17.2
|
US:53.8;EU:19.9;APAC:14.2;EMEA:8.9;LATAM:3.2
|
AAA:11.0;A:15.8;BBB:23.4;CCC:13.4;AA:11.9;B:24.5
| 1.01
| 60.6
| 198
| 303
| 18.3
| 3.5
| 20
| 55
| 35
| true
| false
| true
| false
| 1.66
| 1.22
| -0.39
|
Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -29
| 32
|
ECN1
|
RFQ
| 9
| 98
| 10
| -135
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 142
|
Rotate into defensive sectors
|
C09815
|
CR5790
|
2025-06-13
|
Recovery
| 127
| 517
| 5.9
| 0.8
| 887,814,317
|
Energy:18.0;Tech:25.0;Materials:11.5;Utilities:9.8;Industrials:15.8;Consumer:20.0
|
US:66.2;EU:5.9;APAC:16.2;EMEA:6.2;LATAM:5.5
|
AAA:13.6;B:5.7;A:15.6;BBB:11.1;BB:25.4;CCC:28.6
| 1.43
| 29.4
| 234
| 266
| 5.2
| 2.5
| 25
| 45
| 20
| false
| true
| true
| true
| 1.18
| 0.41
| 0.56
| null |
Hedge
|
iTraxx_MAIN: +72bps notional
| -47
| -11
|
DealerC
|
All2All
| 7
| 87
| -176
| -322
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 186
|
Tighten HY exposure bands
|
C09816
|
CR6611
|
2025-11-15
|
Stress
| 186
| 831
| 6.6
| 0.7
| 621,284,601
|
Industrials:23.5;Energy:14.4;Financials:18.2;Utilities:14.4;Tech:15.7;Materials:13.8
|
US:65.7;EU:11.7;APAC:7.9;EMEA:8.7;LATAM:5.9
|
AAA:24.1;B:12.9;BB:13.6;A:16.7;BBB:16.1;AA:16.6
| 5.46
| 52.2
| 217
| 520
| 8.4
| 2
| 20
| 55
| 30
| true
| true
| false
| true
| 0.84
| 1.35
| 0.09
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -27
| 10
|
DealerB
|
DealerAxed
| 0
| 87
| 229
| -293
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 95
|
Escalate watchlist names
|
C09817
|
CR2506
|
2025-04-02
|
Stress
| 247
| 590
| 5.7
| -0.2
| 2,536,729,545
|
Comm:37.0;Financials:34.1;Industrials:28.9
|
US:61.9;EU:17.5;APAC:9.9;EMEA:5.5;LATAM:5.2
|
AA:26.6;A:31.4;B:23.3;BBB:18.7
| 6.73
| 39
| 378
| 527
| 6.1
| 3.5
| 30
| 55
| 35
| true
| true
| false
| true
| 2.18
| 1.55
| -0.31
|
Consumer:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -40
| -3
|
DealerC
|
DealerAxed
| 11
| 99
| 315
| -295
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 212
|
Escalate watchlist names
|
C09818
|
CR9499
|
2024-05-22
|
Tightening
| 155
| 355
| 4.1
| 1.8
| 2,872,901,212
|
Materials:17.5;Industrials:17.7;Consumer:14.3;RealEstate:15.3;Healthcare:27.5;Utilities:7.7
|
US:67.4;EU:6.1;APAC:8.1;EMEA:10.0;LATAM:8.5
|
AA:26.0;AAA:22.2;CCC:27.5;B:24.2
| 5.27
| 45.7
| 217
| 486
| 2.3
| 2
| 25
| 45
| 20
| true
| true
| true
| true
| 2.24
| 0
| 0.11
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -3
| 20
|
ECN1
|
DealerAxed
| 9
| 93
| 431
| -141
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 245
|
Defer adds pending macro print
|
C09819
|
CR0804
|
2025-09-05
|
Tightening
| 97
| 400
| 4.7
| 1
| 590,969,752
|
Healthcare:26.2;Financials:13.4;Materials:9.6;Consumer:24.3;Tech:16.0;Comm:10.5
|
US:62.7;EU:13.5;APAC:6.3;EMEA:9.7;LATAM:7.8
|
A:22.5;CCC:48.0;AAA:9.0;BBB:20.5
| 1.87
| 54.5
| 240
| 231
| 16.4
| 3.5
| 35
| 45
| 35
| false
| true
| true
| true
| -0.37
| -0.3
| 0.53
|
Industrials:EW
|
Hedge
|
iTraxx_MAIN: +156bps notional
| -18
| 27
|
ECN1
|
All2All
| 0
| 95
| 306
| 44
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 98
|
Tighten HY exposure bands
|
C09820
|
CR1888
|
2024-02-16
|
Recovery
| 159
| 466
| 6.4
| 1.5
| 2,949,464,453
|
Tech:16.0;Financials:35.5;RealEstate:24.4;Comm:24.1
|
US:61.8;EU:11.4;APAC:14.0;EMEA:10.3;LATAM:2.5
|
A:29.3;CCC:25.3;B:27.8;BB:17.6
| 3.02
| 34.8
| 121
| 289
| 8
| 2.5
| 25
| 35
| 25
| true
| true
| true
| false
| 1.77
| 0.93
| 0.27
|
Utilities:EW;Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -31
| 14
|
DealerC
|
All2All
| 7
| 88
| 320
| -428
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 158
|
Tighten HY exposure bands
|
C09821
|
CR3183
|
2024-09-05
|
Recovery
| 112
| 583
| 4.9
| 1
| 1,846,890,541
|
Consumer:14.2;Healthcare:16.5;Materials:28.1;RealEstate:15.0;Energy:26.3
|
US:67.4;EU:11.6;APAC:6.9;EMEA:12.0;LATAM:2.1
|
CCC:20.9;AAA:24.2;BB:6.6;BBB:48.3
| 6.03
| 56.8
| 117
| 153
| 10.7
| 4
| 35
| 35
| 20
| false
| true
| true
| false
| 0.81
| 0.13
| -0.27
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -51
| -10
|
ECN2
|
All2All
| 6
| 96
| 95
| 7
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 111
|
Tighten HY exposure bands
|
C09822
|
CR2292
|
2025-04-09
|
Recovery
| 139
| 596
| 6
| 0.7
| 750,951,002
|
Tech:10.5;Energy:34.9;Consumer:30.6;Utilities:24.0
|
US:64.8;EU:15.3;APAC:11.7;EMEA:5.5;LATAM:2.7
|
A:30.5;BBB:22.4;CCC:14.1;AAA:19.5;B:13.6
| 6.94
| 52.1
| 202
| 381
| 2.1
| 2.5
| 35
| 45
| 20
| false
| true
| true
| true
| 0.02
| 0.6
| 0.55
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -24
| 20
|
DealerC
|
RFQ
| 10
| 99
| 405
| -11
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 133
|
Rotate into defensive sectors
|
C09823
|
CR6271
|
2025-11-10
|
Recovery
| 161
| 532
| 5.7
| -0.5
| 1,743,614,012
|
Materials:28.3;Healthcare:39.7;Consumer:32.0
|
US:66.7;EU:12.3;APAC:6.8;EMEA:8.2;LATAM:5.9
|
AAA:34.1;B:7.8;BB:5.9;AA:22.7;A:23.8;CCC:5.7
| 1.28
| 53.4
| 190
| 483
| 10.5
| 2.5
| 25
| 35
| 35
| true
| true
| false
| false
| 0.96
| 1.17
| -0.21
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 11
| 10
|
DealerA
|
DealerAxed
| 12
| 85
| 56
| 82
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 172
|
Defer adds pending macro print
|
C09824
|
CR3443
|
2024-09-04
|
Calm
| 86
| 299
| 3.6
| 2.1
| 2,863,205,328
|
RealEstate:30.9;Comm:9.0;Healthcare:28.9;Industrials:22.3;Consumer:8.8
|
US:67.8;EU:8.1;APAC:11.3;EMEA:7.7;LATAM:5.1
|
B:23.1;BB:13.9;BBB:6.6;A:16.4;AA:17.4;CCC:22.5
| 6.4
| 63.9
| 268
| 181
| 6.4
| 2
| 20
| 35
| 30
| true
| true
| true
| true
| 1.16
| 0.55
| 0.25
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -18
| -6
|
DealerA
|
RFQ
| 4
| 91
| -74
| -8
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 227
|
Defer adds pending macro print
|
C09825
|
CR4500
|
2024-11-21
|
Recovery
| 122
| 647
| 5.7
| 1.3
| 369,781,236
|
Energy:17.3;Healthcare:10.6;RealEstate:12.5;Consumer:16.3;Comm:18.9;Materials:24.3
|
US:70.8;EU:10.3;APAC:6.2;EMEA:5.9;LATAM:6.9
|
B:6.0;BB:13.5;BBB:29.2;AAA:36.7;AA:14.5
| 3.69
| 56.2
| 92
| 144
| 15.3
| 2
| 35
| 55
| 20
| false
| true
| false
| false
| 2.27
| 0.48
| -0.11
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -43
| 17
|
ECN1
|
DealerAxed
| 12
| 87
| -5
| 110
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 134
|
Escalate watchlist names
|
C09826
|
CR0545
|
2025-12-14
|
Calm
| 107
| 382
| 3.7
| 3
| 2,032,065,455
|
RealEstate:24.7;Tech:38.2;Comm:37.1
|
US:68.5;EU:16.7;APAC:6.6;EMEA:5.6;LATAM:2.6
|
B:21.2;A:35.5;BB:27.5;BBB:15.9
| 6.88
| 54
| 257
| 187
| 13.2
| 4
| 20
| 45
| 35
| true
| true
| true
| true
| 2.45
| 1.34
| 0.07
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 19
| 17
|
DealerB
|
All2All
| 10
| 100
| -41
| -64
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 193
|
Rotate into defensive sectors
|
C09827
|
CR9999
|
2025-02-25
|
Recovery
| 121
| 498
| 6
| 1.4
| 548,524,794
|
Comm:34.1;RealEstate:47.7;Industrials:18.2
|
US:61.3;EU:11.0;APAC:13.4;EMEA:9.8;LATAM:4.5
|
CCC:22.1;BB:44.6;AAA:15.6;A:17.6
| 4.68
| 51.9
| 268
| 305
| 13.8
| 2
| 30
| 55
| 35
| true
| true
| true
| true
| 1.86
| 0.47
| -0.3
| null |
Hedge
|
iTraxx_MAIN: +165bps notional
| 9
| -15
|
DealerB
|
RFQ
| 10
| 96
| 432
| -94
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 249
|
Defer adds pending macro print
|
C09828
|
CR1810
|
2025-08-03
|
Stress
| 198
| 835
| 7.4
| 0.4
| 981,745,471
|
RealEstate:14.1;Utilities:29.2;Energy:8.2;Materials:18.1;Tech:30.5
|
US:71.6;EU:11.4;APAC:9.4;EMEA:6.3;LATAM:1.4
|
BBB:28.5;BB:28.8;B:16.6;CCC:26.1
| 1.83
| 20.5
| 348
| 414
| 22.8
| 3.5
| 35
| 45
| 35
| false
| true
| true
| true
| 1.98
| 1.61
| -0.06
|
Industrials:EW;Consumer:EW;Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -6
| 42
|
DealerB
|
RFQ
| 10
| 95
| -103
| -3
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 114
|
Defer adds pending macro print
|
C09829
|
CR7976
|
2024-07-25
|
Recovery
| 128
| 520
| 6
| -0.1
| 861,742,966
|
Industrials:9.1;Financials:16.3;Materials:23.9;Utilities:10.5;Tech:20.5;Energy:19.6
|
US:57.9;EU:15.3;APAC:8.0;EMEA:11.1;LATAM:7.8
|
AA:15.2;B:27.8;AAA:22.0;CCC:8.4;BB:26.6
| 1.37
| 21.8
| 207
| 253
| 9.6
| 3
| 25
| 45
| 25
| false
| true
| true
| true
| 0.24
| 0.72
| 0.2
|
Comm:EW;Financials:EW
|
Hedge
|
Options_Payer: +194bps notional
| 4
| 30
|
DealerB
|
All2All
| 4
| 92
| 49
| 95
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 182
|
Escalate watchlist names
|
C09830
|
CR2202
|
2024-11-03
|
Recovery
| 123
| 432
| 4.5
| 1.2
| 860,664,418
|
Consumer:18.9;Utilities:24.1;Healthcare:20.7;RealEstate:11.8;Financials:17.4;Comm:7.1
|
US:70.4;EU:12.9;APAC:5.6;EMEA:6.8;LATAM:4.3
|
A:43.9;AAA:13.7;BB:13.3;BBB:29.1
| 2.51
| 46.9
| 152
| 420
| 12.4
| 2.5
| 20
| 35
| 30
| true
| true
| false
| false
| 0.44
| -0.1
| 0.56
| null |
Hedge
|
Treasury_Futures: +172bps notional
| 2
| -12
|
DealerA
|
All2All
| 11
| 87
| 68
| 76
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 107
|
Reviewed by risk; hedges staggered
|
C09831
|
CR9374
|
2024-10-29
|
Tightening
| 124
| 399
| 4.6
| 1.8
| 2,698,790,486
|
Tech:19.8;Industrials:15.3;Materials:19.5;Financials:17.4;Healthcare:17.0;RealEstate:11.0
|
US:66.1;EU:13.5;APAC:11.9;EMEA:6.0;LATAM:2.5
|
AAA:29.7;A:42.8;B:11.6;BB:15.8
| 1.57
| 52.3
| 236
| 365
| 8.1
| 3
| 20
| 55
| 25
| false
| true
| true
| true
| 1.1
| 0.11
| -0.3
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -54
| 31
|
DealerC
|
DealerAxed
| 6
| 89
| 65
| -327
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 113
|
Tighten HY exposure bands
|
C09832
|
CR5402
|
2025-08-29
|
Tightening
| 137
| 471
| 4.3
| 1.6
| 1,263,368,751
|
Financials:10.7;Comm:20.2;RealEstate:12.0;Materials:25.6;Healthcare:6.3;Tech:25.1
|
US:60.9;EU:17.3;APAC:8.1;EMEA:8.0;LATAM:5.7
|
BB:35.8;A:14.2;B:31.7;CCC:18.3
| 2.26
| 53
| 135
| 176
| 4
| 2
| 25
| 35
| 30
| true
| true
| true
| false
| 1.89
| 0.21
| -0.03
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 8
| 15
|
DealerA
|
Electronic
| 0
| 98
| 27
| -124
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 105
|
Defer adds pending macro print
|
C09833
|
CR8705
|
2024-10-27
|
Calm
| 98
| 304
| 3.7
| 2.2
| 566,161,249
|
Utilities:33.8;Healthcare:39.4;Industrials:26.8
|
US:70.3;EU:5.4;APAC:13.5;EMEA:6.7;LATAM:4.1
|
B:8.8;BBB:20.2;AAA:29.0;AA:24.5;CCC:17.6
| 0.48
| 23.7
| 139
| 268
| 8.1
| 3.5
| 20
| 55
| 30
| true
| true
| false
| false
| 2.07
| 1.46
| 0.36
|
Consumer:EW;Healthcare:EW;RealEstate:EW
|
Hedge
|
iTraxx_XOVER: +57bps notional
| -19
| -25
|
DealerB
|
Electronic
| 11
| 96
| 108
| 19
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 141
|
Rotate into defensive sectors
|
C09834
|
CR3771
|
2025-01-09
|
Stress
| 189
| 770
| 7.2
| -0.7
| 412,311,814
|
Comm:44.8;Healthcare:34.9;Financials:20.3
|
US:56.6;EU:13.7;APAC:13.5;EMEA:10.5;LATAM:5.7
|
A:10.8;AA:29.2;BBB:40.6;CCC:19.3
| 4.38
| 30.8
| 228
| 568
| 23
| 3
| 20
| 55
| 25
| true
| true
| false
| true
| 1.32
| 1.67
| -0.38
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 17
| 15
|
ECN2
|
All2All
| 1
| 94
| 200
| -390
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 91
|
Rotate into defensive sectors
|
C09835
|
CR8445
|
2025-11-26
|
Tightening
| 112
| 500
| 4.8
| 1.1
| 2,718,344,277
|
Materials:16.9;Financials:10.3;Industrials:49.2;Utilities:23.7
|
US:64.6;EU:17.2;APAC:11.9;EMEA:3.5;LATAM:2.8
|
BB:34.7;A:23.3;B:28.0;AA:14.0
| 7.2
| 57.5
| 175
| 471
| 2.9
| 4
| 20
| 35
| 30
| true
| true
| true
| false
| 1.82
| -0.16
| -0.29
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -20
| 22
|
ECN1
|
Electronic
| 9
| 99
| 106
| -37
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 181
|
Rotate into defensive sectors
|
C09836
|
CR0307
|
2024-09-21
|
Calm
| 72
| 351
| 3.6
| 2.6
| 237,443,435
|
Consumer:27.9;Materials:18.9;Energy:32.0;Financials:21.1
|
US:66.1;EU:16.1;APAC:6.0;EMEA:11.6;LATAM:0.2
|
A:20.1;AA:24.9;B:8.7;BB:20.9;BBB:25.5
| 6.64
| 28.3
| 267
| 421
| 14.7
| 3.5
| 35
| 35
| 35
| false
| true
| false
| true
| 1.56
| 0.64
| 0.22
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -55
| 22
|
ECN2
|
DealerAxed
| 0
| 88
| -52
| -297
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 121
|
Tighten HY exposure bands
|
C09837
|
CR9532
|
2025-06-17
|
Calm
| 112
| 329
| 3.2
| 1.8
| 1,100,327,221
|
Utilities:37.3;Comm:33.0;Healthcare:17.1;Industrials:12.6
|
US:66.4;EU:9.4;APAC:6.7;EMEA:10.3;LATAM:7.2
|
CCC:7.4;B:8.8;A:22.4;BB:8.3;AAA:31.7;BBB:21.2
| 5.43
| 34.1
| 252
| 391
| 4.6
| 2.5
| 35
| 45
| 35
| true
| true
| false
| true
| 1.26
| 1.68
| 0.34
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -30
| 35
|
ECN1
|
RFQ
| 6
| 98
| -53
| -29
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 90
|
Defer adds pending macro print
|
C09838
|
CR1376
|
2025-02-12
|
Tightening
| 137
| 504
| 4.3
| 1.9
| 1,897,201,485
|
Materials:24.9;Healthcare:21.8;Utilities:14.9;Consumer:11.2;Tech:27.2
|
US:65.2;EU:8.9;APAC:14.2;EMEA:3.5;LATAM:8.2
|
AA:20.6;BBB:27.3;BB:12.6;A:15.2;AAA:24.3
| 2.38
| 22.4
| 177
| 302
| 5.2
| 2.5
| 35
| 45
| 35
| false
| true
| false
| false
| 1.57
| 0.85
| 0.03
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 18
| 16
|
ECN1
|
All2All
| 8
| 97
| 331
| -421
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 151
|
Tighten HY exposure bands
|
C09839
|
CR5118
|
2024-11-07
|
Calm
| 114
| 417
| 4.3
| 1.6
| 2,269,683,890
|
Materials:11.6;Utilities:20.5;Comm:24.9;Energy:19.7;Industrials:23.3
|
US:68.6;EU:8.9;APAC:8.4;EMEA:7.2;LATAM:6.8
|
BB:20.9;CCC:25.5;BBB:21.2;AA:32.4
| 7.44
| 62.8
| 221
| 382
| 12.1
| 2
| 25
| 55
| 35
| false
| true
| true
| true
| 2.21
| 1.62
| -0.02
|
Financials:EW;Healthcare:EW
|
Hedge
|
Treasury_Futures: +139bps notional
| -19
| -16
|
ECN2
|
All2All
| 11
| 88
| 124
| -167
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 243
|
Tighten HY exposure bands
|
C09840
|
CR6350
|
2024-04-11
|
Calm
| 87
| 363
| 3.3
| 2.2
| 961,894,021
|
Energy:16.4;Utilities:26.1;RealEstate:28.8;Consumer:28.7
|
US:59.8;EU:15.5;APAC:13.7;EMEA:9.5;LATAM:1.5
|
BBB:21.7;B:8.3;A:21.5;AAA:25.7;AA:22.9
| 0.71
| 45.8
| 154
| 252
| 3.3
| 3.5
| 30
| 45
| 25
| false
| true
| false
| false
| 0.52
| 0.87
| 0.31
|
Consumer:EW;Industrials:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -45
| 4
|
DealerA
|
DealerAxed
| 5
| 88
| 432
| -201
|
VAR>budget
|
PauseAdds
|
Portfolio VAR above budget
| 135
|
Escalate watchlist names
|
C09841
|
CR9125
|
2025-04-26
|
Stress
| 225
| 777
| 6.6
| 0
| 836,945,996
|
Energy:15.8;Comm:16.2;Tech:43.2;Healthcare:24.8
|
US:62.8;EU:12.9;APAC:8.5;EMEA:8.5;LATAM:7.2
|
CCC:22.8;A:25.1;AA:29.1;BB:23.0
| 2.04
| 62.8
| 286
| 675
| 13.9
| 4
| 35
| 45
| 25
| true
| true
| true
| true
| 0.15
| 0.04
| 0.26
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 10
| 22
|
DealerA
|
All2All
| 11
| 85
| -32
| -397
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 240
|
Reviewed by risk; hedges staggered
|
C09842
|
CR5363
|
2025-02-22
|
Stress
| 185
| 706
| 6.8
| -1.7
| 1,555,337,155
|
Healthcare:25.2;Tech:10.1;Comm:20.9;Financials:22.5;Industrials:21.3
|
US:52.9;EU:19.9;APAC:11.8;EMEA:7.6;LATAM:7.9
|
CCC:13.0;AA:16.1;BBB:46.5;BB:24.5
| 5.12
| 39.4
| 163
| 569
| 14.9
| 2.5
| 25
| 55
| 20
| true
| false
| true
| false
| 1.09
| 1.38
| -0.4
|
Healthcare:EW;Tech:EW
|
Hedge
|
SingleName_CDS: +105bps notional
| -19
| 28
|
ECN1
|
RFQ
| 10
| 97
| 211
| 6
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 145
|
Rotate into defensive sectors
|
C09843
|
CR3253
|
2024-01-23
|
Calm
| 75
| 342
| 4.3
| 2.9
| 447,365,507
|
Utilities:23.0;Consumer:18.2;RealEstate:27.3;Comm:10.6;Materials:20.8
|
US:65.4;EU:10.1;APAC:10.0;EMEA:9.0;LATAM:5.4
|
AA:44.2;BBB:29.9;BB:13.2;CCC:12.7
| 2.78
| 35.2
| 268
| 368
| 10.1
| 2
| 30
| 45
| 30
| false
| true
| false
| true
| 1.35
| -0.22
| 0.17
|
Materials:EW
|
Hedge
|
CDX_IG: +58bps notional
| -21
| 8
|
ECN2
|
Electronic
| 5
| 92
| 50
| -182
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 190
|
Tighten HY exposure bands
|
C09844
|
CR3531
|
2025-04-17
|
Calm
| 92
| 334
| 3.9
| 2.7
| 2,410,518,740
|
RealEstate:15.8;Tech:19.8;Financials:27.9;Utilities:15.8;Materials:20.7
|
US:64.3;EU:15.2;APAC:10.8;EMEA:3.6;LATAM:6.1
|
BBB:12.7;A:33.7;AA:17.5;B:5.2;AAA:30.9
| 7.22
| 30.7
| 176
| 480
| 14
| 2.5
| 35
| 55
| 20
| false
| true
| false
| false
| 1.26
| 1.04
| 0.19
|
Energy:EW
|
Hedge
|
CDX_HY: +125bps notional
| 14
| 20
|
ECN1
|
Electronic
| 3
| 85
| 135
| 109
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 220
|
Tighten HY exposure bands
|
C09845
|
CR3211
|
2024-02-06
|
Tightening
| 130
| 436
| 4.6
| 1.8
| 532,706,095
|
Materials:21.6;Consumer:8.3;Healthcare:23.5;Energy:8.2;Tech:14.2;Comm:24.2
|
US:69.7;EU:6.0;APAC:13.8;EMEA:10.4;LATAM:0.2
|
A:19.8;CCC:15.2;BB:7.6;AAA:27.9;AA:19.5;B:9.9
| 4.91
| 64.1
| 110
| 430
| 2.1
| 3
| 20
| 45
| 35
| true
| true
| false
| false
| 0.3
| 0.62
| 0.32
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -31
| -22
|
DealerB
|
All2All
| 9
| 95
| 125
| -64
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 199
|
Tighten HY exposure bands
|
C09846
|
CR7395
|
2025-03-24
|
Calm
| 105
| 332
| 3.4
| 1.9
| 1,708,014,428
|
Industrials:21.2;Healthcare:53.3;Utilities:25.6
|
US:64.1;EU:12.9;APAC:6.2;EMEA:11.0;LATAM:5.8
|
A:11.3;BBB:22.4;AAA:17.7;B:13.3;BB:11.8;AA:23.6
| 5.33
| 29.7
| 235
| 417
| 13.3
| 2.5
| 35
| 35
| 20
| true
| true
| true
| true
| 0.87
| 1.34
| 0.09
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 5
| 6
|
ECN1
|
RFQ
| 2
| 93
| -83
| -32
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 102
|
Rotate into defensive sectors
|
C09847
|
CR4730
|
2024-07-05
|
Calm
| 70
| 335
| 3.6
| 2.5
| 2,288,435,466
|
RealEstate:11.3;Healthcare:14.1;Utilities:17.9;Energy:23.5;Tech:16.4;Financials:16.9
|
US:67.9;EU:10.4;APAC:6.7;EMEA:7.9;LATAM:7.1
|
AA:26.6;CCC:17.2;B:30.0;AAA:26.2
| 5.55
| 45.2
| 130
| 291
| 4.1
| 3
| 35
| 45
| 25
| false
| true
| true
| false
| -0.28
| 1.56
| -0.27
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -39
| 31
|
DealerC
|
Electronic
| 5
| 97
| -107
| -91
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 108
|
Rotate into defensive sectors
|
C09848
|
CR7770
|
2024-09-12
|
Tightening
| 112
| 405
| 4.2
| 0.7
| 2,272,631,823
|
Tech:17.0;Comm:13.0;Healthcare:14.4;Consumer:15.1;Materials:18.6;Financials:22.0
|
US:64.1;EU:17.7;APAC:6.4;EMEA:9.2;LATAM:2.6
|
BBB:15.6;AAA:16.2;BB:31.8;CCC:12.5;AA:23.9
| 5.69
| 24.3
| 82
| 219
| 13.2
| 2.5
| 25
| 45
| 35
| false
| true
| true
| false
| 0.63
| 0.29
| -0.36
|
Energy:EW
|
Hedge
|
iTraxx_MAIN: +102bps notional
| -45
| -8
|
ECN2
|
All2All
| 5
| 87
| 264
| 71
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 233
|
Defer adds pending macro print
|
C09849
|
CR2850
|
2024-10-27
|
Calm
| 88
| 409
| 4.3
| 3
| 2,476,545,617
|
Consumer:25.8;Tech:23.5;RealEstate:9.3;Comm:7.7;Financials:33.7
|
US:62.2;EU:10.9;APAC:14.1;EMEA:6.9;LATAM:5.9
|
CCC:35.9;AAA:20.2;B:25.3;BBB:18.6
| 5.42
| 42.4
| 269
| 433
| 7.3
| 4
| 35
| 45
| 20
| false
| true
| true
| true
| 0.66
| 0.53
| 0.36
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 18
| 21
|
ECN2
|
DealerAxed
| 9
| 86
| -124
| -131
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 202
|
Rotate into defensive sectors
|
C09850
|
CR9513
|
2025-04-23
|
Recovery
| 162
| 506
| 5.3
| 1.2
| 2,375,724,297
|
Comm:9.4;Financials:25.4;Tech:31.5;Healthcare:33.8
|
US:67.2;EU:13.3;APAC:6.3;EMEA:7.1;LATAM:6.1
|
BBB:13.0;CCC:4.7;AA:27.8;A:27.2;AAA:27.2
| 6.78
| 46.6
| 105
| 230
| 13.9
| 2
| 35
| 55
| 30
| false
| true
| false
| false
| 1.04
| 0.21
| 0.57
|
Comm:EW;Industrials:EW;Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -43
| -2
|
DealerB
|
DealerAxed
| 6
| 88
| 396
| -112
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 165
|
Escalate watchlist names
|
C09851
|
CR0819
|
2025-01-18
|
Calm
| 117
| 315
| 4.3
| 1.6
| 2,646,880,897
|
Financials:23.3;Tech:11.3;Materials:16.6;Comm:23.6;Healthcare:11.8;RealEstate:13.3
|
US:63.8;EU:7.9;APAC:10.3;EMEA:8.6;LATAM:9.4
|
A:24.5;AA:14.8;B:12.4;CCC:24.8;BBB:23.5
| 6.24
| 25.5
| 212
| 163
| 7.5
| 2.5
| 25
| 35
| 20
| false
| true
| true
| true
| 0.06
| -0.08
| -0.36
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -56
| 18
|
DealerA
|
All2All
| 0
| 97
| -69
| 173
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 139
|
Escalate watchlist names
|
C09852
|
CR0844
|
2025-03-19
|
Stress
| 166
| 553
| 7.1
| -0.8
| 1,071,393,474
|
Comm:18.5;Healthcare:31.8;RealEstate:31.0;Materials:18.7
|
US:64.0;EU:15.9;APAC:12.6;EMEA:4.2;LATAM:3.2
|
CCC:10.1;A:42.2;AAA:22.5;BB:19.1;B:6.0
| 0.57
| 22.7
| 294
| 549
| 15.8
| 3
| 20
| 35
| 20
| true
| true
| true
| true
| -0.24
| 0.13
| 0.38
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 9
| 19
|
DealerA
|
All2All
| 9
| 96
| 65
| -283
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 107
|
Rotate into defensive sectors
|
C09853
|
CR5104
|
2025-09-09
|
Tightening
| 95
| 487
| 4.5
| 0.9
| 586,315,959
|
Comm:10.6;Utilities:27.2;Healthcare:19.8;Consumer:25.8;Tech:16.6
|
US:69.8;EU:9.1;APAC:9.2;EMEA:6.9;LATAM:5.0
|
B:7.5;BBB:32.9;BB:5.0;AAA:18.9;CCC:7.0;AA:28.7
| 1.2
| 48.4
| 216
| 220
| 2.2
| 3
| 20
| 55
| 20
| true
| true
| false
| true
| 2.34
| -0
| 0.31
|
Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -14
| 3
|
ECN2
|
RFQ
| 4
| 100
| -43
| 110
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 127
|
Defer adds pending macro print
|
C09854
|
CR7551
|
2025-06-11
|
Recovery
| 112
| 552
| 5.6
| 1.5
| 1,530,080,835
|
Utilities:36.1;Healthcare:26.2;Tech:37.8
|
US:61.0;EU:6.3;APAC:14.4;EMEA:10.0;LATAM:8.3
|
BBB:32.8;AA:22.5;A:34.0;BB:10.7
| 6.26
| 44.4
| 108
| 207
| 9
| 3.5
| 20
| 45
| 35
| true
| true
| false
| false
| 0.45
| 0.6
| 0.03
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 19
| 18
|
DealerA
|
DealerAxed
| 7
| 94
| 161
| 160
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 178
|
Defer adds pending macro print
|
C09855
|
CR6478
|
2025-12-18
|
Stress
| 160
| 655
| 5.1
| -0.6
| 1,434,669,110
|
Energy:38.0;Materials:33.1;Industrials:28.9
|
US:72.4;EU:6.4;APAC:8.0;EMEA:9.3;LATAM:3.9
|
AA:34.8;AAA:35.7;B:17.5;A:12.0
| 7.45
| 30.6
| 259
| 426
| 12
| 2.5
| 30
| 45
| 20
| true
| true
| false
| true
| -0.16
| 0.32
| 0.01
| null |
Hedge
|
Options_Payer: +96bps notional
| 15
| 39
|
DealerA
|
DealerAxed
| 4
| 99
| 241
| 110
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 245
|
Tighten HY exposure bands
|
C09856
|
CR3558
|
2024-02-08
|
Calm
| 100
| 327
| 3.4
| 1.8
| 2,090,517,197
|
Consumer:7.9;Energy:22.2;Financials:7.2;Healthcare:21.1;Comm:20.7;Industrials:20.8
|
US:71.1;EU:13.2;APAC:5.4;EMEA:7.7;LATAM:2.6
|
AAA:17.0;AA:23.9;BBB:20.2;A:25.2;CCC:13.8
| 2.87
| 49.6
| 150
| 403
| 5.4
| 3.5
| 20
| 55
| 25
| true
| true
| false
| false
| 1.42
| 0.36
| 0.04
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -42
| 31
|
ECN1
|
Electronic
| 6
| 100
| 362
| -452
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 215
|
Reviewed by risk; hedges staggered
|
C09857
|
CR0162
|
2024-02-12
|
Stress
| 205
| 794
| 6
| -1.3
| 201,975,772
|
Comm:22.9;RealEstate:15.0;Materials:20.2;Financials:22.7;Consumer:11.1;Utilities:8.0
|
US:71.2;EU:13.5;APAC:9.4;EMEA:4.9;LATAM:1.0
|
B:7.8;AA:31.4;BB:25.9;CCC:34.8
| 2.71
| 47.7
| 143
| 395
| 16.6
| 4
| 20
| 55
| 20
| true
| true
| true
| false
| 2.14
| 1.74
| -0.21
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 8
| 39
|
ECN2
|
All2All
| 12
| 96
| 225
| -198
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 208
|
Rotate into defensive sectors
|
C09858
|
CR1989
|
2024-02-20
|
Tightening
| 95
| 398
| 4.2
| 1.4
| 1,078,562,508
|
Comm:31.5;Utilities:55.0;Energy:13.5
|
US:59.1;EU:20.4;APAC:6.2;EMEA:9.6;LATAM:4.8
|
BB:25.9;AAA:24.7;B:23.3;AA:26.1
| 5.65
| 26.6
| 225
| 485
| 4.3
| 2
| 20
| 35
| 20
| true
| true
| true
| true
| 0.98
| 0.55
| 0.49
|
Financials:EW
|
Hedge
|
CDX_IG: +148bps notional
| -39
| 9
|
DealerA
|
DealerAxed
| 5
| 87
| -83
| 194
|
HYCap>limit
|
PauseAdds
|
High-yield share above policy cap
| 171
|
Reviewed by risk; hedges staggered
|
C09859
|
CR1044
|
2025-10-23
|
Stress
| 166
| 833
| 6.3
| 0
| 317,801,315
|
Energy:34.3;Financials:36.6;Industrials:29.1
|
US:67.1;EU:8.0;APAC:13.2;EMEA:5.5;LATAM:6.1
|
AAA:25.3;A:25.3;BB:9.2;CCC:13.0;BBB:27.2
| 4.35
| 35.8
| 190
| 343
| 8.7
| 3.5
| 20
| 35
| 20
| true
| true
| true
| false
| 0.75
| 0.74
| -0.31
|
Industrials:EW
|
Hedge
|
CDX_HY: +180bps notional
| -10
| 4
|
DealerB
|
DealerAxed
| 10
| 100
| 136
| -169
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 256
|
Defer adds pending macro print
|
C09860
|
CR7081
|
2024-04-07
|
Recovery
| 155
| 487
| 6.2
| 1.4
| 2,394,127,074
|
Industrials:30.1;Utilities:25.7;Comm:44.2
|
US:65.5;EU:15.5;APAC:6.5;EMEA:7.7;LATAM:4.8
|
A:16.7;AAA:22.7;CCC:32.0;BB:13.6;B:15.0
| 4.72
| 48.5
| 181
| 444
| 14.5
| 3
| 25
| 45
| 20
| true
| true
| true
| false
| 0.16
| 0.36
| 0.19
|
Industrials:EW;Materials:EW
|
Hedge
|
iTraxx_MAIN: +153bps notional
| -16
| -22
|
DealerA
|
RFQ
| 4
| 97
| 330
| -243
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 178
|
Defer adds pending macro print
|
C09861
|
CR0420
|
2025-08-15
|
Stress
| 185
| 824
| 7.7
| -0.3
| 928,624,882
|
Utilities:13.1;Comm:16.6;Materials:16.1;Industrials:12.7;Healthcare:18.4;RealEstate:23.2
|
US:66.4;EU:15.4;APAC:10.9;EMEA:6.0;LATAM:1.3
|
BBB:15.5;CCC:27.0;AAA:17.2;B:14.0;BB:17.0;AA:9.4
| 2.66
| 54.4
| 279
| 492
| 18.3
| 3.5
| 20
| 55
| 20
| true
| true
| true
| true
| 1.62
| 1.6
| -0.35
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -19
| -6
|
ECN2
|
RFQ
| 1
| 100
| 190
| -274
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 155
|
Rotate into defensive sectors
|
C09862
|
CR5426
|
2024-07-30
|
Stress
| 176
| 832
| 6.4
| 0.2
| 998,238,966
|
Comm:21.8;Utilities:26.6;Financials:35.9;Consumer:15.6
|
US:65.7;EU:14.5;APAC:5.6;EMEA:9.6;LATAM:4.5
|
BB:25.4;B:26.1;AA:38.3;CCC:10.2
| 2.98
| 54.6
| 200
| 265
| 9.7
| 3.5
| 20
| 45
| 25
| true
| true
| true
| false
| 0.73
| 0.63
| 0.42
| null |
Hedge
|
Treasury_Futures: +166bps notional
| -1
| 41
|
DealerA
|
RFQ
| 10
| 85
| 286
| -171
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 163
|
Defer adds pending macro print
|
C09863
|
CR2941
|
2025-11-23
|
Recovery
| 168
| 573
| 6.2
| 0.1
| 1,360,729,983
|
Tech:22.2;Industrials:7.9;Financials:31.3;Comm:8.7;Materials:29.9
|
US:57.8;EU:18.0;APAC:11.8;EMEA:10.8;LATAM:1.7
|
BB:19.1;BBB:12.9;B:16.4;A:40.2;CCC:11.4
| 4.96
| 48.7
| 196
| 129
| 7.6
| 3
| 20
| 55
| 20
| true
| true
| true
| false
| 2.31
| 1.73
| -0.04
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -32
| -11
|
DealerC
|
All2All
| 2
| 98
| -103
| -385
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 216
|
Rotate into defensive sectors
|
C09864
|
CR7185
|
2025-01-09
|
Calm
| 105
| 347
| 4.4
| 2.3
| 272,664,824
|
Utilities:24.4;RealEstate:29.0;Healthcare:7.6;Energy:20.5;Materials:18.5
|
US:63.0;EU:10.4;APAC:10.9;EMEA:10.6;LATAM:5.1
|
AAA:24.0;B:18.3;BBB:28.2;A:25.8;CCC:3.7
| 3.37
| 56.2
| 89
| 256
| 3.3
| 3
| 30
| 45
| 35
| false
| true
| false
| false
| 0.15
| 0.75
| -0.06
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -16
| 6
|
ECN1
|
DealerAxed
| 8
| 98
| 381
| -79
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 159
|
Defer adds pending macro print
|
C09865
|
CR6925
|
2024-04-10
|
Stress
| 225
| 744
| 6.5
| 0.7
| 1,746,909,990
|
Materials:9.2;Healthcare:25.7;RealEstate:19.4;Tech:16.8;Comm:15.2;Energy:13.6
|
US:58.8;EU:14.3;APAC:10.1;EMEA:12.9;LATAM:3.9
|
AAA:23.7;A:17.1;AA:29.1;CCC:15.5;B:14.5
| 7.11
| 25.4
| 265
| 463
| 16.3
| 2.5
| 35
| 35
| 25
| false
| true
| true
| true
| 2.07
| 1.79
| -0.18
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -18
| -16
|
ECN2
|
All2All
| 7
| 97
| -130
| -234
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 105
|
Tighten HY exposure bands
|
C09866
|
CR8089
|
2025-06-28
|
Calm
| 110
| 338
| 4
| 1.7
| 241,442,785
|
Comm:37.7;Tech:28.1;Industrials:34.2
|
US:58.0;EU:21.3;APAC:11.9;EMEA:5.7;LATAM:3.1
|
B:15.0;AA:16.1;A:13.9;AAA:17.2;BB:4.7;BBB:33.2
| 5.25
| 23.2
| 206
| 372
| 3
| 4
| 20
| 35
| 20
| true
| true
| false
| true
| 1.66
| 1.13
| 0.17
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 16
| -9
|
DealerB
|
All2All
| 1
| 93
| 80
| -72
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 158
|
Tighten HY exposure bands
|
C09867
|
CR6111
|
2024-02-14
|
Calm
| 113
| 380
| 4.2
| 2.4
| 115,051,061
|
Utilities:12.2;Energy:9.8;Healthcare:18.4;Financials:8.7;Consumer:15.8;RealEstate:35.2
|
US:70.6;EU:7.7;APAC:8.2;EMEA:6.9;LATAM:6.5
|
AAA:15.7;BB:12.7;BBB:23.4;AA:10.1;A:9.6;CCC:28.5
| 1.61
| 56.5
| 122
| 272
| 5.3
| 3
| 20
| 55
| 30
| true
| true
| true
| false
| 1.56
| 0.57
| 0.32
|
Financials:EW
|
Hedge
|
CDX_IG: +55bps notional
| -53
| 0
|
DealerC
|
Electronic
| 7
| 92
| -82
| -217
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 182
|
Reviewed by risk; hedges staggered
|
C09868
|
CR1090
|
2025-01-31
|
Calm
| 95
| 408
| 3.4
| 1.5
| 2,752,004,411
|
Comm:35.4;Industrials:24.1;Healthcare:9.0;Tech:31.4
|
US:66.8;EU:12.5;APAC:11.9;EMEA:6.6;LATAM:2.2
|
BB:16.3;AAA:10.2;BBB:25.0;CCC:17.8;A:8.9;AA:21.9
| 3.38
| 53.6
| 102
| 303
| 3.3
| 2
| 30
| 35
| 25
| true
| true
| true
| false
| 2
| 1.32
| -0
|
Financials:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -58
| 22
|
DealerA
|
Electronic
| 2
| 88
| 230
| -410
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 194
|
Rotate into defensive sectors
|
C09869
|
CR1188
|
2025-02-27
|
Recovery
| 170
| 548
| 5.2
| 1.5
| 2,502,678,924
|
Tech:21.9;Materials:8.6;Energy:28.5;Utilities:25.9;Financials:15.1
|
US:61.7;EU:18.3;APAC:5.1;EMEA:8.2;LATAM:6.8
|
B:8.9;BB:23.2;BBB:7.7;AAA:19.3;CCC:28.0;AA:12.9
| 5.74
| 45.7
| 143
| 336
| 2.6
| 2
| 25
| 35
| 35
| true
| true
| true
| false
| 0.22
| -0.05
| 0.45
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -45
| -23
|
DealerB
|
All2All
| 3
| 88
| 302
| -417
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 142
|
Escalate watchlist names
|
C09870
|
CR2870
|
2025-07-17
|
Stress
| 225
| 748
| 7.7
| -1.8
| 1,170,380,861
|
Tech:18.6;Comm:25.9;RealEstate:31.1;Energy:15.7;Consumer:8.7
|
US:67.4;EU:9.6;APAC:6.7;EMEA:6.9;LATAM:9.4
|
A:15.9;B:20.4;BB:20.9;CCC:15.3;AAA:15.4;BBB:12.0
| 5.23
| 27.8
| 183
| 434
| 18.8
| 2.5
| 35
| 35
| 25
| false
| true
| true
| false
| -0.03
| 0.97
| 0.46
|
Tech:EW
|
Hedge
|
Options_Payer: +183bps notional
| -58
| -9
|
DealerC
|
DealerAxed
| 11
| 90
| 294
| -136
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 206
|
Escalate watchlist names
|
C09871
|
CR2893
|
2025-07-05
|
Stress
| 177
| 759
| 7.8
| 0.6
| 1,881,560,155
|
Healthcare:45.7;Energy:29.5;Materials:24.8
|
US:75.3;EU:9.2;APAC:5.2;EMEA:8.3;LATAM:1.9
|
BBB:33.2;BB:22.9;AA:32.9;B:11.1
| 0.97
| 34.9
| 225
| 573
| 15.2
| 4
| 20
| 35
| 20
| true
| true
| true
| true
| 0.88
| 0.56
| -0.36
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 6
| 12
|
DealerA
|
Electronic
| 1
| 95
| 3
| -382
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 141
|
Tighten HY exposure bands
|
C09872
|
CR0906
|
2024-09-07
|
Recovery
| 167
| 421
| 5
| 0.2
| 734,247,150
|
Comm:16.8;Utilities:15.4;Industrials:25.9;RealEstate:14.9;Healthcare:7.3;Consumer:19.7
|
US:50.1;EU:19.7;APAC:14.6;EMEA:10.8;LATAM:4.7
|
CCC:13.8;BB:31.5;BBB:11.8;A:15.6;AAA:9.2;B:18.1
| 6.06
| 44.2
| 165
| 421
| 12.1
| 2.5
| 25
| 35
| 25
| true
| true
| true
| false
| 1.27
| -0.3
| 0.4
|
Industrials:EW;Financials:EW
|
Hedge
|
Treasury_Futures: +128bps notional
| -16
| 36
|
ECN1
|
DealerAxed
| 1
| 91
| -211
| -6
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 225
|
Tighten HY exposure bands
|
C09873
|
CR9271
|
2025-03-13
|
Stress
| 251
| 814
| 5.8
| 0.2
| 2,183,282,338
|
Healthcare:15.6;Utilities:35.8;Industrials:24.5;Tech:24.1
|
US:68.6;EU:10.8;APAC:10.5;EMEA:8.9;LATAM:1.2
|
B:11.5;BBB:27.5;AA:22.3;CCC:18.5;AAA:20.2
| 4.79
| 61.5
| 254
| 327
| 8.8
| 3.5
| 35
| 35
| 20
| true
| true
| true
| true
| -0.07
| 1.11
| 0.15
| null |
Hedge
|
CDX_HY: +73bps notional
| -24
| 44
|
ECN2
|
RFQ
| 6
| 89
| -130
| -410
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 205
|
Reviewed by risk; hedges staggered
|
C09874
|
CR5937
|
2024-11-29
|
Tightening
| 105
| 398
| 4.4
| 0.9
| 2,386,121,802
|
Industrials:17.9;RealEstate:15.8;Consumer:13.5;Financials:23.0;Tech:29.9
|
US:65.3;EU:12.2;APAC:11.8;EMEA:8.0;LATAM:2.6
|
AA:15.2;BB:17.2;A:19.3;CCC:20.2;AAA:12.4;BBB:15.7
| 7.38
| 43.4
| 189
| 391
| 3.8
| 2.5
| 35
| 55
| 20
| false
| true
| true
| false
| -0.09
| -0.19
| -0.3
| null |
Hedge
|
CDX_HY: +153bps notional
| -23
| 34
|
DealerB
|
RFQ
| 6
| 86
| 352
| -308
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 164
|
Rotate into defensive sectors
|
C09875
|
CR7659
|
2025-10-27
|
Calm
| 114
| 359
| 3.3
| 1.8
| 727,213,759
|
Comm:31.5;Energy:32.2;Industrials:36.3
|
US:56.9;EU:22.2;APAC:8.5;EMEA:9.0;LATAM:3.4
|
BB:11.3;BBB:19.8;A:41.1;AAA:27.8
| 6.35
| 21.3
| 279
| 282
| 4.8
| 3.5
| 35
| 35
| 20
| true
| true
| false
| true
| 0.03
| 0.48
| 0.08
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -12
| 7
|
ECN2
|
RFQ
| 2
| 85
| 351
| -270
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 129
|
Defer adds pending macro print
|
C09876
|
CR0368
|
2025-07-09
|
Calm
| 96
| 402
| 3.5
| 2.5
| 2,214,194,990
|
Energy:19.9;Utilities:17.3;Tech:14.2;Comm:8.2;Healthcare:22.1;Industrials:18.2
|
US:64.1;EU:16.0;APAC:11.4;EMEA:4.1;LATAM:4.4
|
AA:12.4;A:41.1;BBB:12.4;BB:12.2;B:5.6;CCC:16.2
| 3.19
| 54.7
| 140
| 383
| 2.8
| 2
| 30
| 35
| 35
| false
| true
| false
| false
| 1.33
| 1.7
| 0.26
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -19
| -8
|
DealerC
|
All2All
| 0
| 92
| -138
| -430
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 142
|
Defer adds pending macro print
|
C09877
|
CR0421
|
2025-11-13
|
Recovery
| 156
| 636
| 5
| 1.3
| 2,735,156,673
|
Energy:31.1;Materials:19.9;Comm:16.6;Healthcare:21.8;Utilities:10.7
|
US:70.8;EU:13.7;APAC:6.8;EMEA:5.0;LATAM:3.7
|
BB:36.9;AA:19.4;B:15.1;CCC:28.7
| 4.83
| 31.6
| 228
| 280
| 4.8
| 3
| 25
| 45
| 25
| true
| true
| true
| true
| 1.61
| 0.13
| 0.2
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -27
| -23
|
ECN1
|
Electronic
| 5
| 86
| -11
| 191
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 174
|
Defer adds pending macro print
|
C09878
|
CR2430
|
2025-12-02
|
Recovery
| 144
| 584
| 4.7
| -0.3
| 1,885,415,327
|
RealEstate:43.8;Financials:16.8;Healthcare:24.8;Consumer:14.6
|
US:66.6;EU:15.3;APAC:9.3;EMEA:8.2;LATAM:0.5
|
BBB:9.8;CCC:29.3;B:9.5;AAA:11.1;BB:27.1;AA:13.1
| 0.76
| 42.1
| 202
| 507
| 13.6
| 2
| 30
| 55
| 25
| true
| true
| true
| true
| 2.25
| 0.67
| 0.3
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 18
| 36
|
DealerC
|
All2All
| 12
| 88
| -14
| 149
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 238
|
Rotate into defensive sectors
|
C09879
|
CR1244
|
2025-11-28
|
Stress
| 195
| 746
| 5.7
| -1.9
| 721,716,245
|
Financials:32.1;Tech:32.4;Materials:35.5
|
US:60.3;EU:16.3;APAC:12.1;EMEA:7.5;LATAM:3.8
|
AAA:14.7;CCC:11.9;BB:4.1;AA:17.3;BBB:21.0;A:31.0
| 6.77
| 20.4
| 158
| 304
| 21.9
| 2
| 30
| 45
| 30
| true
| true
| false
| false
| 0.21
| 1.32
| -0
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 0
| 13
|
DealerA
|
DealerAxed
| 1
| 98
| 255
| -423
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 127
|
Tighten HY exposure bands
|
C09880
|
CR2281
|
2024-12-04
|
Tightening
| 117
| 442
| 4.1
| 1
| 1,551,587,444
|
Tech:26.1;Financials:24.4;RealEstate:8.8;Materials:27.2;Industrials:13.6
|
US:56.7;EU:18.1;APAC:14.5;EMEA:8.6;LATAM:2.1
|
B:26.9;AA:14.9;BB:14.2;A:13.9;CCC:30.2
| 2.4
| 35.6
| 261
| 354
| 12.6
| 2
| 35
| 45
| 35
| false
| true
| true
| true
| 2.2
| 0.95
| 0.49
|
Financials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 1
| 2
|
DealerA
|
Electronic
| 1
| 100
| 139
| -350
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 109
|
Rotate into defensive sectors
|
C09881
|
CR4920
|
2025-02-01
|
Tightening
| 160
| 355
| 3.9
| 1.2
| 1,237,107,195
|
Utilities:19.1;Financials:22.3;Comm:14.4;Healthcare:7.9;Energy:22.2;Materials:14.1
|
US:57.1;EU:16.2;APAC:11.7;EMEA:8.9;LATAM:6.1
|
A:25.4;B:10.0;AAA:29.3;AA:35.3
| 6.32
| 61.3
| 191
| 382
| 6.3
| 3.5
| 25
| 45
| 25
| false
| true
| false
| false
| -0.04
| 1.63
| -0.37
|
Comm:EW;Financials:EW
|
Hedge
|
Options_Payer: +197bps notional
| -44
| -2
|
ECN1
|
All2All
| 10
| 87
| 68
| 44
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 204
|
Tighten HY exposure bands
|
C09882
|
CR1125
|
2024-09-12
|
Tightening
| 130
| 443
| 4.1
| 1.5
| 597,782,326
|
Tech:15.0;Healthcare:14.1;RealEstate:30.3;Comm:28.7;Utilities:11.9
|
US:67.7;EU:11.3;APAC:6.7;EMEA:9.3;LATAM:5.1
|
A:21.0;AAA:8.1;BBB:19.6;B:22.2;BB:29.0
| 3.95
| 26.8
| 177
| 298
| 11.7
| 2.5
| 25
| 35
| 30
| true
| true
| true
| false
| 2.27
| 0.33
| 0.35
|
Financials:EW;Tech:EW;Industrials:EW
|
Hedge
|
iTraxx_MAIN: +63bps notional
| -1
| -15
|
ECN2
|
RFQ
| 3
| 97
| 204
| -58
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 254
|
Reviewed by risk; hedges staggered
|
C09883
|
CR3291
|
2025-08-30
|
Calm
| 84
| 407
| 4.2
| 1.9
| 386,026,805
|
Consumer:12.0;Materials:13.4;Comm:14.4;Tech:9.3;RealEstate:32.3;Energy:18.4
|
US:57.2;EU:17.6;APAC:14.3;EMEA:8.5;LATAM:2.4
|
AAA:34.2;A:31.7;B:16.7;BB:17.4
| 0.78
| 21.4
| 238
| 212
| 3.9
| 3
| 20
| 55
| 35
| true
| true
| false
| true
| -0.06
| 1.63
| 0.15
|
RealEstate:EW
|
Hedge
|
iTraxx_MAIN: +162bps notional
| -30
| -3
|
DealerC
|
RFQ
| 7
| 93
| 3
| 69
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 111
|
Tighten HY exposure bands
|
C09884
|
CR7873
|
2025-06-26
|
Recovery
| 114
| 504
| 5.8
| 1.2
| 1,907,960,021
|
RealEstate:36.3;Industrials:19.1;Utilities:11.0;Materials:33.6
|
US:67.7;EU:10.4;APAC:8.0;EMEA:10.3;LATAM:3.7
|
CCC:16.6;A:8.7;BBB:11.6;AAA:19.7;B:13.6;BB:29.8
| 3.06
| 57.4
| 94
| 220
| 7.7
| 3.5
| 35
| 35
| 20
| true
| true
| true
| false
| -0.12
| 0.3
| 0.25
|
Industrials:EW
|
Hedge
|
Treasury_Futures: +172bps notional
| 12
| -18
|
DealerB
|
All2All
| 3
| 92
| 5
| -144
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 192
|
Defer adds pending macro print
|
C09885
|
CR2906
|
2024-08-21
|
Recovery
| 144
| 641
| 5
| 1.4
| 1,478,987,087
|
Healthcare:28.3;Energy:8.8;Industrials:20.4;Financials:9.9;RealEstate:32.6
|
US:61.5;EU:13.9;APAC:11.3;EMEA:9.7;LATAM:3.6
|
A:20.2;AAA:33.0;BB:19.4;AA:27.4
| 5.68
| 52.8
| 99
| 139
| 4.1
| 3
| 20
| 55
| 30
| true
| true
| false
| false
| -0.23
| 1.68
| 0.08
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -45
| 14
|
DealerA
|
All2All
| 0
| 85
| 332
| -307
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 186
|
Tighten HY exposure bands
|
C09886
|
CR4067
|
2025-01-15
|
Tightening
| 137
| 404
| 4
| 0.5
| 1,021,984,401
|
Utilities:17.4;RealEstate:23.7;Energy:25.0;Comm:10.9;Financials:23.0
|
US:64.5;EU:16.1;APAC:9.7;EMEA:8.9;LATAM:0.9
|
B:22.7;AA:15.0;A:15.6;BB:16.9;CCC:10.0;BBB:19.8
| 5.79
| 30
| 260
| 168
| 11.5
| 3.5
| 35
| 55
| 25
| false
| true
| true
| true
| 1.86
| 1.72
| 0.15
|
RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -11
| 18
|
ECN1
|
RFQ
| 4
| 95
| 204
| -382
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 139
|
Escalate watchlist names
|
C09887
|
CR4217
|
2024-12-27
|
Calm
| 109
| 327
| 3.7
| 1.8
| 371,688,950
|
Financials:42.8;Healthcare:10.8;Consumer:17.4;RealEstate:28.9
|
US:71.3;EU:6.6;APAC:8.1;EMEA:6.6;LATAM:7.4
|
AAA:14.1;CCC:34.8;BB:13.0;AA:14.4;A:23.8
| 2.75
| 27.7
| 132
| 157
| 11.5
| 2
| 35
| 55
| 30
| true
| true
| true
| false
| 2.22
| 0.16
| 0.27
| null |
Hedge
|
CDX_HY: +100bps notional
| -33
| -20
|
DealerB
|
DealerAxed
| 7
| 99
| 1
| -111
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 215
|
Escalate watchlist names
|
C09888
|
CR0037
|
2024-05-03
|
Calm
| 87
| 325
| 4.5
| 2
| 416,868,241
|
Industrials:50.6;Consumer:23.5;Materials:25.9
|
US:63.2;EU:11.9;APAC:9.6;EMEA:11.1;LATAM:4.3
|
BB:11.1;BBB:35.2;A:18.8;B:15.6;AA:19.2
| 5.67
| 31.3
| 166
| 482
| 15.8
| 3
| 20
| 45
| 35
| true
| true
| false
| false
| -0.15
| 0.68
| -0.12
|
Healthcare:EW
|
Hedge
|
iTraxx_XOVER: +64bps notional
| -35
| -4
|
DealerC
|
All2All
| 6
| 92
| 85
| -134
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 147
|
Rotate into defensive sectors
|
C09889
|
CR1910
|
2025-08-21
|
Stress
| 192
| 730
| 8.3
| -0.1
| 1,034,224,044
|
Industrials:32.5;Energy:38.5;RealEstate:29.0
|
US:67.8;EU:12.3;APAC:7.8;EMEA:7.6;LATAM:4.4
|
AA:22.3;B:14.1;AAA:22.1;BB:34.2;CCC:7.3
| 6.18
| 22
| 292
| 313
| 19.4
| 3
| 20
| 55
| 25
| true
| true
| true
| true
| 0.04
| 0.75
| 0.22
| null |
Hedge
|
CDX_HY: +63bps notional
| 17
| 29
|
DealerB
|
Electronic
| 1
| 95
| -113
| -315
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 211
|
Reviewed by risk; hedges staggered
|
C09890
|
CR5965
|
2024-03-28
|
Recovery
| 153
| 570
| 5.3
| 1.5
| 2,848,381,987
|
Tech:31.1;Utilities:23.9;Healthcare:16.6;Comm:11.3;Energy:17.1
|
US:61.4;EU:13.8;APAC:13.7;EMEA:3.4;LATAM:7.7
|
AAA:30.1;BB:3.6;A:23.6;AA:42.7
| 3.76
| 30.8
| 257
| 318
| 15.1
| 3
| 25
| 55
| 25
| true
| true
| false
| true
| 2.44
| 0.42
| 0.29
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -34
| 2
|
ECN2
|
Electronic
| 11
| 86
| -131
| 75
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 219
|
Escalate watchlist names
|
C09891
|
CR4644
|
2024-04-09
|
Recovery
| 109
| 456
| 4.8
| 1.8
| 1,715,095,433
|
Industrials:23.8;Tech:25.0;Materials:16.0;Comm:15.1;Consumer:20.1
|
US:67.2;EU:12.7;APAC:6.5;EMEA:7.8;LATAM:5.8
|
BB:24.6;AA:18.4;B:24.3;A:15.8;BBB:16.8
| 5.52
| 53.4
| 136
| 390
| 4.9
| 3
| 30
| 45
| 20
| false
| true
| true
| false
| -0.39
| 1.05
| 0.07
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -28
| -16
|
DealerB
|
Electronic
| 11
| 90
| -155
| -462
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 109
|
Rotate into defensive sectors
|
C09892
|
CR9092
|
2025-12-06
|
Tightening
| 122
| 485
| 4.1
| 1.7
| 1,900,597,059
|
Financials:45.1;RealEstate:24.4;Energy:30.5
|
US:57.3;EU:17.0;APAC:11.3;EMEA:9.4;LATAM:5.0
|
BBB:22.0;BB:7.1;B:31.0;A:16.8;AA:23.1
| 3.99
| 63.8
| 208
| 244
| 5.8
| 2
| 20
| 45
| 35
| true
| true
| true
| true
| -0.44
| 1.01
| -0.28
|
Comm:EW
|
Hedge
|
Treasury_Futures: +125bps notional
| 7
| 4
|
DealerA
|
Electronic
| 1
| 91
| 52
| -167
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 155
|
Escalate watchlist names
|
C09893
|
CR1689
|
2025-01-03
|
Recovery
| 127
| 507
| 6.2
| 1.5
| 88,771,803
|
Healthcare:29.8;Tech:15.5;Materials:7.7;Comm:28.3;RealEstate:18.8
|
US:59.4;EU:9.5;APAC:13.7;EMEA:9.9;LATAM:7.6
|
CCC:19.2;A:11.2;BB:7.3;B:20.6;AAA:24.6;AA:17.1
| 6.69
| 34.2
| 85
| 241
| 16.8
| 3.5
| 20
| 55
| 30
| true
| true
| true
| false
| 0.27
| 0.63
| 0.36
| null |
Hedge
|
CDX_HY: +117bps notional
| 10
| 0
|
DealerB
|
Electronic
| 10
| 90
| 31
| -109
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 100
|
Defer adds pending macro print
|
C09894
|
CR6027
|
2025-05-18
|
Stress
| 184
| 578
| 8.2
| -0.9
| 1,218,253,345
|
Financials:26.7;Comm:11.3;Energy:12.8;Healthcare:26.9;Tech:9.9;Utilities:12.4
|
US:62.4;EU:9.3;APAC:13.0;EMEA:8.4;LATAM:6.8
|
B:6.5;AA:20.6;BBB:30.9;A:30.2;BB:11.9
| 1.71
| 58.5
| 333
| 608
| 9.1
| 3
| 25
| 45
| 30
| true
| true
| false
| true
| 2.35
| -0.24
| 0.3
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 5
| 27
|
ECN1
|
DealerAxed
| 11
| 85
| -12
| 104
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 179
|
Tighten HY exposure bands
|
C09895
|
CR0819
|
2024-03-01
|
Recovery
| 101
| 518
| 5.3
| 1.9
| 500,326,323
|
Consumer:21.3;Utilities:17.6;Materials:15.3;Tech:22.6;Comm:23.2
|
US:62.2;EU:8.0;APAC:11.3;EMEA:12.4;LATAM:6.1
|
B:11.7;A:25.0;BBB:11.9;CCC:28.6;BB:22.8
| 4.81
| 25.2
| 240
| 384
| 4.5
| 2
| 30
| 45
| 20
| false
| true
| true
| true
| 1.67
| 0.8
| 0.49
|
Utilities:EW
|
Hedge
|
Treasury_Futures: +75bps notional
| -52
| 33
|
ECN1
|
Electronic
| 7
| 95
| 385
| -193
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 115
|
Rotate into defensive sectors
|
C09896
|
CR4775
|
2025-08-02
|
Stress
| 150
| 787
| 6.3
| -2
| 1,117,428,451
|
Industrials:40.3;RealEstate:46.8;Comm:12.9
|
US:59.1;EU:19.8;APAC:12.4;EMEA:8.2;LATAM:0.3
|
CCC:16.4;B:13.3;A:63.1;BB:7.2
| 5.85
| 33.8
| 329
| 565
| 20.8
| 4
| 35
| 45
| 20
| true
| true
| true
| true
| 1.38
| 0.34
| 0.01
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 17
| 3
|
DealerA
|
Electronic
| 7
| 90
| -122
| -441
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 222
|
Escalate watchlist names
|
C09897
|
CR8369
|
2025-06-25
|
Calm
| 107
| 375
| 4.3
| 2.9
| 2,386,309,654
|
Energy:15.2;Materials:44.2;Industrials:23.6;Consumer:17.1
|
US:61.6;EU:16.3;APAC:6.8;EMEA:9.5;LATAM:5.8
|
BB:16.9;BBB:24.9;AAA:16.9;AA:9.5;A:31.9
| 4.07
| 31.2
| 98
| 454
| 4.7
| 4
| 20
| 45
| 25
| true
| true
| false
| false
| 1.63
| 1.34
| -0.22
|
Comm:EW;RealEstate:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 20
| 4
|
DealerA
|
DealerAxed
| 2
| 96
| -160
| -300
|
Region>limit
|
PauseAdds
|
Regional concentration above limit
| 124
|
Rotate into defensive sectors
|
C09898
|
CR6318
|
2025-10-30
|
Calm
| 83
| 310
| 4.5
| 1.6
| 731,124,022
|
RealEstate:20.2;Healthcare:16.4;Industrials:11.8;Comm:28.5;Materials:23.1
|
US:66.9;EU:10.0;APAC:7.9;EMEA:11.8;LATAM:3.4
|
CCC:12.5;BB:12.7;A:28.4;BBB:24.3;AA:22.1
| 4
| 39
| 244
| 300
| 3.2
| 3.5
| 20
| 55
| 35
| true
| true
| false
| true
| -0.24
| 1.3
| 0.58
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -3
| 38
|
ECN1
|
Electronic
| 5
| 87
| -102
| -420
|
VAR>budget
|
PauseAdds
|
Portfolio VAR above budget
| 118
|
Escalate watchlist names
|
C09899
|
CR4666
|
2025-06-28
|
Stress
| 234
| 840
| 6.5
| -0.9
| 2,625,332,945
|
Comm:6.8;Utilities:21.8;RealEstate:21.5;Energy:17.6;Industrials:8.6;Healthcare:23.7
|
US:68.2;EU:7.6;APAC:12.0;EMEA:7.5;LATAM:4.7
|
B:8.3;BBB:26.8;BB:10.9;AAA:26.4;A:27.6
| 5.59
| 22.3
| 259
| 486
| 18
| 2
| 30
| 55
| 35
| false
| true
| false
| true
| 2.41
| -0.06
| -0.34
| null |
Hedge
|
CDX_HY: +182bps notional
| 7
| 9
|
ECN2
|
Electronic
| 5
| 100
| 326
| 10
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 216
|
Reviewed by risk; hedges staggered
|
C09900
|
CR9426
|
2024-02-27
|
Tightening
| 133
| 427
| 4
| 0.6
| 2,664,275,926
|
Financials:32.9;Tech:32.5;Healthcare:34.5
|
US:72.9;EU:9.9;APAC:6.7;EMEA:7.1;LATAM:3.4
|
AAA:17.2;BBB:10.8;A:21.9;AA:19.1;B:31.1
| 4.2
| 61.8
| 251
| 319
| 10.3
| 2
| 35
| 45
| 30
| false
| true
| true
| true
| 0.23
| 0.68
| 0.17
|
Materials:EW
|
Hedge
|
CDX_HY: +78bps notional
| 11
| 3
|
ECN2
|
All2All
| 12
| 100
| -59
| -230
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 150
|
Defer adds pending macro print
|
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