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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C09901
|
CR9081
|
2025-08-24
|
Calm
| 79
| 403
| 4.1
| 2.7
| 1,436,577,164
|
RealEstate:20.7;Utilities:20.4;Energy:22.8;Materials:23.9;Healthcare:12.2
|
US:71.5;EU:9.9;APAC:12.2;EMEA:4.9;LATAM:1.6
|
AAA:19.0;BBB:10.3;AA:10.6;CCC:13.1;BB:25.2;B:21.8
| 1.32
| 46.7
| 277
| 264
| 6.4
| 2
| 25
| 55
| 35
| false
| true
| true
| true
| 0.93
| 0.09
| -0.39
|
RealEstate:EW;Tech:EW;Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 10
| 24
|
DealerC
|
RFQ
| 8
| 94
| 134
| -401
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 167
|
Tighten HY exposure bands
|
C09902
|
CR7954
|
2025-01-21
|
Stress
| 224
| 664
| 6.4
| 0.7
| 1,422,711,343
|
Consumer:26.3;Comm:18.1;Tech:35.7;Materials:19.9
|
US:74.3;EU:6.0;APAC:8.9;EMEA:6.7;LATAM:4.1
|
CCC:15.9;BBB:25.2;BB:18.0;AA:23.7;AAA:17.1
| 3.88
| 29.3
| 254
| 287
| 19.5
| 4
| 25
| 35
| 35
| true
| true
| false
| true
| 0.5
| 1.59
| 0.49
|
RealEstate:EW
|
Hedge
|
CDX_IG: +189bps notional
| -17
| -8
|
ECN2
|
DealerAxed
| 12
| 93
| 72
| -201
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 191
|
Reviewed by risk; hedges staggered
|
C09903
|
CR9654
|
2025-07-09
|
Stress
| 155
| 810
| 6.5
| 0.3
| 884,303,786
|
RealEstate:21.5;Energy:28.2;Comm:9.3;Healthcare:11.8;Utilities:10.6;Consumer:18.6
|
US:74.0;EU:6.2;APAC:10.5;EMEA:4.0;LATAM:5.4
|
B:22.7;AAA:32.6;CCC:35.9;A:8.9
| 3.83
| 45.7
| 240
| 513
| 12.6
| 2
| 20
| 55
| 30
| true
| true
| true
| true
| -0.01
| 1.09
| -0.34
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 12
| 36
|
ECN1
|
All2All
| 0
| 96
| 321
| -95
|
Region>limit
|
PauseAdds
|
Regional concentration above limit
| 219
|
Defer adds pending macro print
|
C09904
|
CR1103
|
2024-10-21
|
Stress
| 205
| 698
| 8
| -0.4
| 1,270,963,456
|
Financials:23.1;Tech:8.8;Comm:10.0;Materials:9.8;Healthcare:23.0;Utilities:25.2
|
US:62.8;EU:8.9;APAC:12.0;EMEA:12.0;LATAM:4.3
|
AAA:35.7;A:21.3;B:22.7;BB:20.3
| 6.86
| 53.3
| 181
| 682
| 19.6
| 4
| 25
| 45
| 25
| true
| true
| true
| false
| 1.03
| 0.14
| 0.16
| null |
Hedge
|
iTraxx_XOVER: +188bps notional
| -10
| -8
|
ECN1
|
All2All
| 10
| 99
| 256
| 61
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 160
|
Tighten HY exposure bands
|
C09905
|
CR4596
|
2025-11-17
|
Tightening
| 112
| 515
| 4.8
| 1.6
| 1,620,393,885
|
Comm:26.7;Consumer:32.9;Healthcare:21.8;Energy:18.6
|
US:76.0;EU:9.6;APAC:7.9;EMEA:3.6;LATAM:2.8
|
CCC:16.5;AAA:20.6;A:30.5;BB:32.3
| 3.89
| 32.7
| 145
| 486
| 13
| 3.5
| 25
| 35
| 30
| true
| true
| true
| false
| 0.43
| 0.58
| -0.38
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -5
| -16
|
ECN1
|
All2All
| 5
| 99
| 252
| -141
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 132
|
Rotate into defensive sectors
|
C09906
|
CR0784
|
2025-07-31
|
Tightening
| 147
| 357
| 4.7
| 1.8
| 2,404,997,989
|
Healthcare:12.4;Energy:16.2;Financials:13.0;Industrials:22.1;Comm:25.3;Materials:10.9
|
US:62.5;EU:15.2;APAC:12.2;EMEA:4.6;LATAM:5.5
|
AAA:16.2;AA:38.2;A:36.1;BB:9.5
| 1.86
| 25.8
| 111
| 159
| 8.2
| 2
| 35
| 45
| 30
| false
| true
| false
| false
| 0.01
| 1.23
| 0.5
|
RealEstate:EW
|
Hedge
|
Options_Payer: +142bps notional
| 6
| 38
|
ECN1
|
Electronic
| 2
| 85
| -109
| -244
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 258
|
Defer adds pending macro print
|
C09907
|
CR3221
|
2024-02-21
|
Calm
| 79
| 325
| 4.4
| 2.4
| 631,073,602
|
Tech:36.0;Comm:12.7;Financials:29.5;Energy:21.8
|
US:69.9;EU:10.8;APAC:10.9;EMEA:5.1;LATAM:3.3
|
AA:32.2;B:25.6;BBB:11.2;BB:31.0
| 6.21
| 37.8
| 214
| 484
| 8.1
| 3
| 30
| 55
| 35
| true
| true
| true
| true
| 2.43
| 0
| 0.11
|
Healthcare:EW;RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -9
| 39
|
ECN2
|
DealerAxed
| 3
| 89
| 49
| 34
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 234
|
Tighten HY exposure bands
|
C09908
|
CR4572
|
2025-03-10
|
Calm
| 104
| 294
| 4.3
| 2
| 2,759,223,544
|
Financials:17.5;Energy:16.4;Healthcare:29.7;Tech:26.8;Utilities:9.6
|
US:65.4;EU:6.6;APAC:10.5;EMEA:11.1;LATAM:6.4
|
AA:30.3;B:10.0;BBB:12.2;AAA:19.8;CCC:27.8
| 2.22
| 55.5
| 260
| 421
| 2.7
| 2.5
| 30
| 45
| 25
| false
| true
| true
| true
| -0.16
| 0.57
| 0.2
|
Healthcare:EW;Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -23
| -1
|
DealerB
|
All2All
| 2
| 93
| 27
| -321
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 188
|
Defer adds pending macro print
|
C09909
|
CR2750
|
2025-06-22
|
Tightening
| 142
| 479
| 3.8
| 1.5
| 2,972,006,186
|
Utilities:22.9;Financials:32.4;Healthcare:31.9;Materials:12.9
|
US:72.0;EU:12.1;APAC:8.4;EMEA:7.1;LATAM:0.3
|
CCC:18.1;B:23.3;BBB:20.0;A:28.4;AA:10.2
| 4.43
| 62.5
| 128
| 218
| 5.6
| 2.5
| 35
| 45
| 35
| false
| true
| true
| false
| 1.28
| 1.7
| 0.3
|
Tech:EW;Healthcare:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -45
| -3
|
DealerB
|
All2All
| 10
| 86
| -99
| -290
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 194
|
Tighten HY exposure bands
|
C09910
|
CR4047
|
2025-11-11
|
Stress
| 194
| 587
| 8.2
| -1.7
| 2,823,924,311
|
Utilities:17.3;Comm:24.4;Energy:23.6;Tech:8.4;Materials:26.3
|
US:63.9;EU:8.3;APAC:10.2;EMEA:10.9;LATAM:6.7
|
B:14.7;CCC:21.7;BBB:21.9;BB:25.5;AAA:16.2
| 1.96
| 28.2
| 296
| 544
| 15.4
| 2.5
| 20
| 35
| 35
| true
| true
| true
| true
| 0.24
| -0.25
| 0.4
|
Utilities:EW
|
Hedge
|
iTraxx_XOVER: +144bps notional
| 0
| 23
|
DealerB
|
DealerAxed
| 8
| 85
| 257
| -26
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 229
|
Tighten HY exposure bands
|
C09911
|
CR0486
|
2025-12-09
|
Recovery
| 152
| 646
| 5.9
| 1.4
| 2,739,667,465
|
Comm:11.0;Utilities:9.0;Consumer:21.5;Healthcare:17.1;Energy:15.4;Industrials:25.9
|
US:63.4;EU:11.9;APAC:11.0;EMEA:7.6;LATAM:6.1
|
A:22.7;BBB:26.4;BB:22.6;B:28.3
| 2.92
| 31.2
| 273
| 235
| 11.9
| 2.5
| 20
| 45
| 35
| true
| true
| true
| true
| 0.12
| -0.1
| -0.01
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 15
| 3
|
DealerB
|
RFQ
| 2
| 91
| -106
| -121
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 115
|
Escalate watchlist names
|
C09912
|
CR8422
|
2025-03-28
|
Calm
| 103
| 397
| 4.4
| 2.3
| 64,049,993
|
RealEstate:11.3;Comm:12.3;Energy:25.8;Financials:22.1;Tech:11.2;Utilities:17.2
|
US:64.1;EU:6.8;APAC:14.3;EMEA:7.6;LATAM:7.2
|
CCC:9.4;BB:33.0;AAA:14.8;AA:14.8;B:14.6;A:13.4
| 4.62
| 38.4
| 80
| 143
| 13.7
| 2.5
| 25
| 55
| 35
| true
| true
| true
| false
| 0.57
| 1.02
| 0.03
|
Energy:EW;Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -58
| -17
|
DealerB
|
All2All
| 8
| 86
| -143
| -62
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 215
|
Reviewed by risk; hedges staggered
|
C09913
|
CR4116
|
2025-02-17
|
Recovery
| 120
| 594
| 5.1
| 1.6
| 1,635,366,440
|
Consumer:17.8;Materials:34.0;Energy:35.9;Industrials:12.2
|
US:64.2;EU:16.9;APAC:7.0;EMEA:7.0;LATAM:4.9
|
BBB:22.3;AA:24.4;BB:17.0;CCC:36.3
| 7.33
| 41.5
| 216
| 456
| 14.5
| 4
| 35
| 35
| 25
| true
| true
| true
| true
| 0.65
| 1.62
| -0.36
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 7
| -14
|
DealerA
|
Electronic
| 5
| 95
| 45
| 123
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 125
|
Defer adds pending macro print
|
C09914
|
CR5254
|
2025-02-01
|
Recovery
| 180
| 510
| 5.6
| 1.1
| 2,106,014,931
|
Comm:22.0;Financials:28.7;Healthcare:17.3;Materials:23.6;Utilities:8.3
|
US:68.5;EU:9.1;APAC:11.2;EMEA:8.6;LATAM:2.6
|
B:21.0;BB:20.0;CCC:41.4;BBB:17.6
| 2.34
| 38.2
| 118
| 473
| 8.7
| 2
| 35
| 35
| 25
| false
| true
| true
| false
| 1.91
| 0.53
| 0.21
| null |
Hedge
|
Options_Payer: +54bps notional
| -11
| 14
|
DealerA
|
RFQ
| 9
| 99
| 201
| -63
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 231
|
Tighten HY exposure bands
|
C09915
|
CR9593
|
2024-04-22
|
Calm
| 93
| 367
| 3.9
| 2.5
| 967,132,771
|
Healthcare:12.8;Consumer:27.1;Utilities:23.2;Financials:29.8;Energy:7.1
|
US:69.4;EU:14.6;APAC:6.9;EMEA:4.8;LATAM:4.3
|
AAA:16.8;BBB:22.2;BB:18.0;B:7.1;A:23.6;CCC:12.3
| 5.25
| 61.4
| 92
| 183
| 4.5
| 2
| 25
| 55
| 25
| true
| true
| true
| false
| 0.34
| -0.03
| 0.32
|
RealEstate:EW
|
Hedge
|
SingleName_CDS: +146bps notional
| -20
| 44
|
DealerB
|
Electronic
| 3
| 91
| 242
| -321
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 174
|
Rotate into defensive sectors
|
C09916
|
CR9575
|
2025-10-15
|
Recovery
| 110
| 557
| 5.3
| -0
| 2,443,851,571
|
Materials:23.0;Industrials:9.8;Tech:26.0;RealEstate:17.8;Utilities:23.5
|
US:66.9;EU:11.6;APAC:9.8;EMEA:7.7;LATAM:3.9
|
AA:21.6;AAA:23.1;BB:12.3;B:32.7;BBB:10.3
| 1.55
| 31
| 148
| 263
| 11.7
| 2
| 35
| 35
| 35
| false
| true
| true
| false
| -0.27
| 0.59
| 0.27
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 4
| 19
|
DealerC
|
RFQ
| 7
| 87
| -134
| -262
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 145
|
Tighten HY exposure bands
|
C09917
|
CR2273
|
2024-06-09
|
Tightening
| 114
| 476
| 4.6
| 0.9
| 2,836,996,436
|
Comm:7.4;Healthcare:12.1;Materials:29.1;RealEstate:20.4;Utilities:20.8;Financials:10.1
|
US:77.4;EU:8.5;APAC:6.0;EMEA:7.6;LATAM:0.5
|
AA:26.9;BB:18.2;CCC:9.5;A:25.2;BBB:20.3
| 5.3
| 60
| 87
| 310
| 9.6
| 4
| 35
| 55
| 30
| false
| true
| false
| false
| 2.05
| 0.21
| -0.12
|
Financials:EW;RealEstate:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 16
| 29
|
DealerA
|
DealerAxed
| 1
| 95
| -114
| 110
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 132
|
Rotate into defensive sectors
|
C09918
|
CR6315
|
2024-07-27
|
Stress
| 172
| 601
| 6.1
| -1.6
| 165,107,692
|
Utilities:43.3;Industrials:12.5;Tech:14.5;Comm:14.8;Financials:14.9
|
US:61.9;EU:15.4;APAC:9.7;EMEA:8.5;LATAM:4.6
|
B:8.4;BBB:27.0;CCC:8.3;BB:2.7;AAA:23.0;A:30.7
| 0.92
| 26.8
| 164
| 537
| 9.3
| 2.5
| 35
| 45
| 25
| true
| true
| false
| false
| 2.4
| 1.26
| 0.28
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 9
| 38
|
DealerA
|
All2All
| 11
| 100
| 265
| 168
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 185
|
Tighten HY exposure bands
|
C09919
|
CR1549
|
2025-01-15
|
Recovery
| 169
| 561
| 5.5
| 0.6
| 523,421,307
|
Tech:20.1;Financials:21.8;Materials:22.5;Utilities:12.5;Industrials:23.2
|
US:64.2;EU:16.0;APAC:12.9;EMEA:6.0;LATAM:0.9
|
CCC:8.2;B:17.9;BBB:40.1;AA:33.8
| 4.51
| 45.3
| 234
| 189
| 6.9
| 3.5
| 20
| 35
| 30
| true
| true
| false
| true
| -0.49
| 1.64
| 0.19
|
Financials:EW;Materials:EW
|
Hedge
|
Treasury_Futures: +129bps notional
| -17
| 3
|
DealerC
|
DealerAxed
| 10
| 97
| -123
| 184
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 122
|
Rotate into defensive sectors
|
C09920
|
CR3083
|
2024-06-02
|
Stress
| 254
| 689
| 7.7
| 0.7
| 1,029,414,805
|
Comm:26.2;Industrials:17.8;Financials:7.0;Materials:25.4;Energy:12.3;Consumer:11.5
|
US:72.3;EU:5.6;APAC:11.2;EMEA:6.8;LATAM:4.2
|
AAA:10.8;BBB:16.2;A:13.9;AA:19.8;BB:39.2
| 1.06
| 61.9
| 299
| 430
| 11.2
| 2
| 25
| 45
| 20
| true
| true
| true
| true
| 0.99
| 0.93
| -0.25
|
RealEstate:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -45
| -11
|
ECN1
|
DealerAxed
| 4
| 87
| -116
| -229
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 166
|
Escalate watchlist names
|
C09921
|
CR6977
|
2024-01-20
|
Tightening
| 127
| 518
| 3.9
| 1.8
| 379,356,447
|
RealEstate:30.9;Healthcare:31.5;Tech:11.5;Utilities:26.0
|
US:73.0;EU:10.6;APAC:6.5;EMEA:8.0;LATAM:1.9
|
B:20.4;AAA:18.5;BBB:23.6;A:13.9;BB:23.6
| 3.65
| 56.6
| 238
| 480
| 5.5
| 3.5
| 30
| 45
| 20
| true
| true
| true
| true
| 2.34
| 0.2
| 0.35
|
Comm:EW;Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 13
| -1
|
ECN1
|
RFQ
| 11
| 86
| 241
| -258
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 159
|
Reviewed by risk; hedges staggered
|
C09922
|
CR0724
|
2024-05-23
|
Calm
| 109
| 414
| 3.4
| 2.7
| 600,868,296
|
Consumer:26.2;Comm:16.1;Tech:26.6;Energy:10.4;Industrials:20.7
|
US:58.6;EU:22.5;APAC:6.8;EMEA:6.5;LATAM:5.7
|
AA:23.6;BB:22.5;CCC:9.1;BBB:16.9;A:27.9
| 6.95
| 62.2
| 248
| 308
| 10.1
| 2.5
| 20
| 35
| 35
| true
| true
| false
| true
| 0.44
| 0.74
| -0.26
|
Energy:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 18
| 41
|
DealerB
|
Electronic
| 10
| 100
| 94
| -78
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 154
|
Defer adds pending macro print
|
C09923
|
CR2562
|
2025-05-03
|
Tightening
| 153
| 505
| 4.8
| 1.8
| 2,456,331,338
|
Energy:34.3;Utilities:21.4;Comm:44.3
|
US:71.0;EU:11.0;APAC:6.8;EMEA:4.4;LATAM:6.9
|
BBB:26.0;AAA:30.4;AA:18.7;CCC:24.9
| 3.12
| 20.1
| 260
| 212
| 2.2
| 2
| 25
| 55
| 30
| true
| true
| false
| true
| 2.48
| 0.74
| -0.27
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 8
| -13
|
ECN1
|
Electronic
| 4
| 85
| -28
| -44
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 253
|
Rotate into defensive sectors
|
C09924
|
CR8717
|
2024-09-26
|
Calm
| 95
| 379
| 3.5
| 2
| 1,646,894,242
|
Industrials:22.7;Energy:33.0;Financials:32.4;Materials:11.9
|
US:63.0;EU:11.2;APAC:12.8;EMEA:8.2;LATAM:4.7
|
AAA:31.0;BBB:19.1;BB:16.7;A:33.2
| 5.59
| 59
| 266
| 295
| 12.5
| 4
| 30
| 55
| 20
| true
| true
| false
| true
| 1.36
| 0.82
| 0.57
|
Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -35
| 36
|
DealerA
|
DealerAxed
| 11
| 97
| -168
| -302
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 258
|
Tighten HY exposure bands
|
C09925
|
CR2110
|
2024-04-10
|
Calm
| 98
| 374
| 4.1
| 2.7
| 2,373,360,275
|
Energy:22.2;Consumer:28.1;Comm:7.7;Industrials:26.3;Utilities:15.7
|
US:68.6;EU:12.1;APAC:9.7;EMEA:3.2;LATAM:6.4
|
A:18.5;AAA:6.9;BBB:20.0;BB:25.9;B:28.7
| 6.53
| 38.6
| 99
| 512
| 9.2
| 2.5
| 20
| 55
| 30
| true
| true
| true
| false
| 0.37
| 0.04
| -0.36
|
Financials:EW
|
Hedge
|
CDX_HY: +94bps notional
| -33
| -14
|
ECN2
|
RFQ
| 6
| 91
| 158
| 140
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 239
|
Rotate into defensive sectors
|
C09926
|
CR1267
|
2025-10-20
|
Calm
| 109
| 392
| 3.2
| 1.9
| 567,492,643
|
Utilities:28.0;Comm:15.4;Financials:15.9;Materials:25.6;Healthcare:15.1
|
US:66.8;EU:7.3;APAC:10.4;EMEA:11.8;LATAM:3.7
|
AAA:27.2;AA:13.8;BB:6.3;A:18.4;BBB:9.0;B:25.2
| 0.89
| 48.6
| 182
| 467
| 12.9
| 2
| 30
| 45
| 20
| false
| true
| true
| false
| 1.06
| 1.78
| 0.56
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 16
| 44
|
DealerC
|
Electronic
| 5
| 98
| -7
| -54
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 227
|
Defer adds pending macro print
|
C09927
|
CR8220
|
2025-07-16
|
Calm
| 112
| 383
| 3.8
| 1.9
| 2,096,577,335
|
RealEstate:35.0;Financials:40.2;Energy:24.8
|
US:62.7;EU:11.9;APAC:9.4;EMEA:9.5;LATAM:6.4
|
B:14.4;BBB:16.0;AAA:53.8;BB:10.5;CCC:5.3
| 1.38
| 47.1
| 118
| 487
| 12.9
| 3
| 20
| 35
| 20
| true
| true
| true
| false
| 0
| 0.9
| 0.05
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -1
| -18
|
ECN1
|
Electronic
| 0
| 95
| 119
| -225
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 259
|
Tighten HY exposure bands
|
C09928
|
CR3146
|
2024-11-17
|
Tightening
| 122
| 444
| 4.8
| 1.2
| 90,878,855
|
Materials:29.5;Comm:22.2;Financials:25.4;Industrials:11.3;Energy:11.5
|
US:61.5;EU:17.7;APAC:8.2;EMEA:7.2;LATAM:5.5
|
AAA:18.4;CCC:25.0;A:13.2;BBB:17.5;BB:17.9;AA:8.1
| 1.87
| 24.3
| 103
| 394
| 11.6
| 3
| 20
| 35
| 20
| true
| true
| true
| false
| -0.16
| -0.24
| 0.47
|
Consumer:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 16
| 34
|
DealerC
|
DealerAxed
| 9
| 91
| 361
| -403
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 142
|
Defer adds pending macro print
|
C09929
|
CR3079
|
2024-11-07
|
Calm
| 71
| 392
| 3.9
| 1.7
| 2,828,342,553
|
Healthcare:16.7;Materials:54.2;Tech:29.0
|
US:65.5;EU:8.9;APAC:8.9;EMEA:12.2;LATAM:4.5
|
BBB:15.1;AA:37.6;AAA:26.5;CCC:10.5;BB:3.8;B:6.6
| 3.77
| 60.8
| 92
| 414
| 13.8
| 3.5
| 20
| 55
| 30
| true
| true
| false
| false
| 1.2
| -0.26
| 0.38
| null |
Hedge
|
Options_Payer: +170bps notional
| -27
| 30
|
DealerA
|
RFQ
| 8
| 87
| 190
| -399
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 182
|
Defer adds pending macro print
|
C09930
|
CR8980
|
2025-06-13
|
Recovery
| 170
| 576
| 6.1
| -0.4
| 2,561,302,832
|
Materials:18.7;Financials:31.9;Utilities:20.2;Tech:29.2
|
US:67.4;EU:6.8;APAC:9.2;EMEA:10.7;LATAM:5.9
|
A:13.2;AAA:14.4;BBB:12.7;BB:27.0;B:22.1;AA:10.7
| 4.7
| 24.5
| 108
| 398
| 3.7
| 3
| 20
| 35
| 30
| true
| true
| true
| false
| 0.99
| 1.68
| 0.28
|
Energy:EW
|
Hedge
|
SingleName_CDS: +160bps notional
| -30
| 28
|
DealerB
|
All2All
| 1
| 95
| 257
| -192
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 118
|
Reviewed by risk; hedges staggered
|
C09931
|
CR9987
|
2025-10-29
|
Tightening
| 112
| 418
| 4.8
| 1.9
| 340,184,246
|
Tech:37.6;Financials:45.1;Comm:17.2
|
US:69.3;EU:10.0;APAC:7.8;EMEA:6.4;LATAM:6.4
|
AAA:20.9;B:7.1;AA:11.2;BB:27.5;CCC:11.9;A:21.4
| 0.56
| 44.1
| 103
| 286
| 9
| 2
| 30
| 35
| 20
| true
| true
| true
| false
| 0.28
| 1.1
| -0.01
|
Financials:EW;Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -12
| 31
|
ECN1
|
All2All
| 3
| 98
| 134
| 172
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 184
|
Rotate into defensive sectors
|
C09932
|
CR0393
|
2025-10-25
|
Calm
| 98
| 420
| 3.6
| 2.2
| 2,483,698,886
|
Industrials:24.8;Materials:25.7;Consumer:19.4;Financials:11.6;Healthcare:18.5
|
US:66.4;EU:8.6;APAC:10.9;EMEA:12.5;LATAM:1.6
|
CCC:13.4;AAA:17.7;B:6.8;AA:22.0;BB:9.6;BBB:30.5
| 4.1
| 35.3
| 268
| 423
| 5.2
| 4
| 25
| 55
| 35
| true
| true
| false
| true
| 0.21
| 0.91
| -0.27
|
Tech:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 17
| 27
|
DealerB
|
Electronic
| 2
| 92
| 78
| -23
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 180
|
Defer adds pending macro print
|
C09933
|
CR2726
|
2025-10-20
|
Recovery
| 147
| 497
| 4.6
| 0.8
| 1,006,745,850
|
Tech:46.0;Financials:29.9;Energy:24.1
|
US:61.5;EU:18.0;APAC:8.2;EMEA:6.0;LATAM:6.3
|
BBB:43.9;CCC:8.6;B:14.9;BB:32.6
| 1.98
| 49.7
| 156
| 158
| 15.8
| 3.5
| 30
| 55
| 35
| true
| true
| true
| false
| 0.84
| 1.76
| -0.16
|
Industrials:EW
|
Hedge
|
iTraxx_XOVER: +100bps notional
| -57
| 22
|
DealerC
|
RFQ
| 6
| 96
| 181
| -411
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 194
|
Escalate watchlist names
|
C09934
|
CR8816
|
2024-01-13
|
Tightening
| 117
| 434
| 4.4
| 2
| 2,682,649,143
|
Materials:26.7;Industrials:13.5;Consumer:10.7;Financials:10.1;Energy:21.6;Tech:17.4
|
US:64.3;EU:20.9;APAC:6.8;EMEA:7.8;LATAM:0.2
|
AAA:33.5;BB:20.8;CCC:13.0;BBB:32.7
| 2.56
| 23.2
| 261
| 289
| 15.2
| 4
| 25
| 45
| 30
| true
| true
| true
| true
| 0.95
| 0.76
| -0.05
|
Materials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -31
| -5
|
DealerA
|
DealerAxed
| 4
| 86
| 407
| 82
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 183
|
Defer adds pending macro print
|
C09935
|
CR4581
|
2024-12-16
|
Tightening
| 120
| 409
| 5.1
| 1
| 1,014,579,656
|
Industrials:14.3;Tech:34.3;Healthcare:26.1;Comm:25.3
|
US:68.7;EU:8.4;APAC:13.3;EMEA:9.1;LATAM:0.5
|
BBB:20.8;BB:15.8;A:16.5;AAA:21.1;CCC:12.6;AA:13.2
| 3.97
| 38.4
| 233
| 212
| 11.4
| 4
| 20
| 35
| 25
| true
| true
| true
| true
| 0.57
| 1.54
| -0.16
|
Financials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 20
| 10
|
ECN1
|
Electronic
| 0
| 96
| 48
| -425
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 163
|
Escalate watchlist names
|
C09936
|
CR7100
|
2025-12-04
|
Tightening
| 143
| 452
| 5.1
| 0.9
| 552,875,700
|
Industrials:20.7;Comm:19.8;RealEstate:17.3;Consumer:16.9;Tech:15.8;Healthcare:9.5
|
US:66.4;EU:14.2;APAC:11.3;EMEA:4.9;LATAM:3.3
|
CCC:25.6;AA:11.4;AAA:12.3;BBB:5.4;A:16.8;BB:28.4
| 5.88
| 61.5
| 159
| 357
| 12.2
| 4
| 25
| 35
| 20
| false
| true
| true
| false
| 0.52
| 0.48
| 0.17
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 17
| 11
|
DealerA
|
DealerAxed
| 0
| 96
| -52
| -421
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 117
|
Tighten HY exposure bands
|
C09937
|
CR3468
|
2025-09-10
|
Stress
| 218
| 776
| 8.1
| -0.5
| 290,988,108
|
Energy:15.0;Utilities:19.1;Financials:25.2;Tech:9.1;Consumer:11.2;Materials:20.3
|
US:64.4;EU:16.0;APAC:8.6;EMEA:8.2;LATAM:2.8
|
B:13.9;BB:21.2;CCC:16.9;AAA:25.1;BBB:22.8
| 2.09
| 45.1
| 212
| 379
| 19.4
| 2
| 35
| 55
| 30
| false
| true
| true
| true
| 1.96
| 0.37
| 0.21
| null |
Hedge
|
CDX_IG: +159bps notional
| -41
| 4
|
DealerC
|
Electronic
| 1
| 90
| -49
| 8
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 124
|
Escalate watchlist names
|
C09938
|
CR1910
|
2024-04-29
|
Tightening
| 115
| 371
| 4.1
| 1.4
| 791,810,715
|
Materials:30.1;Industrials:20.4;Tech:35.1;Utilities:14.4
|
US:73.2;EU:9.1;APAC:7.6;EMEA:7.3;LATAM:2.8
|
BBB:27.7;CCC:10.1;AA:24.7;AAA:28.4;B:9.1
| 0.66
| 40.1
| 211
| 224
| 7.4
| 3.5
| 20
| 35
| 35
| true
| true
| false
| true
| 0.96
| 0.43
| 0.18
|
RealEstate:EW;Financials:EW
|
Hedge
|
Options_Payer: +105bps notional
| -8
| 24
|
ECN2
|
Electronic
| 12
| 86
| -205
| -186
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 212
|
Reviewed by risk; hedges staggered
|
C09939
|
CR7051
|
2024-11-24
|
Tightening
| 155
| 456
| 4.3
| 1.1
| 2,626,164,670
|
Consumer:10.2;Utilities:17.3;Tech:8.9;Energy:29.6;Industrials:18.7;RealEstate:15.4
|
US:77.3;EU:8.3;APAC:10.5;EMEA:3.0;LATAM:0.9
|
B:24.4;CCC:26.0;A:11.8;BB:15.9;AAA:11.5;AA:10.3
| 4.65
| 27
| 162
| 519
| 10.9
| 4
| 25
| 45
| 20
| true
| true
| true
| false
| 1.02
| 1.06
| 0.54
|
Financials:EW;Energy:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 9
| 43
|
DealerB
|
Electronic
| 5
| 87
| 38
| -423
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 214
|
Defer adds pending macro print
|
C09940
|
CR4846
|
2024-11-14
|
Recovery
| 169
| 478
| 5.1
| 1.6
| 2,870,064,825
|
Healthcare:42.1;Energy:28.7;Industrials:29.2
|
US:71.5;EU:7.5;APAC:7.8;EMEA:10.3;LATAM:2.9
|
A:28.7;BBB:23.8;CCC:29.4;BB:18.1
| 2.02
| 25.7
| 252
| 378
| 11.4
| 2.5
| 35
| 55
| 35
| true
| true
| true
| true
| 1.49
| 0.76
| -0.06
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -17
| 33
|
DealerB
|
DealerAxed
| 6
| 86
| -39
| 80
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 208
|
Defer adds pending macro print
|
C09941
|
CR6844
|
2025-04-23
|
Recovery
| 113
| 482
| 5.9
| 0.9
| 2,600,403,569
|
RealEstate:15.5;Comm:12.3;Healthcare:17.0;Industrials:17.5;Materials:15.6;Energy:22.2
|
US:63.3;EU:14.4;APAC:8.4;EMEA:10.6;LATAM:3.3
|
CCC:30.7;A:13.7;AA:25.5;BBB:19.1;BB:10.9
| 0.74
| 50.7
| 214
| 386
| 3.2
| 4
| 30
| 35
| 20
| false
| true
| true
| true
| 1
| 0.18
| 0.47
| null |
Hedge
|
iTraxx_MAIN: +110bps notional
| -32
| -13
|
DealerA
|
Electronic
| 6
| 92
| 448
| -31
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 123
|
Rotate into defensive sectors
|
C09942
|
CR8313
|
2024-07-04
|
Tightening
| 150
| 481
| 5.2
| 1.5
| 803,582,503
|
Industrials:33.9;Tech:13.3;Materials:10.1;Energy:8.7;Comm:34.0
|
US:59.1;EU:15.5;APAC:12.2;EMEA:7.0;LATAM:6.1
|
B:13.5;CCC:8.8;AA:36.9;BB:8.5;AAA:32.4
| 6.88
| 52.6
| 199
| 492
| 10.7
| 4
| 20
| 45
| 20
| true
| true
| true
| false
| 0.36
| 0.74
| 0.32
| null |
Hedge
|
Treasury_Futures: +128bps notional
| -53
| -7
|
DealerC
|
All2All
| 10
| 88
| 180
| -123
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 193
|
Reviewed by risk; hedges staggered
|
C09943
|
CR0283
|
2024-08-09
|
Tightening
| 160
| 367
| 5.1
| 1.2
| 253,518,297
|
Materials:32.3;Healthcare:38.0;Energy:12.9;Financials:16.8
|
US:55.9;EU:19.3;APAC:12.7;EMEA:9.5;LATAM:2.6
|
AA:23.4;A:28.5;AAA:19.3;B:11.8;BB:5.2;CCC:11.8
| 3.45
| 61.6
| 98
| 247
| 7.2
| 2.5
| 35
| 45
| 30
| true
| true
| false
| false
| 1.42
| 0.33
| 0.52
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -45
| 13
|
ECN2
|
Electronic
| 4
| 86
| 73
| -83
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 95
|
Rotate into defensive sectors
|
C09944
|
CR2892
|
2024-02-06
|
Calm
| 119
| 390
| 3.9
| 2.9
| 897,228,612
|
Healthcare:10.5;Energy:37.1;Financials:18.1;Industrials:34.3
|
US:65.8;EU:15.2;APAC:10.1;EMEA:3.5;LATAM:5.3
|
BB:19.3;CCC:25.0;AA:14.6;AAA:11.4;B:17.3;A:12.4
| 7.12
| 27.5
| 241
| 224
| 6.9
| 2.5
| 25
| 55
| 30
| true
| true
| true
| true
| 1.92
| 0.72
| -0.31
|
Healthcare:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -10
| -15
|
ECN2
|
DealerAxed
| 1
| 93
| 40
| -135
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 250
|
Escalate watchlist names
|
C09945
|
CR4745
|
2025-11-19
|
Recovery
| 131
| 551
| 4.6
| 0.2
| 1,440,779,629
|
Industrials:14.5;Financials:29.1;Utilities:21.1;RealEstate:23.9;Materials:11.4
|
US:62.0;EU:10.8;APAC:12.6;EMEA:9.0;LATAM:5.5
|
A:28.4;AA:15.4;CCC:9.2;AAA:26.5;BB:20.5
| 5.23
| 40.2
| 243
| 412
| 17.7
| 3
| 20
| 35
| 35
| true
| true
| false
| true
| 1
| 0.73
| 0.06
|
Industrials:EW;Utilities:EW;Consumer:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -13
| 21
|
DealerB
|
DealerAxed
| 0
| 89
| -198
| 29
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 116
|
Reviewed by risk; hedges staggered
|
C09946
|
CR3260
|
2025-07-10
|
Calm
| 112
| 394
| 3.6
| 2.9
| 2,139,743,340
|
Utilities:17.1;Tech:19.5;RealEstate:23.5;Financials:8.8;Consumer:10.6;Energy:20.5
|
US:58.3;EU:11.6;APAC:14.4;EMEA:10.9;LATAM:4.8
|
CCC:31.9;AAA:23.0;BBB:24.0;B:21.1
| 4.24
| 64.2
| 115
| 342
| 17.5
| 2.5
| 30
| 35
| 35
| false
| true
| true
| false
| 2.14
| 1.12
| 0.31
|
Healthcare:EW
|
Hedge
|
CDX_IG: +179bps notional
| -32
| 3
|
DealerB
|
All2All
| 5
| 91
| 364
| 120
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 192
|
Escalate watchlist names
|
C09947
|
CR5823
|
2024-12-01
|
Calm
| 66
| 393
| 3.7
| 2.2
| 1,889,334,757
|
Consumer:18.2;Healthcare:9.8;Materials:18.5;Industrials:18.4;Comm:16.7;Financials:18.3
|
US:61.0;EU:15.8;APAC:13.2;EMEA:4.6;LATAM:5.5
|
AAA:16.6;AA:11.3;A:25.0;BBB:24.7;BB:22.4
| 2.75
| 52.3
| 251
| 228
| 12.3
| 3
| 35
| 45
| 20
| false
| true
| true
| true
| 1.95
| 0.29
| 0.34
|
Comm:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 18
| 25
|
ECN1
|
DealerAxed
| 8
| 93
| 27
| 180
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 254
|
Reviewed by risk; hedges staggered
|
C09948
|
CR8946
|
2025-12-05
|
Recovery
| 113
| 429
| 4.5
| 1
| 460,130,273
|
Comm:17.7;Consumer:19.0;Materials:24.7;Utilities:8.4;RealEstate:14.7;Industrials:15.5
|
US:65.4;EU:11.5;APAC:10.6;EMEA:5.1;LATAM:7.4
|
A:32.4;BB:18.2;CCC:17.9;AAA:31.5
| 2.34
| 60.8
| 168
| 436
| 14.4
| 3.5
| 25
| 45
| 20
| false
| true
| true
| false
| 1.88
| 0.15
| -0.22
|
Healthcare:EW
|
Hedge
|
SingleName_CDS: +133bps notional
| -42
| 21
|
ECN1
|
Electronic
| 10
| 91
| 232
| -245
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 168
|
Rotate into defensive sectors
|
C09949
|
CR7548
|
2025-09-08
|
Stress
| 199
| 662
| 7.2
| 0.4
| 976,888,945
|
Industrials:22.8;Energy:39.2;Tech:37.9
|
US:64.1;EU:13.3;APAC:11.4;EMEA:9.2;LATAM:2.0
|
BB:38.2;AAA:17.3;BBB:10.5;B:14.4;AA:19.7
| 3.27
| 20.3
| 291
| 379
| 18.1
| 2.5
| 25
| 35
| 30
| true
| true
| true
| true
| 1.22
| 1.41
| 0.43
|
Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -55
| 34
|
DealerA
|
All2All
| 8
| 96
| 297
| 78
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 161
|
Reviewed by risk; hedges staggered
|
C09950
|
CR8087
|
2024-03-01
|
Stress
| 212
| 585
| 7.9
| -0.7
| 2,767,845,914
|
Energy:19.2;Comm:38.6;Healthcare:13.5;Materials:28.7
|
US:56.0;EU:16.2;APAC:13.1;EMEA:7.7;LATAM:7.1
|
CCC:8.8;BBB:29.8;AA:21.1;B:40.2
| 1.56
| 22.8
| 359
| 348
| 20.2
| 3
| 30
| 45
| 30
| true
| true
| true
| true
| 0.94
| 0.43
| -0.07
|
Financials:EW;Utilities:EW
|
Hedge
|
Options_Payer: +174bps notional
| -44
| 35
|
ECN2
|
All2All
| 7
| 98
| 410
| 8
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 173
|
Rotate into defensive sectors
|
C09951
|
CR6788
|
2025-05-23
|
Calm
| 78
| 339
| 4
| 2.5
| 652,405,767
|
Healthcare:22.8;Tech:34.2;Comm:15.8;Utilities:13.6;RealEstate:13.6
|
US:60.4;EU:14.7;APAC:12.2;EMEA:6.1;LATAM:6.6
|
A:18.5;AAA:28.9;CCC:31.5;BBB:21.1
| 5.9
| 31.4
| 200
| 384
| 4
| 2.5
| 20
| 55
| 30
| true
| true
| true
| false
| 1.39
| -0.29
| 0.5
|
Energy:EW
|
Hedge
|
SingleName_CDS: +196bps notional
| -23
| 34
|
DealerC
|
All2All
| 9
| 87
| -60
| -112
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 211
|
Escalate watchlist names
|
C09952
|
CR7195
|
2024-05-02
|
Calm
| 110
| 327
| 3.3
| 1.7
| 2,147,392,582
|
Utilities:31.7;RealEstate:44.1;Comm:14.3;Materials:9.9
|
US:69.4;EU:7.8;APAC:7.2;EMEA:9.1;LATAM:6.5
|
CCC:38.6;AA:14.7;B:14.8;BBB:31.9
| 2.93
| 58.8
| 109
| 120
| 16
| 3.5
| 30
| 55
| 30
| true
| true
| true
| false
| 0.28
| 0.72
| 0.39
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 1
| -15
|
DealerC
|
All2All
| 3
| 88
| 193
| 100
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 171
|
Tighten HY exposure bands
|
C09953
|
CR5892
|
2024-10-27
|
Stress
| 232
| 745
| 7.1
| 0.1
| 2,035,746,082
|
Healthcare:14.2;Consumer:17.3;Energy:16.3;Utilities:17.3;Industrials:34.9
|
US:68.2;EU:5.3;APAC:8.4;EMEA:9.7;LATAM:8.4
|
BB:13.4;B:26.2;AAA:26.6;AA:16.5;BBB:17.3
| 3.11
| 38.3
| 207
| 358
| 15.1
| 3.5
| 20
| 35
| 35
| true
| true
| true
| true
| 0.24
| 0.67
| 0.03
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 6
| -3
|
ECN2
|
All2All
| 9
| 89
| 48
| -158
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 185
|
Tighten HY exposure bands
|
C09954
|
CR3551
|
2024-04-24
|
Tightening
| 103
| 357
| 4.6
| 1.9
| 183,437,958
|
Industrials:13.5;Consumer:23.8;Utilities:52.0;Financials:10.7
|
US:60.6;EU:14.5;APAC:11.3;EMEA:10.2;LATAM:3.4
|
B:4.0;BBB:19.2;A:13.0;AA:31.9;BB:5.1;AAA:26.7
| 7.06
| 43.8
| 124
| 227
| 15.8
| 3.5
| 35
| 55
| 30
| true
| true
| false
| false
| 1.37
| 0.82
| -0.17
|
RealEstate:EW
|
Hedge
|
iTraxx_MAIN: +135bps notional
| 20
| -5
|
ECN1
|
DealerAxed
| 0
| 92
| 219
| 59
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 117
|
Tighten HY exposure bands
|
C09955
|
CR9981
|
2025-05-26
|
Tightening
| 139
| 425
| 4.6
| 0.6
| 1,371,276,533
|
Comm:13.7;Tech:25.2;Utilities:32.2;Materials:29.0
|
US:61.2;EU:16.3;APAC:11.1;EMEA:5.8;LATAM:5.7
|
BB:6.8;CCC:22.1;AAA:11.2;A:25.6;B:5.6;AA:28.7
| 5.13
| 63
| 168
| 166
| 9.8
| 3.5
| 30
| 45
| 30
| true
| true
| true
| false
| -0.27
| 0.07
| -0.21
| null |
Hedge
|
CDX_IG: +100bps notional
| -32
| 32
|
DealerC
|
Electronic
| 5
| 94
| 56
| 76
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 177
|
Tighten HY exposure bands
|
C09956
|
CR2421
|
2024-10-27
|
Calm
| 97
| 382
| 3.6
| 2.1
| 2,956,949,990
|
Healthcare:42.5;Industrials:33.1;RealEstate:24.3
|
US:65.8;EU:8.0;APAC:11.3;EMEA:7.8;LATAM:7.1
|
AA:23.2;CCC:11.3;B:14.9;BBB:27.1;A:23.4
| 5.67
| 30.2
| 138
| 237
| 17.3
| 2.5
| 20
| 45
| 30
| true
| true
| false
| false
| 2.36
| 1.01
| -0.14
|
Comm:EW;Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 11
| 39
|
DealerB
|
Electronic
| 9
| 90
| 257
| -202
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 99
|
Reviewed by risk; hedges staggered
|
C09957
|
CR2985
|
2024-01-21
|
Tightening
| 131
| 426
| 4.6
| 1.7
| 1,111,897,007
|
Industrials:32.1;Healthcare:23.4;RealEstate:9.3;Utilities:35.2
|
US:70.6;EU:10.0;APAC:9.8;EMEA:6.5;LATAM:3.1
|
AA:19.6;BBB:16.2;B:38.6;AAA:19.4;A:6.3
| 5.41
| 61
| 164
| 435
| 3.8
| 2
| 25
| 45
| 30
| true
| true
| true
| false
| 1.71
| 1.31
| 0.28
|
Materials:EW
|
Hedge
|
SingleName_CDS: +189bps notional
| -40
| 21
|
ECN1
|
RFQ
| 0
| 99
| 199
| 112
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 111
|
Reviewed by risk; hedges staggered
|
C09958
|
CR1463
|
2025-10-30
|
Calm
| 85
| 329
| 4.3
| 2.9
| 367,018,799
|
Utilities:27.8;RealEstate:39.4;Healthcare:18.0;Energy:14.7
|
US:71.8;EU:11.8;APAC:12.4;EMEA:3.3;LATAM:0.8
|
A:16.2;AAA:19.2;BBB:28.8;AA:27.5;B:8.3
| 6.1
| 47.7
| 125
| 493
| 15.8
| 4
| 25
| 35
| 20
| true
| true
| false
| false
| 0.01
| 0.36
| 0.48
|
Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| 4
| 8
|
DealerA
|
All2All
| 3
| 100
| 394
| -110
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 92
|
Reviewed by risk; hedges staggered
|
C09959
|
CR3292
|
2024-01-21
|
Calm
| 66
| 298
| 4
| 1.6
| 499,106,693
|
Industrials:25.6;Tech:19.0;Materials:27.4;Utilities:28.0
|
US:74.5;EU:4.8;APAC:12.0;EMEA:6.6;LATAM:2.1
|
BBB:24.6;B:9.9;BB:31.8;A:17.0;CCC:16.7
| 2.11
| 39.1
| 167
| 324
| 14.1
| 3.5
| 20
| 35
| 20
| true
| true
| true
| false
| 1.54
| 0.01
| -0.08
|
RealEstate:EW
|
Hedge
|
CDX_HY: +106bps notional
| 14
| 4
|
DealerA
|
Electronic
| 11
| 87
| 257
| -392
|
Sector>limit
|
PauseAdds
|
Sector concentration above limit
| 113
|
Rotate into defensive sectors
|
C09960
|
CR9488
|
2025-06-17
|
Tightening
| 146
| 406
| 4.8
| 1.7
| 608,248,215
|
Comm:12.4;Consumer:12.3;Industrials:16.6;Tech:36.3;Energy:22.4
|
US:63.9;EU:17.2;APAC:12.3;EMEA:5.1;LATAM:1.5
|
AA:11.0;AAA:18.9;A:10.2;CCC:25.7;BBB:34.2
| 2.75
| 46.5
| 95
| 364
| 3.3
| 3.5
| 35
| 35
| 25
| true
| true
| true
| false
| 1.38
| 0.26
| 0.19
|
Utilities:EW
|
Hedge
|
iTraxx_XOVER: +111bps notional
| -4
| 43
|
DealerC
|
All2All
| 4
| 87
| -2
| 141
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 97
|
Tighten HY exposure bands
|
C09961
|
CR5955
|
2025-10-09
|
Stress
| 248
| 730
| 6.1
| -0.4
| 2,003,509,645
|
Industrials:19.2;Energy:31.7;Healthcare:26.0;Financials:23.0
|
US:64.2;EU:11.1;APAC:11.6;EMEA:10.4;LATAM:2.6
|
AA:31.6;BB:13.2;B:5.5;A:35.6;CCC:14.1
| 1.33
| 37.1
| 315
| 479
| 12.7
| 2
| 30
| 45
| 20
| true
| true
| true
| true
| 2.29
| 0.35
| -0.07
|
Materials:EW;Consumer:EW
|
Hedge
|
iTraxx_XOVER: +158bps notional
| -30
| 7
|
ECN2
|
DealerAxed
| 7
| 85
| -14
| 53
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 146
|
Reviewed by risk; hedges staggered
|
C09962
|
CR4092
|
2024-09-04
|
Stress
| 193
| 771
| 5.9
| -0.1
| 1,736,650,805
|
Utilities:20.8;RealEstate:29.8;Consumer:16.3;Energy:16.4;Tech:16.7
|
US:68.7;EU:7.6;APAC:11.2;EMEA:9.2;LATAM:3.3
|
A:28.1;B:17.5;CCC:22.9;BBB:31.5
| 4.36
| 38.9
| 230
| 649
| 21
| 3
| 35
| 45
| 20
| false
| true
| true
| true
| 2.22
| 0.52
| -0.35
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -3
| 9
|
DealerA
|
DealerAxed
| 5
| 98
| 349
| -76
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 210
|
Reviewed by risk; hedges staggered
|
C09963
|
CR6806
|
2025-06-05
|
Recovery
| 177
| 471
| 5.6
| 0.2
| 2,766,381,780
|
Healthcare:23.8;Tech:9.7;Energy:29.3;RealEstate:25.4;Industrials:11.7
|
US:65.4;EU:8.1;APAC:18.1;EMEA:5.6;LATAM:2.9
|
A:16.4;AA:18.0;BBB:16.4;AAA:17.3;B:20.8;BB:11.2
| 6.41
| 64.5
| 171
| 318
| 10.6
| 3
| 20
| 35
| 35
| true
| true
| false
| false
| -0.29
| 1.71
| 0.32
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -33
| -23
|
ECN2
|
RFQ
| 3
| 95
| 69
| -349
|
VAR>budget
|
PauseAdds
|
Portfolio VAR above budget
| 94
|
Rotate into defensive sectors
|
C09964
|
CR7443
|
2024-12-11
|
Stress
| 248
| 730
| 7.4
| -0.5
| 694,517,247
|
Energy:30.0;Financials:25.5;Healthcare:16.3;Industrials:17.0;Comm:11.1
|
US:57.2;EU:14.7;APAC:12.9;EMEA:10.0;LATAM:5.3
|
B:13.7;AAA:47.4;BBB:22.3;BB:16.6
| 6.32
| 36
| 331
| 378
| 8.6
| 2.5
| 20
| 45
| 30
| true
| true
| true
| true
| -0.49
| 1.1
| 0.23
|
Healthcare:EW
|
Hedge
|
SingleName_CDS: +91bps notional
| 20
| -15
|
DealerA
|
All2All
| 7
| 99
| -35
| -159
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 208
|
Rotate into defensive sectors
|
C09965
|
CR4108
|
2024-04-02
|
Calm
| 97
| 315
| 3.6
| 2.9
| 2,555,831,329
|
RealEstate:17.4;Materials:9.6;Comm:38.4;Consumer:11.1;Financials:23.5
|
US:63.0;EU:12.7;APAC:9.8;EMEA:8.6;LATAM:5.9
|
AA:36.3;CCC:5.0;BBB:36.9;A:12.9;BB:9.0
| 6.88
| 29.6
| 136
| 192
| 12.7
| 4
| 30
| 45
| 35
| true
| true
| false
| false
| -0.03
| 0.15
| 0.14
| null |
Hedge
|
Treasury_Futures: +169bps notional
| 8
| -13
|
ECN1
|
RFQ
| 3
| 88
| 419
| 67
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 230
|
Reviewed by risk; hedges staggered
|
C09966
|
CR5096
|
2025-12-12
|
Stress
| 213
| 724
| 5.2
| 0.3
| 2,859,861,694
|
Comm:17.7;Healthcare:25.2;Industrials:20.0;Consumer:12.9;Utilities:24.2
|
US:69.6;EU:7.4;APAC:10.3;EMEA:10.1;LATAM:2.6
|
CCC:5.6;A:23.8;AAA:25.8;B:11.8;AA:20.7;BB:12.2
| 4.93
| 23.9
| 363
| 469
| 17.5
| 2.5
| 35
| 45
| 20
| false
| true
| true
| true
| 1.41
| -0.01
| 0.32
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -40
| 23
|
ECN1
|
RFQ
| 11
| 96
| 215
| 92
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 129
|
Tighten HY exposure bands
|
C09967
|
CR8922
|
2024-10-25
|
Calm
| 108
| 340
| 3.7
| 2.7
| 177,344,410
|
Comm:29.8;Tech:14.1;Industrials:13.0;Financials:21.8;Healthcare:21.3
|
US:60.2;EU:13.1;APAC:14.2;EMEA:11.2;LATAM:1.2
|
CCC:28.4;BB:20.5;AA:18.8;B:15.5;BBB:16.8
| 2.44
| 50
| 162
| 365
| 13.8
| 3
| 30
| 45
| 35
| false
| true
| true
| false
| 2.08
| 0.11
| -0.05
|
Industrials:EW;Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -6
| 2
|
ECN2
|
Electronic
| 2
| 95
| -165
| -360
|
VAR>budget
|
Rotate
|
Portfolio VAR above budget
| 259
|
Rotate into defensive sectors
|
C09968
|
CR7303
|
2025-11-10
|
Calm
| 100
| 360
| 4.2
| 2.7
| 1,053,847,569
|
Industrials:33.2;Consumer:14.8;Energy:8.8;Tech:19.7;Materials:12.3;Utilities:11.3
|
US:69.1;EU:6.6;APAC:12.9;EMEA:7.1;LATAM:4.3
|
B:7.4;AAA:36.3;BBB:30.5;BB:16.3;CCC:9.5
| 0.59
| 20.7
| 135
| 187
| 2.6
| 2
| 20
| 45
| 25
| true
| true
| true
| false
| 0.81
| 0.82
| 0.39
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| 5
| 38
|
DealerB
|
DealerAxed
| 6
| 89
| 84
| -393
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 202
|
Reviewed by risk; hedges staggered
|
C09969
|
CR3146
|
2024-10-16
|
Stress
| 217
| 751
| 5.6
| -1.8
| 59,939,732
|
Materials:24.1;Energy:22.0;RealEstate:17.6;Comm:36.2
|
US:62.2;EU:15.2;APAC:8.6;EMEA:10.8;LATAM:3.2
|
B:11.4;A:25.0;BB:11.9;AA:33.4;CCC:4.5;BBB:14.0
| 5.8
| 35.6
| 199
| 373
| 20.1
| 3
| 35
| 45
| 20
| true
| true
| true
| false
| 1.19
| 1.02
| 0.43
|
Healthcare:EW;Utilities:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -5
| -13
|
ECN1
|
DealerAxed
| 3
| 89
| -150
| -218
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 201
|
Rotate into defensive sectors
|
C09970
|
CR0512
|
2025-05-19
|
Stress
| 150
| 592
| 6.1
| -0.5
| 1,160,607,802
|
Tech:21.7;RealEstate:19.6;Consumer:11.0;Utilities:19.5;Materials:20.7;Financials:7.5
|
US:64.5;EU:9.5;APAC:14.6;EMEA:6.8;LATAM:4.6
|
BBB:15.4;A:9.9;AA:14.4;CCC:19.2;BB:15.5;AAA:25.7
| 3.31
| 63.4
| 268
| 553
| 19.4
| 3
| 30
| 45
| 35
| false
| true
| false
| true
| -0.34
| 0.66
| 0.23
|
Tech:EW
|
Hedge
|
Treasury_Futures: +62bps notional
| -5
| 15
|
ECN2
|
DealerAxed
| 5
| 88
| 154
| -101
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 187
|
Rotate into defensive sectors
|
C09971
|
CR1996
|
2024-07-27
|
Stress
| 175
| 782
| 8.5
| -1.9
| 568,497,273
|
Industrials:10.8;Financials:27.8;Healthcare:15.4;Utilities:19.9;Comm:14.1;RealEstate:12.1
|
US:62.9;EU:10.4;APAC:14.4;EMEA:6.4;LATAM:6.0
|
CCC:10.1;AA:20.9;AAA:31.4;A:28.5;BB:9.1
| 6.75
| 25.1
| 277
| 361
| 15.6
| 3.5
| 25
| 45
| 30
| true
| true
| false
| true
| 1.04
| 1.03
| 0.07
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -18
| 42
|
ECN2
|
DealerAxed
| 7
| 92
| 83
| -299
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 169
|
Rotate into defensive sectors
|
C09972
|
CR3477
|
2024-05-14
|
Recovery
| 155
| 588
| 5.5
| 1.7
| 518,106,700
|
Consumer:20.0;Materials:17.5;Comm:21.0;Energy:9.8;Utilities:16.8;Healthcare:14.8
|
US:61.2;EU:14.1;APAC:9.5;EMEA:9.9;LATAM:5.4
|
AAA:18.2;AA:34.8;BB:14.7;BBB:32.2
| 2.55
| 32.8
| 97
| 308
| 12.9
| 4
| 25
| 35
| 20
| false
| true
| false
| false
| 0.79
| 0.86
| 0.03
|
RealEstate:EW
|
Hedge
|
iTraxx_XOVER: +110bps notional
| 2
| -17
|
DealerB
|
Electronic
| 5
| 98
| 374
| -175
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 251
|
Escalate watchlist names
|
C09973
|
CR2176
|
2024-06-14
|
Calm
| 99
| 287
| 3.3
| 1.5
| 1,123,025,260
|
Financials:18.2;Materials:29.6;Utilities:12.6;Consumer:28.5;Tech:11.0
|
US:70.8;EU:6.6;APAC:6.1;EMEA:13.8;LATAM:2.6
|
AAA:25.1;BBB:19.2;CCC:12.2;BB:15.1;AA:13.8;A:14.6
| 5.1
| 49.3
| 82
| 425
| 8.9
| 4
| 35
| 55
| 30
| false
| true
| false
| false
| 1.69
| 0.74
| -0.07
|
RealEstate:EW
|
Hedge
|
iTraxx_MAIN: +178bps notional
| -8
| 9
|
DealerC
|
All2All
| 4
| 92
| 68
| -54
|
VAR>budget
|
Reduce
|
Portfolio VAR above budget
| 193
|
Defer adds pending macro print
|
C09974
|
CR9839
|
2025-05-04
|
Calm
| 76
| 356
| 4.4
| 2.7
| 619,293,790
|
Consumer:55.3;Materials:28.2;RealEstate:16.5
|
US:75.8;EU:7.2;APAC:6.1;EMEA:9.5;LATAM:1.4
|
AA:8.9;CCC:17.5;A:12.6;B:16.1;BBB:22.7;AAA:22.2
| 0.69
| 46
| 219
| 166
| 8.4
| 2
| 30
| 55
| 30
| true
| true
| true
| true
| 1.36
| 1.58
| 0.32
|
Consumer:EW
|
Hedge
|
SingleName_CDS: +200bps notional
| -52
| 13
|
DealerB
|
RFQ
| 1
| 89
| 282
| -325
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 90
|
Reviewed by risk; hedges staggered
|
C09975
|
CR8407
|
2025-04-11
|
Stress
| 171
| 801
| 6.3
| -0.2
| 2,146,090,138
|
Consumer:19.2;RealEstate:28.0;Healthcare:19.0;Financials:18.6;Materials:15.3
|
US:66.9;EU:18.9;APAC:6.8;EMEA:6.7;LATAM:0.8
|
BB:32.8;AAA:6.5;A:22.0;AA:23.1;CCC:15.5
| 7.33
| 41.2
| 368
| 627
| 9.2
| 2
| 30
| 35
| 35
| false
| true
| true
| true
| 0.57
| 1.24
| 0.4
|
Materials:EW
|
Hedge
|
iTraxx_MAIN: +124bps notional
| 16
| 16
|
DealerA
|
Electronic
| 8
| 93
| -207
| -328
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 244
|
Reviewed by risk; hedges staggered
|
C09976
|
CR2159
|
2025-06-28
|
Calm
| 66
| 386
| 4.1
| 2.2
| 406,404,702
|
Utilities:20.9;Comm:36.7;RealEstate:42.4
|
US:71.7;EU:8.2;APAC:6.9;EMEA:10.9;LATAM:2.4
|
AAA:22.4;A:43.5;CCC:21.3;BB:12.8
| 2.79
| 27.3
| 204
| 143
| 12.1
| 3.5
| 30
| 45
| 25
| true
| true
| true
| true
| 1.07
| 1.35
| 0.46
|
Energy:EW
|
Hedge
|
Treasury_Futures: +170bps notional
| -40
| 38
|
ECN1
|
Electronic
| 0
| 92
| -4
| -339
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 260
|
Tighten HY exposure bands
|
C09977
|
CR1012
|
2025-10-27
|
Recovery
| 124
| 623
| 5.1
| 0.3
| 908,351,102
|
Industrials:17.0;Consumer:11.5;Tech:18.6;Energy:14.2;Healthcare:38.7
|
US:68.6;EU:5.8;APAC:8.0;EMEA:10.2;LATAM:7.4
|
AA:20.7;BB:36.4;A:12.7;BBB:30.1
| 1.57
| 61
| 173
| 215
| 15.2
| 4
| 25
| 45
| 20
| true
| true
| true
| false
| -0.3
| 1.7
| 0.5
|
Energy:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -42
| 8
|
DealerC
|
RFQ
| 11
| 89
| -184
| -16
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 96
|
Escalate watchlist names
|
C09978
|
CR4520
|
2024-07-06
|
Calm
| 97
| 390
| 3.4
| 2.7
| 487,073,625
|
Tech:8.7;Consumer:15.7;RealEstate:24.9;Comm:13.7;Materials:25.5;Utilities:11.5
|
US:63.4;EU:12.9;APAC:9.5;EMEA:10.1;LATAM:4.2
|
BBB:23.0;A:20.9;B:10.8;BB:14.6;AAA:21.6;CCC:9.1
| 4.63
| 63.2
| 177
| 269
| 16.9
| 2.5
| 30
| 55
| 35
| false
| true
| false
| false
| 2.48
| 1.26
| 0.08
|
Healthcare:EW;Consumer:EW
|
Hedge
|
iTraxx_MAIN: +51bps notional
| -42
| 13
|
ECN2
|
RFQ
| 11
| 85
| 1
| -142
|
VAR>budget
|
Hedge
|
Portfolio VAR above budget
| 238
|
Escalate watchlist names
|
C09979
|
CR3694
|
2024-03-24
|
Recovery
| 136
| 523
| 4.8
| 0.6
| 2,939,588,429
|
Tech:18.5;Healthcare:34.9;Consumer:12.1;Energy:34.5
|
US:65.7;EU:21.7;APAC:6.1;EMEA:4.9;LATAM:1.6
|
A:14.3;AAA:36.1;BB:14.8;AA:25.1;BBB:9.7
| 1.92
| 23.8
| 140
| 165
| 6.3
| 3.5
| 35
| 45
| 30
| false
| true
| false
| false
| 2.28
| -0.16
| 0.42
|
Tech:EW;RealEstate:EW;Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -34
| 35
|
ECN1
|
Electronic
| 10
| 99
| -28
| 127
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 223
|
Tighten HY exposure bands
|
C09980
|
CR4797
|
2025-07-21
|
Recovery
| 180
| 607
| 5.4
| 0.3
| 2,654,978,293
|
Comm:9.8;Financials:15.1;Healthcare:20.9;Consumer:17.1;Materials:20.3;Utilities:16.7
|
US:70.3;EU:16.0;APAC:7.5;EMEA:3.9;LATAM:2.4
|
BB:7.5;B:20.1;A:19.3;BBB:53.1
| 5.87
| 56.5
| 119
| 167
| 15.3
| 3.5
| 35
| 55
| 25
| false
| true
| true
| false
| 1.33
| 0.69
| 0.47
| null |
Hedge
|
CDX_IG: +99bps notional
| -4
| 9
|
DealerC
|
DealerAxed
| 5
| 100
| 379
| -168
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 130
|
Rotate into defensive sectors
|
C09981
|
CR6630
|
2025-08-03
|
Calm
| 95
| 382
| 4.1
| 1.7
| 1,285,181,424
|
Comm:14.1;Financials:15.4;Industrials:27.1;Utilities:43.4
|
US:66.5;EU:9.3;APAC:11.3;EMEA:10.3;LATAM:2.6
|
BB:24.6;A:14.1;CCC:20.4;AA:40.9
| 4.67
| 57.8
| 147
| 271
| 13.5
| 2
| 30
| 35
| 20
| true
| true
| true
| false
| 1.18
| 0.13
| -0.35
|
Tech:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -8
| 28
|
DealerA
|
RFQ
| 5
| 100
| -37
| -120
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 212
|
Escalate watchlist names
|
C09982
|
CR1824
|
2025-04-20
|
Recovery
| 135
| 433
| 5.1
| 0.6
| 2,816,912,308
|
Healthcare:38.0;Materials:31.7;Comm:30.3
|
US:60.0;EU:14.7;APAC:12.4;EMEA:9.4;LATAM:3.5
|
B:14.0;CCC:3.6;A:30.9;AA:18.9;AAA:24.2;BB:8.5
| 1.8
| 57.1
| 234
| 453
| 13.5
| 3
| 20
| 45
| 25
| true
| true
| true
| true
| 1.49
| 1.41
| 0.37
| null |
Hedge
|
Treasury_Futures: +78bps notional
| -22
| 0
|
ECN2
|
RFQ
| 0
| 86
| -104
| -24
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 144
|
Rotate into defensive sectors
|
C09983
|
CR1194
|
2025-10-13
|
Recovery
| 121
| 494
| 5.1
| 0.8
| 2,339,172,472
|
RealEstate:22.2;Utilities:8.2;Healthcare:25.8;Tech:19.4;Financials:17.3;Consumer:7.1
|
US:57.1;EU:18.3;APAC:13.7;EMEA:10.6;LATAM:0.3
|
A:22.3;AAA:14.7;BBB:22.7;B:20.7;BB:19.5
| 7.46
| 61.9
| 219
| 146
| 8.1
| 4
| 25
| 35
| 25
| true
| true
| true
| true
| 0.91
| 0.44
| 0.36
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -50
| -18
|
DealerB
|
DealerAxed
| 11
| 98
| -16
| -192
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 172
|
Defer adds pending macro print
|
C09984
|
CR3307
|
2024-01-28
|
Calm
| 119
| 362
| 4
| 2.1
| 693,775,594
|
Financials:41.1;RealEstate:27.1;Utilities:31.8
|
US:62.9;EU:12.4;APAC:12.4;EMEA:4.1;LATAM:8.1
|
AA:33.0;AAA:37.4;B:5.8;CCC:23.8
| 5.19
| 57.4
| 262
| 471
| 4.1
| 3
| 20
| 35
| 25
| true
| true
| true
| true
| 0.85
| 1.09
| 0.52
|
Consumer:EW
|
Hedge
|
SingleName_CDS: +94bps notional
| -55
| 2
|
ECN2
|
Electronic
| 6
| 88
| 162
| -211
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 130
|
Tighten HY exposure bands
|
C09985
|
CR0560
|
2024-10-24
|
Calm
| 81
| 376
| 3.9
| 1.8
| 651,910,035
|
Comm:29.9;Tech:32.7;Healthcare:37.4
|
US:66.8;EU:10.5;APAC:12.6;EMEA:5.9;LATAM:4.2
|
B:27.7;BBB:19.4;BB:13.7;A:22.7;AA:16.5
| 7.38
| 42.2
| 198
| 281
| 13.3
| 4
| 20
| 45
| 20
| true
| true
| true
| false
| 0.5
| 1.11
| -0.01
| null |
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -18
| 6
|
ECN2
|
RFQ
| 3
| 88
| 56
| -150
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 176
|
Tighten HY exposure bands
|
C09986
|
CR7545
|
2024-08-23
|
Tightening
| 158
| 402
| 4.4
| 1.6
| 1,279,031,762
|
Comm:20.2;Financials:11.0;Tech:26.9;Healthcare:33.4;Industrials:8.5
|
US:71.6;EU:9.6;APAC:6.4;EMEA:10.9;LATAM:1.5
|
BB:20.9;A:21.1;B:12.7;AAA:16.2;BBB:19.5;CCC:9.6
| 1.41
| 25.9
| 164
| 147
| 16.3
| 3
| 35
| 55
| 20
| false
| true
| true
| false
| 0.72
| 1.78
| -0.05
|
Utilities:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -59
| -22
|
DealerA
|
All2All
| 9
| 98
| 317
| -290
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 130
|
Escalate watchlist names
|
C09987
|
CR6558
|
2025-02-28
|
Recovery
| 164
| 521
| 5.7
| -0.3
| 216,453,462
|
Energy:41.5;Comm:29.6;Materials:28.9
|
US:66.6;EU:7.2;APAC:13.5;EMEA:9.9;LATAM:2.8
|
AA:43.0;CCC:8.4;BBB:40.9;BB:7.7
| 6.17
| 35.6
| 280
| 337
| 17.5
| 3
| 20
| 55
| 20
| true
| true
| false
| true
| 0.48
| 1.33
| -0.32
| null |
Hedge
|
iTraxx_MAIN: +102bps notional
| -31
| 3
|
ECN1
|
All2All
| 1
| 100
| 332
| -286
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 102
|
Rotate into defensive sectors
|
C09988
|
CR3829
|
2024-08-15
|
Tightening
| 96
| 450
| 4
| 0.9
| 125,222,602
|
Healthcare:28.9;Comm:47.1;Energy:24.0
|
US:65.2;EU:10.1;APAC:14.7;EMEA:6.0;LATAM:4.1
|
BBB:26.7;AAA:39.9;AA:25.4;B:8.1
| 5.8
| 57.2
| 231
| 479
| 9.9
| 2
| 30
| 35
| 25
| true
| true
| false
| true
| 2.48
| 1.02
| 0.43
|
Consumer:EW
|
Hedge
|
Treasury_Futures: +69bps notional
| -6
| 23
|
DealerA
|
All2All
| 12
| 90
| 122
| -298
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 242
|
Escalate watchlist names
|
C09989
|
CR9132
|
2025-10-07
|
Calm
| 82
| 286
| 3.7
| 1.7
| 1,723,512,793
|
Tech:13.1;Energy:26.9;Industrials:28.3;Utilities:31.7
|
US:70.9;EU:6.1;APAC:8.2;EMEA:8.3;LATAM:6.6
|
B:10.7;BB:29.2;CCC:37.2;A:12.5;AAA:10.4
| 2.21
| 45.8
| 258
| 361
| 2.2
| 2.5
| 25
| 35
| 35
| true
| true
| true
| true
| -0.07
| 0.22
| 0.45
| null |
Hedge
|
SingleName_CDS: +120bps notional
| 16
| 26
|
DealerC
|
RFQ
| 1
| 95
| -121
| -83
|
HYCap>limit
|
Rotate
|
High-yield share above policy cap
| 148
|
Escalate watchlist names
|
C09990
|
CR9016
|
2024-11-28
|
Tightening
| 158
| 414
| 4.7
| 0.6
| 2,930,110,246
|
Tech:20.7;RealEstate:9.2;Healthcare:16.4;Utilities:32.3;Materials:21.3
|
US:62.5;EU:14.0;APAC:16.1;EMEA:3.7;LATAM:3.6
|
AA:17.3;CCC:10.0;BBB:34.9;BB:8.3;A:29.6
| 1.25
| 48.4
| 159
| 183
| 4.9
| 2
| 25
| 45
| 25
| true
| true
| false
| false
| 2.4
| 0.77
| 0.54
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -37
| -6
|
ECN2
|
DealerAxed
| 12
| 95
| 380
| -45
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 199
|
Tighten HY exposure bands
|
C09991
|
CR3512
|
2025-03-01
|
Tightening
| 94
| 492
| 5
| 1.3
| 2,419,856,855
|
Healthcare:27.4;Tech:28.3;Financials:25.5;Materials:18.8
|
US:61.4;EU:10.0;APAC:12.8;EMEA:9.0;LATAM:6.7
|
BB:17.2;A:27.6;CCC:16.0;B:39.2
| 6.12
| 34
| 128
| 484
| 17.3
| 3.5
| 25
| 35
| 20
| true
| true
| true
| false
| -0.26
| 0.2
| 0.43
|
Tech:EW
|
Hedge
|
CDX_IG: +180bps notional
| 14
| 30
|
ECN1
|
DealerAxed
| 0
| 92
| 355
| -252
|
HYCap>limit
|
Reduce
|
High-yield share above policy cap
| 183
|
Defer adds pending macro print
|
C09992
|
CR6183
|
2024-09-30
|
Calm
| 94
| 386
| 3.3
| 2.9
| 761,015,800
|
Industrials:31.9;RealEstate:9.8;Materials:15.9;Tech:24.7;Comm:17.6
|
US:65.9;EU:14.6;APAC:9.6;EMEA:7.4;LATAM:2.5
|
A:26.2;AA:35.2;BBB:12.9;AAA:25.7
| 0.71
| 50.5
| 128
| 454
| 5.1
| 2
| 20
| 45
| 30
| true
| true
| false
| false
| 1.81
| 1.18
| 0.11
|
Comm:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -35
| 16
|
DealerC
|
All2All
| 12
| 91
| 201
| 24
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 219
|
Escalate watchlist names
|
C09993
|
CR7556
|
2024-06-19
|
Recovery
| 134
| 438
| 6.3
| 0.5
| 1,779,354,243
|
Industrials:27.5;Consumer:21.0;Energy:22.2;Financials:9.5;Comm:19.8
|
US:54.9;EU:17.9;APAC:9.9;EMEA:10.0;LATAM:7.4
|
CCC:20.1;A:21.7;B:39.1;BB:19.0
| 2.93
| 29.9
| 220
| 407
| 12.2
| 4
| 30
| 35
| 35
| false
| true
| true
| true
| 0.91
| 0.71
| -0.2
|
Industrials:EW
|
Hedge
|
Treasury_Futures: +81bps notional
| -3
| 10
|
DealerA
|
DealerAxed
| 1
| 100
| -72
| -59
|
Region>limit
|
Reduce
|
Regional concentration above limit
| 125
|
Reviewed by risk; hedges staggered
|
C09994
|
CR7785
|
2024-06-09
|
Stress
| 249
| 737
| 7.1
| 0.2
| 1,760,300,189
|
Healthcare:6.7;Tech:25.8;Energy:23.7;Industrials:21.9;RealEstate:11.4;Financials:10.5
|
US:72.9;EU:6.9;APAC:12.3;EMEA:3.8;LATAM:4.1
|
BBB:9.2;AAA:9.7;A:14.1;B:10.0;BB:32.6;CCC:24.5
| 5.13
| 32.7
| 301
| 542
| 21.6
| 3
| 35
| 55
| 25
| false
| true
| true
| true
| 1.18
| 0.24
| 0.38
|
Tech:EW;Healthcare:EW
|
Hedge
|
CDX_HY: +74bps notional
| -38
| 26
|
ECN2
|
DealerAxed
| 10
| 99
| 235
| 140
|
Region>limit
|
Hedge
|
Regional concentration above limit
| 221
|
Escalate watchlist names
|
C09995
|
CR9501
|
2024-04-24
|
Tightening
| 154
| 366
| 4.2
| 0.6
| 2,039,458,871
|
Energy:40.1;Industrials:32.9;Materials:26.9
|
US:67.7;EU:10.8;APAC:15.0;EMEA:4.5;LATAM:2.0
|
CCC:16.9;AAA:37.1;AA:33.3;A:12.8
| 2.58
| 35.4
| 247
| 505
| 9.1
| 3
| 25
| 45
| 25
| true
| true
| false
| true
| 0.16
| 0.87
| 0.12
|
RealEstate:EW
|
Hedge
|
iTraxx_XOVER: +162bps notional
| -43
| 11
|
DealerB
|
Electronic
| 6
| 95
| -133
| -72
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 138
|
Defer adds pending macro print
|
C09996
|
CR6946
|
2024-10-17
|
Stress
| 209
| 569
| 8.4
| -0.7
| 2,909,033,425
|
Materials:16.5;Industrials:16.2;Comm:18.7;Financials:28.3;Energy:20.3
|
US:64.0;EU:17.4;APAC:10.0;EMEA:7.7;LATAM:1.0
|
CCC:22.2;BBB:18.1;AAA:15.9;B:15.6;AA:12.5;BB:15.8
| 2.14
| 23.9
| 359
| 284
| 5.5
| 2
| 25
| 45
| 20
| true
| true
| true
| true
| 0.41
| -0.17
| 0.51
|
Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -25
| -2
|
DealerC
|
DealerAxed
| 9
| 94
| 210
| -99
|
Sector>limit
|
Hedge
|
Sector concentration above limit
| 113
|
Defer adds pending macro print
|
C09997
|
CR5661
|
2024-05-03
|
Recovery
| 172
| 519
| 4.8
| -0.1
| 601,677,776
|
Tech:29.7;Industrials:32.4;Materials:37.9
|
US:61.4;EU:15.2;APAC:12.5;EMEA:5.8;LATAM:5.2
|
AA:20.0;BB:5.8;CCC:6.3;A:28.4;B:7.8;BBB:31.7
| 3.93
| 30
| 80
| 299
| 17
| 4
| 20
| 35
| 20
| true
| true
| false
| false
| 1.28
| -0.23
| 0.39
|
Industrials:EW
|
Rotate
|
From Energy -1.0% to Utilities +1.0%
| -51
| 35
|
ECN2
|
RFQ
| 9
| 99
| 236
| 27
|
HYCap>limit
|
Hedge
|
High-yield share above policy cap
| 244
|
Defer adds pending macro print
|
C09998
|
CR6865
|
2024-12-27
|
Tightening
| 157
| 501
| 4.1
| 1.4
| 2,615,976,677
|
Comm:8.7;Materials:19.2;Energy:27.7;Consumer:27.9;Utilities:16.5
|
US:68.0;EU:14.9;APAC:10.7;EMEA:3.3;LATAM:3.0
|
A:17.5;CCC:9.7;AAA:18.1;AA:49.5;B:5.2
| 3.31
| 45.2
| 162
| 496
| 4.2
| 3
| 35
| 55
| 35
| false
| true
| false
| false
| 1.04
| 0.03
| 0.45
|
Comm:EW
|
Hedge
|
iTraxx_MAIN: +168bps notional
| -31
| -21
|
ECN1
|
DealerAxed
| 10
| 94
| -22
| -401
|
Sector>limit
|
Reduce
|
Sector concentration above limit
| 183
|
Rotate into defensive sectors
|
C09999
|
CR0926
|
2024-02-29
|
Recovery
| 143
| 540
| 4.7
| 0.3
| 589,609,294
|
Consumer:25.2;Materials:27.1;RealEstate:18.0;Energy:7.0;Utilities:22.7
|
US:71.4;EU:5.3;APAC:11.4;EMEA:5.5;LATAM:6.3
|
AA:28.2;B:13.9;CCC:6.3;AAA:31.3;BBB:14.7;BB:5.7
| 5.01
| 48.3
| 176
| 232
| 8
| 3
| 30
| 35
| 35
| false
| true
| false
| false
| 1.45
| 0.39
| -0.02
|
Materials:EW
|
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -19
| 45
|
DealerC
|
All2All
| 1
| 97
| 267
| 106
|
Region>limit
|
Rotate
|
Regional concentration above limit
| 243
|
Defer adds pending macro print
|
C10000
|
CR0347
|
2024-03-29
|
Calm
| 115
| 418
| 3.9
| 1.5
| 184,060,755
|
Financials:11.5;Comm:14.8;Industrials:19.7;Energy:16.7;Consumer:26.8;Healthcare:10.5
|
US:68.0;EU:10.4;APAC:11.2;EMEA:9.8;LATAM:0.7
|
BB:6.4;AA:11.9;A:31.1;CCC:13.5;AAA:14.7;BBB:22.5
| 1.66
| 55.1
| 239
| 418
| 14.1
| 4
| 20
| 35
| 35
| true
| true
| false
| true
| -0.17
| 0.64
| -0.22
| null |
Reduce
|
Cut HY -1.0%; Trim stretched sector -0.5%
| -22
| -1
|
ECN1
|
Electronic
| 7
| 87
| 368
| 22
|
Sector>limit
|
Rotate
|
Sector concentration above limit
| 156
|
Defer adds pending macro print
|
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