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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