Datasets:
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
C00001 | CR7809 | 2024-11-27 | Calm | 110 | 344 | 3.9 | 1.5 | 2,765,285,152 | Utilities:17.9;Materials:20.0;Energy:20.3;RealEstate:5.7;Comm:12.4;Tech:23.7 | US:79.0;EU:11.3;APAC:5.3;EMEA:3.1;LATAM:1.2 | BB:10.2;A:11.9;BBB:10.1;AAA:28.3;B:39.5 | 0.97 | 60.8 | 254 | 352 | 17.1 | 3 | 35 | 45 | 25 | false | true | true | true | 2.21 | 0 | -0.06 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -60 | -25 | ECN2 | All2All | 12 | 98 | 267 | -161 | HYCap>limit | Reduce | High-yield share above policy cap | 222 | Escalate watchlist names |
C00002 | CR7979 | 2025-04-19 | Tightening | 129 | 396 | 5.1 | 1.4 | 2,202,421,217 | Financials:36.8;Tech:10.6;Industrials:30.8;RealEstate:21.8 | US:67.3;EU:14.3;APAC:9.3;EMEA:7.5;LATAM:1.5 | BBB:17.7;AA:31.7;A:21.4;CCC:8.3;AAA:20.9 | 7.34 | 55 | 97 | 460 | 3.3 | 3.5 | 35 | 55 | 30 | true | true | false | false | 1.81 | 0.54 | -0.11 | Healthcare:EW;Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -18 | 12 | ECN1 | All2All | 5 | 90 | 40 | -429 | Sector>limit | Reduce | Sector concentration above limit | 230 | Reviewed by risk; hedges staggered |
C00003 | CR0379 | 2024-08-31 | Tightening | 115 | 492 | 4.8 | 1.5 | 2,245,398,292 | Comm:8.8;Consumer:20.7;Industrials:16.7;Energy:16.2;Materials:20.2;Healthcare:17.4 | US:62.7;EU:16.0;APAC:6.9;EMEA:9.6;LATAM:4.8 | BB:31.3;BBB:21.9;A:14.3;B:6.3;CCC:13.1;AA:13.2 | 2.3 | 59.6 | 273 | 359 | 6.8 | 2.5 | 30 | 45 | 30 | false | true | true | true | 0.66 | 0.43 | -0.08 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -43 | 29 | DealerB | RFQ | 12 | 94 | 163 | 137 | VAR>budget | Rotate | Portfolio VAR above budget | 242 | Tighten HY exposure bands |
C00004 | CR7040 | 2025-02-06 | Tightening | 140 | 504 | 4.4 | 1.7 | 864,889,402 | Industrials:30.0;Tech:24.8;Comm:11.9;Healthcare:33.4 | US:57.5;EU:20.0;APAC:12.5;EMEA:4.6;LATAM:5.4 | AA:12.1;BBB:14.6;A:14.2;CCC:43.9;B:15.3 | 3.74 | 43.7 | 278 | 206 | 4.5 | 2 | 20 | 55 | 20 | true | true | true | true | -0.25 | 0.43 | -0.25 | Consumer:EW;Tech:EW | Hedge | CDX_IG: +178bps notional | -48 | 1 | ECN1 | DealerAxed | 1 | 99 | 73 | -400 | Region>limit | Reduce | Regional concentration above limit | 167 | Defer adds pending macro print |
C00005 | CR7617 | 2025-10-22 | Calm | 100 | 360 | 3.7 | 1.7 | 2,266,814,110 | Tech:31.4;Energy:25.7;Industrials:19.3;Consumer:23.7 | US:60.7;EU:17.3;APAC:14.4;EMEA:3.8;LATAM:3.8 | AAA:14.8;CCC:19.3;B:13.5;BB:28.1;A:13.8;AA:10.5 | 2.72 | 55.5 | 269 | 327 | 12.2 | 4 | 20 | 55 | 35 | true | true | true | true | 2.44 | 1.36 | 0.26 | Healthcare:EW;Tech:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 13 | 17 | DealerC | Electronic | 2 | 92 | -159 | -420 | Region>limit | Hedge | Regional concentration above limit | 213 | Defer adds pending macro print |
C00006 | CR0060 | 2025-01-29 | Recovery | 112 | 592 | 5.5 | 1.3 | 2,452,852,727 | Energy:16.0;Consumer:28.3;Utilities:11.2;Comm:19.0;Materials:25.5 | US:65.0;EU:11.9;APAC:12.6;EMEA:9.9;LATAM:0.6 | AAA:20.8;A:19.9;AA:17.3;CCC:12.2;BBB:29.8 | 6.31 | 25.6 | 110 | 183 | 4.4 | 4 | 35 | 45 | 20 | false | true | false | false | 1.33 | 0.77 | -0.26 | Tech:EW;Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -28 | -17 | ECN2 | DealerAxed | 2 | 85 | -98 | -340 | Sector>limit | Hedge | Sector concentration above limit | 247 | Rotate into defensive sectors |
C00007 | CR8782 | 2024-09-10 | Stress | 198 | 710 | 5.7 | 0.7 | 1,718,206,814 | Tech:35.2;Utilities:16.4;Energy:48.5 | US:66.3;EU:14.7;APAC:12.2;EMEA:4.5;LATAM:2.3 | A:13.0;AAA:16.5;BB:8.6;B:19.0;CCC:13.0;AA:29.9 | 0.98 | 40.4 | 368 | 427 | 18.4 | 2 | 25 | 35 | 20 | true | true | true | true | 0.37 | 1.63 | 0.23 | Industrials:EW | Hedge | Treasury_Futures: +172bps notional | -27 | -20 | DealerC | All2All | 5 | 94 | 311 | 67 | HYCap>limit | Hedge | High-yield share above policy cap | 260 | Rotate into defensive sectors |
C00008 | CR4674 | 2024-02-28 | Stress | 162 | 745 | 6.4 | 0.4 | 1,480,667,305 | Healthcare:17.4;Financials:46.3;Utilities:36.2 | US:76.0;EU:5.9;APAC:11.4;EMEA:5.0;LATAM:1.7 | BBB:28.4;BB:12.8;AA:10.7;A:26.6;CCC:5.3;B:16.2 | 7.48 | 56.8 | 297 | 505 | 17.2 | 3 | 30 | 55 | 35 | true | true | false | true | 2.28 | 0.32 | -0.08 | Consumer:EW | Hedge | CDX_HY: +59bps notional | -47 | 17 | ECN1 | RFQ | 12 | 89 | -24 | 124 | Region>limit | Hedge | Regional concentration above limit | 177 | Reviewed by risk; hedges staggered |
C00009 | CR0404 | 2024-04-30 | Stress | 223 | 567 | 6.5 | -0.9 | 2,417,410,028 | Industrials:42.5;Consumer:15.3;Comm:42.1 | US:60.0;EU:14.7;APAC:11.7;EMEA:8.8;LATAM:4.7 | AAA:18.0;B:26.4;CCC:38.5;A:17.1 | 1.32 | 33.1 | 337 | 288 | 9.1 | 3 | 25 | 35 | 30 | true | true | true | true | 1.55 | -0.25 | -0.38 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -22 | 31 | DealerC | Electronic | 3 | 100 | -88 | -178 | VAR>budget | Hedge | Portfolio VAR above budget | 152 | Defer adds pending macro print |
C00010 | CR9359 | 2025-08-15 | Tightening | 105 | 448 | 4.2 | 1.3 | 1,110,767,756 | RealEstate:27.7;Healthcare:27.1;Consumer:23.6;Utilities:14.2;Industrials:7.4 | US:58.9;EU:16.0;APAC:10.0;EMEA:9.0;LATAM:6.1 | AA:10.7;A:13.1;AAA:37.2;CCC:25.9;BBB:13.0 | 5.4 | 46.1 | 260 | 275 | 6.1 | 3.5 | 25 | 55 | 20 | true | true | true | true | 0.07 | 0.76 | 0.48 | Utilities:EW | Hedge | CDX_HY: +82bps notional | -57 | 17 | ECN1 | RFQ | 3 | 87 | 227 | -365 | Sector>limit | Reduce | Sector concentration above limit | 246 | Escalate watchlist names |
C00011 | CR0721 | 2025-03-25 | Stress | 194 | 671 | 5.9 | -1.1 | 1,116,691,404 | Materials:12.3;Healthcare:34.7;Consumer:22.7;Industrials:30.2 | US:64.1;EU:18.8;APAC:8.0;EMEA:7.5;LATAM:1.6 | AA:15.8;A:30.5;BBB:37.9;CCC:15.8 | 3.14 | 32.3 | 178 | 504 | 19.1 | 4 | 20 | 45 | 35 | true | true | false | false | 0.4 | 0.77 | -0.36 | RealEstate:EW | Hedge | iTraxx_XOVER: +73bps notional | 3 | 18 | DealerB | DealerAxed | 2 | 95 | 101 | -60 | HYCap>limit | Hedge | High-yield share above policy cap | 122 | Reviewed by risk; hedges staggered |
C00012 | CR7351 | 2025-11-28 | Recovery | 165 | 524 | 5.7 | 0.1 | 2,218,194,019 | Materials:12.9;Comm:23.3;Utilities:12.5;Tech:18.8;Financials:18.5;Energy:14.0 | US:59.9;EU:16.3;APAC:11.7;EMEA:9.7;LATAM:2.4 | AA:13.2;BB:3.5;BBB:36.8;A:15.4;AAA:31.1 | 4.27 | 36.9 | 169 | 512 | 7.3 | 3 | 20 | 35 | 30 | true | true | false | false | 2.48 | -0.01 | 0.32 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -36 | -6 | DealerC | Electronic | 9 | 92 | 54 | 159 | Region>limit | Hedge | Regional concentration above limit | 138 | Reviewed by risk; hedges staggered |
C00013 | CR2229 | 2025-11-14 | Tightening | 130 | 356 | 4.6 | 1.7 | 1,125,503,152 | Consumer:42.0;Energy:37.2;Industrials:20.8 | US:68.5;EU:14.8;APAC:11.2;EMEA:5.2;LATAM:0.4 | BB:10.2;A:27.2;AAA:35.4;B:6.8;BBB:20.3 | 6.01 | 28.6 | 86 | 440 | 12.2 | 3.5 | 25 | 45 | 20 | true | true | false | false | 1.84 | -0.17 | -0.28 | null | Hedge | Options_Payer: +73bps notional | 20 | 6 | ECN1 | Electronic | 7 | 98 | 419 | -389 | HYCap>limit | Hedge | High-yield share above policy cap | 241 | Reviewed by risk; hedges staggered |
C00014 | CR9282 | 2024-05-18 | Calm | 115 | 375 | 4 | 1.6 | 1,382,774,760 | Industrials:17.8;Consumer:6.7;Tech:18.5;RealEstate:14.6;Financials:23.8;Energy:18.6 | US:68.4;EU:8.1;APAC:11.2;EMEA:9.3;LATAM:3.0 | A:17.9;AAA:14.7;B:33.0;BB:20.3;CCC:14.2 | 1.26 | 24.6 | 82 | 409 | 11.9 | 3.5 | 35 | 35 | 20 | false | true | true | false | 1.17 | 0.38 | 0.04 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -47 | -13 | DealerA | Electronic | 9 | 90 | -1 | -172 | Region>limit | Hedge | Regional concentration above limit | 180 | Reviewed by risk; hedges staggered |
C00015 | CR3243 | 2025-10-04 | Calm | 80 | 361 | 3.2 | 2 | 326,739,793 | RealEstate:25.9;Healthcare:33.7;Industrials:7.3;Consumer:33.1 | US:62.9;EU:8.4;APAC:12.1;EMEA:8.4;LATAM:8.3 | A:24.1;CCC:6.6;AAA:25.5;AA:26.5;BBB:17.3 | 3.01 | 42.5 | 91 | 384 | 16.8 | 3 | 25 | 35 | 30 | true | true | false | false | 1.15 | 0.57 | 0.06 | Healthcare:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -1 | -24 | ECN2 | DealerAxed | 2 | 85 | 214 | 78 | Region>limit | Hedge | Regional concentration above limit | 220 | Tighten HY exposure bands |
C00016 | CR7738 | 2025-03-24 | Calm | 82 | 285 | 4.1 | 2.8 | 435,760,520 | Comm:24.0;Materials:37.1;Consumer:38.9 | US:65.1;EU:15.9;APAC:8.1;EMEA:9.8;LATAM:1.2 | A:20.3;AA:16.6;AAA:18.6;BB:27.1;B:17.4 | 7.13 | 59.1 | 135 | 418 | 3.2 | 3.5 | 25 | 35 | 30 | true | true | true | false | 1.5 | -0.06 | -0.19 | Tech:EW | Hedge | CDX_IG: +67bps notional | -38 | 35 | DealerA | Electronic | 2 | 85 | 363 | -354 | Region>limit | Reduce | Regional concentration above limit | 232 | Defer adds pending macro print |
C00017 | CR3587 | 2024-10-10 | Recovery | 118 | 649 | 4.9 | 0.9 | 705,049,388 | Healthcare:24.9;Industrials:28.3;Tech:26.5;Energy:20.3 | US:70.2;EU:12.1;APAC:12.3;EMEA:4.7;LATAM:0.7 | AAA:18.8;BBB:42.6;B:8.7;AA:29.8 | 4.27 | 51 | 232 | 252 | 13.4 | 2.5 | 35 | 55 | 30 | false | true | false | true | -0.35 | 1.08 | 0.27 | Consumer:EW;Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 14 | -12 | DealerC | All2All | 9 | 95 | 375 | 60 | VAR>budget | Reduce | Portfolio VAR above budget | 234 | Escalate watchlist names |
C00018 | CR9347 | 2025-03-23 | Calm | 97 | 394 | 4.2 | 1.5 | 1,971,911,265 | Industrials:28.3;Healthcare:18.9;Energy:25.8;Utilities:27.1 | US:68.8;EU:8.1;APAC:13.5;EMEA:7.1;LATAM:2.4 | BBB:17.5;B:18.1;BB:15.2;AA:14.1;A:22.1;CCC:13.0 | 2.24 | 53.9 | 89 | 244 | 8.7 | 4 | 20 | 45 | 25 | true | true | true | false | 2.33 | -0.23 | -0.31 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -60 | -22 | ECN2 | DealerAxed | 0 | 96 | 356 | 15 | Sector>limit | Reduce | Sector concentration above limit | 196 | Rotate into defensive sectors |
C00019 | CR6593 | 2024-05-23 | Recovery | 111 | 613 | 6.3 | 1 | 2,019,078,123 | Healthcare:20.5;Energy:8.6;Utilities:24.7;Tech:16.2;Materials:8.7;RealEstate:21.3 | US:63.2;EU:14.9;APAC:10.4;EMEA:7.2;LATAM:4.3 | BB:15.2;B:15.8;BBB:29.3;CCC:14.7;AA:25.0 | 3.56 | 41.2 | 243 | 313 | 11.9 | 3 | 30 | 35 | 30 | false | true | true | true | 0.65 | 1.13 | 0.58 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -42 | -18 | ECN1 | RFQ | 3 | 94 | 146 | 100 | Region>limit | Hedge | Regional concentration above limit | 162 | Escalate watchlist names |
C00020 | CR2436 | 2024-02-17 | Recovery | 129 | 501 | 6.3 | 1.9 | 289,477,636 | Healthcare:11.4;Tech:10.2;RealEstate:20.7;Comm:14.1;Utilities:18.9;Materials:24.8 | US:59.0;EU:16.5;APAC:6.1;EMEA:10.1;LATAM:8.4 | B:4.4;CCC:12.8;BBB:9.8;AAA:18.9;AA:28.1;A:26.0 | 4.18 | 34.9 | 179 | 317 | 15 | 3.5 | 20 | 45 | 20 | true | true | false | false | 0.67 | 0.09 | -0.16 | Tech:EW;Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -8 | 33 | ECN1 | RFQ | 12 | 85 | -55 | -61 | Sector>limit | Hedge | Sector concentration above limit | 202 | Rotate into defensive sectors |
C00021 | CR0410 | 2024-05-22 | Calm | 108 | 359 | 4 | 1.8 | 2,570,958,128 | RealEstate:15.2;Consumer:16.4;Utilities:43.3;Materials:25.2 | US:68.8;EU:8.6;APAC:6.9;EMEA:8.7;LATAM:7.1 | AAA:20.5;CCC:7.9;A:9.2;BB:29.4;BBB:23.3;AA:9.8 | 3.65 | 54.1 | 216 | 361 | 4.6 | 3 | 20 | 35 | 25 | true | true | true | true | 1.94 | 0.07 | 0.33 | Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -18 | 45 | DealerA | Electronic | 2 | 99 | 184 | -378 | HYCap>limit | Rotate | High-yield share above policy cap | 93 | Rotate into defensive sectors |
C00022 | CR0534 | 2024-05-13 | Tightening | 122 | 362 | 4 | 1.4 | 1,687,992,545 | Industrials:30.8;Consumer:19.3;Energy:13.0;Healthcare:12.7;RealEstate:24.2 | US:70.3;EU:8.4;APAC:10.9;EMEA:7.5;LATAM:2.9 | B:7.5;AAA:25.5;BB:25.9;CCC:22.7;BBB:18.5 | 2.78 | 52.6 | 148 | 384 | 7.7 | 3.5 | 20 | 45 | 35 | true | true | true | false | 0.39 | 1.41 | -0.04 | Consumer:EW;Comm:EW | Hedge | CDX_IG: +194bps notional | -38 | 42 | DealerC | RFQ | 4 | 99 | 120 | 75 | HYCap>limit | Hedge | High-yield share above policy cap | 105 | Defer adds pending macro print |
C00023 | CR3542 | 2025-01-08 | Tightening | 146 | 366 | 4.5 | 1.3 | 393,878,066 | Industrials:40.0;Energy:25.7;Financials:22.0;RealEstate:12.3 | US:68.5;EU:17.4;APAC:5.2;EMEA:5.7;LATAM:3.2 | AA:20.2;AAA:9.7;BB:23.5;BBB:10.5;CCC:22.4;A:13.6 | 6.09 | 60.5 | 172 | 190 | 10.3 | 2.5 | 25 | 55 | 30 | true | true | true | false | -0.46 | 0.32 | 0.21 | null | Hedge | SingleName_CDS: +69bps notional | 3 | -8 | DealerB | Electronic | 9 | 99 | 20 | -141 | HYCap>limit | Hedge | High-yield share above policy cap | 110 | Defer adds pending macro print |
C00024 | CR9392 | 2025-03-14 | Stress | 242 | 707 | 7.7 | -0 | 1,056,280,216 | RealEstate:15.4;Utilities:16.2;Materials:25.9;Financials:13.0;Healthcare:29.5 | US:67.7;EU:12.7;APAC:9.0;EMEA:9.1;LATAM:1.5 | BB:3.2;A:19.2;CCC:10.1;AAA:23.9;AA:32.4;B:11.3 | 2.82 | 32.5 | 205 | 318 | 7.9 | 3.5 | 35 | 35 | 20 | false | true | true | true | 2.09 | 0.93 | 0.39 | Tech:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 2 | 42 | DealerC | All2All | 7 | 95 | 349 | -127 | VAR>budget | Rotate | Portfolio VAR above budget | 170 | Tighten HY exposure bands |
C00025 | CR7077 | 2025-09-28 | Recovery | 158 | 530 | 6.4 | 1.9 | 2,053,797,079 | Utilities:27.3;Industrials:24.4;Comm:20.5;Consumer:11.5;Healthcare:8.2;Materials:8.1 | US:56.9;EU:17.5;APAC:12.0;EMEA:6.5;LATAM:7.0 | AAA:10.8;BB:24.8;A:41.0;BBB:23.5 | 3.55 | 30.6 | 216 | 157 | 6.3 | 2 | 35 | 55 | 25 | false | true | false | true | 2.21 | 0.83 | -0.15 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 2 | -12 | DealerC | Electronic | 9 | 85 | -61 | 80 | HYCap>limit | PauseAdds | High-yield share above policy cap | 116 | Escalate watchlist names |
C00026 | CR4310 | 2024-07-23 | Calm | 96 | 336 | 3.3 | 2.9 | 331,540,935 | Industrials:36.0;Comm:24.5;Energy:12.9;Tech:26.6 | US:62.7;EU:16.6;APAC:10.9;EMEA:4.5;LATAM:5.4 | A:26.1;AA:28.7;BB:13.6;CCC:14.1;B:17.5 | 1.85 | 58.7 | 138 | 437 | 14.3 | 2.5 | 30 | 45 | 30 | true | true | true | false | 0.24 | -0.03 | 0.54 | Financials:EW | Hedge | SingleName_CDS: +153bps notional | -40 | -25 | ECN1 | RFQ | 7 | 95 | 11 | -266 | VAR>budget | Hedge | Portfolio VAR above budget | 96 | Defer adds pending macro print |
C00027 | CR3201 | 2024-04-21 | Tightening | 158 | 459 | 4.8 | 2 | 67,044,701 | Tech:37.5;Consumer:10.4;Healthcare:16.3;Comm:35.8 | US:61.7;EU:18.2;APAC:6.5;EMEA:9.1;LATAM:4.4 | BBB:27.8;BB:29.6;B:20.7;CCC:21.9 | 1.99 | 29.5 | 214 | 421 | 16.6 | 4 | 25 | 55 | 25 | true | true | true | true | 0.92 | 0.41 | -0.14 | Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -55 | -7 | DealerB | Electronic | 3 | 95 | -138 | 5 | Sector>limit | Rotate | Sector concentration above limit | 223 | Escalate watchlist names |
C00028 | CR6316 | 2025-09-24 | Calm | 66 | 350 | 3.9 | 1.8 | 2,838,166,250 | Comm:43.1;Financials:14.9;Healthcare:12.4;Industrials:29.7 | US:64.1;EU:15.9;APAC:9.9;EMEA:7.0;LATAM:3.1 | AA:39.2;CCC:11.6;BBB:34.8;BB:14.4 | 2.62 | 53.7 | 95 | 331 | 4.2 | 2.5 | 35 | 45 | 30 | true | true | false | false | -0.31 | 1.2 | -0.11 | Industrials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 18 | 13 | ECN2 | All2All | 11 | 100 | 372 | 36 | Sector>limit | PauseAdds | Sector concentration above limit | 215 | Escalate watchlist names |
C00029 | CR9769 | 2025-06-08 | Tightening | 103 | 450 | 4.8 | 1.3 | 1,085,179,726 | Energy:15.3;Consumer:22.8;Healthcare:32.4;Industrials:10.5;Comm:19.0 | US:70.8;EU:7.1;APAC:13.7;EMEA:8.2;LATAM:0.1 | BB:31.5;BBB:25.5;B:13.4;A:29.7 | 7.33 | 64.6 | 235 | 431 | 2.5 | 3 | 20 | 45 | 25 | true | true | true | true | 0.98 | 0.91 | 0.13 | Tech:EW | Hedge | CDX_HY: +101bps notional | -27 | -1 | DealerC | RFQ | 12 | 95 | 189 | 128 | Region>limit | Hedge | Regional concentration above limit | 204 | Rotate into defensive sectors |
C00030 | CR5573 | 2024-08-30 | Tightening | 145 | 441 | 4.7 | 0.9 | 1,438,223,049 | RealEstate:16.0;Utilities:19.4;Healthcare:6.2;Industrials:21.9;Tech:16.7;Energy:19.7 | US:65.0;EU:12.9;APAC:10.8;EMEA:7.9;LATAM:3.4 | BB:3.8;AAA:35.6;AA:35.0;BBB:19.6;B:6.0 | 4.41 | 53.4 | 119 | 307 | 12.9 | 2.5 | 30 | 35 | 30 | false | true | false | false | 1.08 | 1.1 | 0.59 | Industrials:EW | Hedge | Options_Payer: +139bps notional | -43 | 35 | DealerC | All2All | 6 | 99 | 428 | -325 | HYCap>limit | Reduce | High-yield share above policy cap | 252 | Rotate into defensive sectors |
C00031 | CR5118 | 2025-06-17 | Calm | 120 | 351 | 3.3 | 2.7 | 1,570,171,965 | RealEstate:22.2;Utilities:8.5;Healthcare:36.2;Tech:33.0 | US:61.8;EU:8.8;APAC:13.4;EMEA:10.6;LATAM:5.3 | CCC:8.6;B:10.9;BB:9.5;AA:20.1;AAA:50.9 | 0.78 | 25.9 | 277 | 251 | 8.3 | 4 | 20 | 35 | 20 | true | true | true | true | -0.05 | 1.08 | 0.27 | Consumer:EW;Industrials:EW | Hedge | CDX_IG: +84bps notional | -23 | -12 | DealerA | DealerAxed | 7 | 87 | 35 | 166 | VAR>budget | Rotate | Portfolio VAR above budget | 227 | Tighten HY exposure bands |
C00032 | CR3472 | 2024-01-21 | Calm | 79 | 395 | 3.5 | 2.6 | 1,004,207,991 | Materials:13.7;RealEstate:10.0;Consumer:30.4;Comm:24.5;Tech:14.5;Financials:7.0 | US:66.2;EU:8.6;APAC:9.7;EMEA:12.4;LATAM:3.1 | AA:18.1;BBB:11.4;AAA:28.4;B:5.2;BB:14.6;A:22.4 | 1.47 | 64.7 | 269 | 298 | 4.7 | 3.5 | 20 | 45 | 25 | true | true | false | true | -0.1 | 0.21 | 0.56 | null | Hedge | CDX_IG: +119bps notional | -51 | 44 | ECN1 | RFQ | 11 | 92 | -182 | -270 | Region>limit | Hedge | Regional concentration above limit | 112 | Reviewed by risk; hedges staggered |
C00033 | CR3973 | 2025-06-04 | Tightening | 118 | 409 | 4.4 | 1.3 | 1,490,967,008 | Industrials:37.8;Financials:37.6;Materials:24.6 | US:64.4;EU:14.2;APAC:8.4;EMEA:12.6;LATAM:0.4 | CCC:15.4;B:22.6;AA:8.8;A:17.6;BBB:18.2;AAA:17.5 | 3.05 | 63.2 | 182 | 223 | 14 | 2.5 | 25 | 55 | 30 | true | true | true | false | -0.49 | 1.09 | -0.23 | Materials:EW | Hedge | CDX_IG: +109bps notional | -34 | 2 | ECN1 | RFQ | 5 | 97 | 323 | -398 | HYCap>limit | Rotate | High-yield share above policy cap | 155 | Reviewed by risk; hedges staggered |
C00034 | CR0874 | 2025-11-15 | Calm | 90 | 388 | 3.2 | 1.8 | 2,470,769,372 | Tech:27.8;Utilities:29.4;Energy:42.7 | US:74.0;EU:5.9;APAC:9.6;EMEA:6.5;LATAM:4.1 | A:12.8;AA:20.4;AAA:27.7;B:18.6;BB:20.6 | 7.2 | 20.1 | 129 | 360 | 6.6 | 3 | 35 | 35 | 20 | true | true | true | false | -0.04 | 1.29 | -0.12 | Tech:EW;Utilities:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -22 | 14 | ECN2 | DealerAxed | 0 | 97 | -126 | -74 | VAR>budget | Hedge | Portfolio VAR above budget | 147 | Reviewed by risk; hedges staggered |
C00035 | CR2999 | 2025-11-22 | Recovery | 172 | 442 | 6.4 | 1.5 | 621,113,308 | Tech:43.7;Financials:24.5;Industrials:31.7 | US:70.3;EU:13.4;APAC:6.9;EMEA:4.3;LATAM:5.1 | BB:19.6;AAA:13.9;AA:32.8;A:33.7 | 1.54 | 46.1 | 278 | 480 | 17.3 | 2 | 30 | 55 | 25 | true | true | false | true | 0.79 | 1.64 | -0.02 | Industrials:EW;Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -1 | 4 | ECN1 | RFQ | 3 | 91 | 194 | -81 | HYCap>limit | Reduce | High-yield share above policy cap | 234 | Reviewed by risk; hedges staggered |
C00036 | CR7577 | 2024-06-23 | Recovery | 125 | 518 | 6.2 | 1.1 | 1,767,966,936 | RealEstate:34.3;Utilities:8.5;Materials:15.2;Industrials:7.3;Healthcare:34.6 | US:73.4;EU:7.1;APAC:10.2;EMEA:7.7;LATAM:1.5 | AA:14.4;BBB:17.9;AAA:19.9;BB:26.3;B:21.5 | 4.62 | 42.2 | 121 | 433 | 15.4 | 2.5 | 25 | 35 | 20 | true | true | true | false | 2.44 | 0.4 | -0.39 | null | Hedge | Treasury_Futures: +169bps notional | -48 | -25 | ECN2 | RFQ | 4 | 94 | 396 | -168 | Sector>limit | Rotate | Sector concentration above limit | 139 | Escalate watchlist names |
C00037 | CR0817 | 2024-07-11 | Calm | 99 | 316 | 3.5 | 1.6 | 1,268,124,078 | Consumer:30.2;RealEstate:50.7;Comm:19.1 | US:73.9;EU:6.7;APAC:7.2;EMEA:10.7;LATAM:1.5 | BB:34.8;CCC:27.1;AAA:21.5;AA:16.7 | 2.6 | 61.5 | 214 | 353 | 16.4 | 4 | 25 | 45 | 30 | true | true | true | true | 2.45 | -0.06 | -0.24 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -48 | -15 | ECN1 | All2All | 8 | 85 | 211 | -108 | Sector>limit | Reduce | Sector concentration above limit | 226 | Rotate into defensive sectors |
C00038 | CR4284 | 2024-01-24 | Calm | 69 | 297 | 3.9 | 2.2 | 236,587,982 | RealEstate:16.0;Energy:26.4;Healthcare:26.2;Comm:12.5;Financials:18.9 | US:71.0;EU:6.9;APAC:8.6;EMEA:12.8;LATAM:0.7 | BB:29.9;AA:17.9;B:19.9;CCC:32.3 | 4.71 | 27.7 | 272 | 213 | 7.1 | 3.5 | 30 | 35 | 25 | false | true | true | true | -0.14 | 0.1 | 0.28 | RealEstate:EW;Tech:EW | Hedge | SingleName_CDS: +108bps notional | -43 | -3 | DealerA | All2All | 1 | 99 | 151 | -163 | HYCap>limit | Hedge | High-yield share above policy cap | 217 | Tighten HY exposure bands |
C00039 | CR2112 | 2024-07-23 | Recovery | 123 | 473 | 5.6 | 0.2 | 2,132,448,720 | Healthcare:19.0;RealEstate:12.8;Energy:16.0;Tech:33.2;Utilities:19.0 | US:67.3;EU:11.5;APAC:8.1;EMEA:10.5;LATAM:2.5 | AA:26.6;BBB:10.8;AAA:13.4;A:8.9;BB:13.8;B:26.4 | 7.2 | 52.3 | 172 | 460 | 13.6 | 2 | 35 | 45 | 20 | false | true | true | false | 1.31 | 0.31 | 0.53 | Industrials:EW;Utilities:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -31 | -4 | ECN1 | DealerAxed | 8 | 99 | -142 | -33 | Region>limit | Hedge | Regional concentration above limit | 233 | Reviewed by risk; hedges staggered |
C00040 | CR2470 | 2024-11-22 | Recovery | 168 | 460 | 4.8 | 0.1 | 2,541,532,903 | Comm:20.1;Healthcare:24.0;Financials:21.9;RealEstate:16.9;Tech:17.3 | US:70.2;EU:10.9;APAC:9.9;EMEA:9.0;LATAM:0.0 | BB:28.9;B:20.2;BBB:34.0;A:16.9 | 3.35 | 35 | 132 | 477 | 11.8 | 2.5 | 25 | 35 | 30 | false | true | true | false | 1.69 | -0.12 | 0.39 | Materials:EW;Tech:EW | Hedge | iTraxx_XOVER: +185bps notional | -28 | -8 | DealerC | Electronic | 3 | 100 | 105 | -369 | VAR>budget | Reduce | Portfolio VAR above budget | 121 | Tighten HY exposure bands |
C00041 | CR7844 | 2024-04-12 | Calm | 82 | 379 | 4.5 | 2.5 | 1,256,309,581 | Consumer:19.4;Utilities:39.5;Financials:41.1 | US:70.3;EU:7.4;APAC:7.5;EMEA:8.0;LATAM:6.8 | AA:16.4;A:22.6;B:21.8;BB:23.1;BBB:16.2 | 6.47 | 26.5 | 195 | 140 | 4.6 | 4 | 30 | 45 | 20 | true | true | true | false | 2.14 | 0.73 | -0.32 | Financials:EW;Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -33 | 45 | DealerB | DealerAxed | 7 | 94 | -165 | -267 | Region>limit | Rotate | Regional concentration above limit | 239 | Escalate watchlist names |
C00042 | CR3797 | 2024-05-29 | Calm | 65 | 302 | 4.3 | 2.6 | 1,582,245,064 | Comm:31.4;Energy:20.9;Consumer:32.5;RealEstate:15.3 | US:67.1;EU:7.2;APAC:9.0;EMEA:11.5;LATAM:5.2 | AA:19.8;CCC:38.1;AAA:23.9;BBB:18.2 | 0.48 | 42.5 | 97 | 368 | 17.3 | 3 | 35 | 55 | 25 | false | true | true | false | 0.95 | 1.35 | -0.03 | RealEstate:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -16 | 45 | DealerC | All2All | 5 | 100 | 34 | 36 | HYCap>limit | Rotate | High-yield share above policy cap | 226 | Escalate watchlist names |
C00043 | CR8097 | 2025-08-29 | Calm | 85 | 358 | 3.6 | 2.2 | 1,537,634,831 | Consumer:10.0;RealEstate:25.3;Tech:21.5;Energy:17.6;Comm:25.6 | US:70.9;EU:7.7;APAC:13.6;EMEA:7.3;LATAM:0.5 | A:21.0;BBB:28.4;CCC:12.2;AAA:27.1;B:11.3 | 4.1 | 52 | 89 | 281 | 8.1 | 3 | 35 | 45 | 35 | false | true | false | false | 2.01 | 1.75 | -0.2 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -20 | -13 | DealerC | All2All | 4 | 94 | -85 | 104 | VAR>budget | Reduce | Portfolio VAR above budget | 199 | Rotate into defensive sectors |
C00044 | CR5669 | 2024-03-17 | Calm | 88 | 309 | 3.3 | 2.5 | 280,945,194 | Utilities:25.6;Energy:29.9;Healthcare:23.5;Industrials:21.1 | US:59.1;EU:8.3;APAC:14.4;EMEA:13.1;LATAM:5.1 | AA:37.6;A:35.0;AAA:12.8;B:14.6 | 1.44 | 42.6 | 244 | 258 | 15.2 | 4 | 35 | 35 | 25 | false | true | false | true | -0.21 | 0.04 | -0.21 | Comm:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 1 | 35 | ECN2 | DealerAxed | 3 | 85 | 303 | 149 | VAR>budget | Reduce | Portfolio VAR above budget | 164 | Rotate into defensive sectors |
C00045 | CR9569 | 2024-11-13 | Calm | 83 | 295 | 4.3 | 1.9 | 182,294,375 | Materials:39.3;Tech:12.4;Financials:48.3 | US:59.6;EU:18.0;APAC:8.2;EMEA:14.2;LATAM:0.1 | B:9.2;CCC:34.3;BB:24.9;AA:31.6 | 4.68 | 55.4 | 266 | 197 | 9.5 | 2.5 | 25 | 45 | 35 | true | true | true | true | -0.45 | 1.33 | -0.22 | null | Hedge | SingleName_CDS: +198bps notional | -17 | 6 | DealerB | All2All | 7 | 89 | 358 | -96 | HYCap>limit | Hedge | High-yield share above policy cap | 152 | Escalate watchlist names |
C00046 | CR6567 | 2024-12-01 | Tightening | 127 | 381 | 4.9 | 0.7 | 1,248,121,585 | Industrials:25.3;Healthcare:10.9;Utilities:18.7;RealEstate:16.7;Comm:16.8;Energy:11.6 | US:61.4;EU:12.7;APAC:9.6;EMEA:10.8;LATAM:5.5 | BBB:9.6;CCC:11.0;A:13.4;AAA:32.7;B:7.5;AA:25.8 | 0.84 | 36.7 | 169 | 143 | 16.9 | 2 | 20 | 35 | 25 | true | true | false | false | -0.32 | 1.51 | 0.03 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -56 | 21 | DealerC | DealerAxed | 3 | 94 | 76 | -429 | HYCap>limit | Hedge | High-yield share above policy cap | 140 | Rotate into defensive sectors |
C00047 | CR4260 | 2025-02-23 | Calm | 109 | 378 | 3.4 | 2.6 | 2,771,527,794 | Industrials:39.7;Utilities:48.5;Tech:11.7 | US:59.5;EU:15.8;APAC:10.1;EMEA:6.3;LATAM:8.2 | AAA:36.1;CCC:14.1;AA:14.8;A:34.9 | 5.85 | 37.2 | 93 | 224 | 2.2 | 2.5 | 20 | 55 | 35 | true | true | false | false | 0.42 | 0.17 | -0.15 | RealEstate:EW | Hedge | SingleName_CDS: +119bps notional | -48 | 2 | ECN2 | Electronic | 9 | 90 | -109 | -32 | Region>limit | Reduce | Regional concentration above limit | 98 | Tighten HY exposure bands |
C00048 | CR9335 | 2025-02-12 | Tightening | 124 | 443 | 5.2 | 0.7 | 2,937,166,013 | Materials:27.3;Consumer:15.2;Financials:18.6;RealEstate:26.8;Comm:12.2 | US:67.4;EU:9.1;APAC:11.0;EMEA:9.3;LATAM:3.3 | AA:17.8;BBB:32.8;AAA:30.2;BB:19.3 | 1.69 | 50.9 | 134 | 487 | 12.7 | 3.5 | 25 | 35 | 35 | true | true | false | false | -0.09 | 1.66 | -0.17 | Financials:EW | Hedge | iTraxx_MAIN: +123bps notional | 20 | 10 | ECN2 | Electronic | 1 | 94 | -142 | -248 | Sector>limit | PauseAdds | Sector concentration above limit | 160 | Tighten HY exposure bands |
C00049 | CR6001 | 2025-05-31 | Tightening | 132 | 372 | 4.6 | 1.6 | 847,797,719 | RealEstate:23.5;Tech:34.1;Materials:42.5 | US:77.9;EU:7.2;APAC:5.3;EMEA:7.0;LATAM:2.6 | CCC:19.9;AAA:26.4;B:22.0;A:31.6 | 1.19 | 31 | 230 | 354 | 9.9 | 4 | 25 | 55 | 20 | true | true | true | true | 1.3 | 1.47 | 0.2 | Healthcare:EW | Hedge | CDX_HY: +83bps notional | -53 | 40 | DealerB | DealerAxed | 9 | 97 | -157 | -365 | VAR>budget | Rotate | Portfolio VAR above budget | 220 | Tighten HY exposure bands |
C00050 | CR9539 | 2025-06-02 | Tightening | 156 | 417 | 3.9 | 1.8 | 1,600,657,298 | Healthcare:14.9;Utilities:22.1;Industrials:18.8;Financials:15.7;Materials:23.0;RealEstate:5.6 | US:60.9;EU:10.8;APAC:11.9;EMEA:10.5;LATAM:5.9 | AAA:15.0;B:49.2;BB:21.8;A:14.0 | 6.24 | 38.1 | 110 | 207 | 6.5 | 3 | 30 | 55 | 35 | false | true | true | false | 2.34 | 1.46 | 0.33 | Healthcare:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -15 | 20 | ECN2 | DealerAxed | 5 | 89 | -70 | 34 | HYCap>limit | Reduce | High-yield share above policy cap | 181 | Escalate watchlist names |
C00051 | CR7491 | 2025-07-15 | Stress | 198 | 730 | 5.8 | -0.3 | 734,371,138 | Industrials:8.0;RealEstate:20.9;Consumer:12.8;Financials:25.4;Utilities:32.9 | US:60.9;EU:13.9;APAC:11.0;EMEA:7.7;LATAM:6.4 | BB:9.1;A:44.1;CCC:15.5;AAA:31.4 | 5.32 | 61.9 | 162 | 326 | 15.7 | 2.5 | 20 | 45 | 20 | true | true | true | false | 0.72 | 0.18 | -0.08 | Industrials:EW | Hedge | CDX_HY: +141bps notional | 1 | 16 | ECN2 | Electronic | 3 | 95 | 180 | 100 | VAR>budget | Rotate | Portfolio VAR above budget | 118 | Rotate into defensive sectors |
C00052 | CR2090 | 2025-03-02 | Calm | 110 | 340 | 4.4 | 2.8 | 864,777,405 | Utilities:27.0;Materials:9.3;Healthcare:23.9;Tech:22.9;Energy:16.9 | US:66.7;EU:16.9;APAC:6.6;EMEA:7.8;LATAM:1.9 | A:11.3;AAA:42.1;AA:29.7;BB:11.2;B:5.6 | 7.01 | 28.6 | 128 | 293 | 2.8 | 2.5 | 35 | 35 | 30 | false | true | false | false | 0.48 | -0.26 | 0.3 | Tech:EW;Utilities:EW;Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -41 | -5 | ECN1 | DealerAxed | 2 | 96 | 241 | -208 | HYCap>limit | Hedge | High-yield share above policy cap | 139 | Escalate watchlist names |
C00053 | CR1975 | 2025-05-10 | Tightening | 96 | 465 | 5.2 | 0.8 | 2,278,268,789 | Financials:19.7;Healthcare:11.3;Comm:15.2;Energy:19.8;Materials:15.3;Consumer:18.7 | US:62.5;EU:17.6;APAC:13.5;EMEA:3.3;LATAM:3.0 | BBB:13.0;AA:42.8;AAA:18.7;CCC:6.8;B:9.4;BB:9.3 | 1.97 | 53.1 | 138 | 300 | 7.2 | 2 | 30 | 45 | 30 | false | true | false | false | 1.56 | 0.77 | 0.24 | null | Hedge | iTraxx_XOVER: +143bps notional | -17 | 24 | ECN2 | DealerAxed | 7 | 86 | -161 | 25 | VAR>budget | Rotate | Portfolio VAR above budget | 100 | Tighten HY exposure bands |
C00054 | CR6836 | 2025-09-22 | Calm | 94 | 296 | 4.2 | 1.6 | 2,306,172,055 | Financials:21.2;Healthcare:28.5;Consumer:17.2;Utilities:16.1;Energy:17.0 | US:77.0;EU:7.2;APAC:7.6;EMEA:5.8;LATAM:2.2 | A:26.6;CCC:8.1;B:21.4;BB:18.7;AAA:25.2 | 5.82 | 38 | 101 | 232 | 4.9 | 2.5 | 25 | 45 | 25 | true | true | true | false | 2.43 | 1.02 | -0.23 | null | Rotate | From Energy -1.0% to Utilities +1.0% | 7 | 13 | DealerA | All2All | 6 | 94 | -18 | -404 | Sector>limit | Rotate | Sector concentration above limit | 174 | Rotate into defensive sectors |
C00055 | CR0032 | 2025-03-04 | Calm | 114 | 317 | 4.4 | 2.2 | 1,026,205,338 | Utilities:11.2;Energy:28.6;Comm:12.4;Industrials:26.3;Healthcare:21.6 | US:60.2;EU:17.7;APAC:9.2;EMEA:6.5;LATAM:6.4 | B:21.9;BBB:13.2;BB:8.1;AAA:38.2;CCC:18.6 | 3.26 | 55.5 | 247 | 496 | 15.6 | 4 | 35 | 45 | 25 | false | true | true | true | 1.66 | -0.03 | 0.54 | RealEstate:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 0 | 5 | DealerA | DealerAxed | 10 | 92 | 136 | 42 | VAR>budget | Rotate | Portfolio VAR above budget | 119 | Rotate into defensive sectors |
C00056 | CR1451 | 2024-12-01 | Recovery | 159 | 478 | 4.6 | 1.4 | 1,500,568,834 | RealEstate:37.2;Industrials:38.8;Utilities:24.0 | US:68.5;EU:6.9;APAC:12.3;EMEA:4.9;LATAM:7.5 | A:25.1;CCC:16.6;AAA:15.0;BBB:24.9;AA:12.0;B:6.4 | 3.57 | 48.9 | 148 | 467 | 2.1 | 3 | 25 | 45 | 30 | true | true | false | false | 1.31 | -0.24 | 0.02 | null | Rotate | From Energy -1.0% to Utilities +1.0% | -10 | 15 | ECN1 | DealerAxed | 6 | 92 | 61 | -49 | VAR>budget | Reduce | Portfolio VAR above budget | 239 | Rotate into defensive sectors |
C00057 | CR2603 | 2025-08-25 | Recovery | 170 | 512 | 6.4 | 1.7 | 1,976,719,258 | Comm:16.3;Consumer:18.6;Materials:8.7;Tech:17.2;RealEstate:23.1;Healthcare:16.1 | US:63.4;EU:8.6;APAC:11.7;EMEA:10.8;LATAM:5.6 | BB:8.7;CCC:9.4;B:8.2;A:14.7;BBB:31.9;AA:27.1 | 3.19 | 22.3 | 233 | 394 | 11.9 | 4 | 20 | 55 | 25 | true | true | true | true | 0.56 | 1.74 | 0.46 | Industrials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -26 | 7 | ECN2 | DealerAxed | 7 | 94 | 294 | -65 | HYCap>limit | Reduce | High-yield share above policy cap | 104 | Defer adds pending macro print |
C00058 | CR5419 | 2024-08-29 | Stress | 172 | 727 | 6.5 | -1.3 | 2,622,913,341 | Healthcare:26.2;Comm:32.5;Utilities:41.3 | US:73.9;EU:5.7;APAC:13.0;EMEA:4.0;LATAM:3.3 | BBB:36.1;B:15.7;AAA:22.5;A:25.7 | 5.56 | 46 | 288 | 314 | 22.8 | 4 | 35 | 35 | 30 | true | true | false | true | 1.5 | 0.92 | 0.36 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 14 | -8 | DealerC | RFQ | 10 | 88 | 154 | -245 | Region>limit | Reduce | Regional concentration above limit | 168 | Rotate into defensive sectors |
C00059 | CR7154 | 2024-03-23 | Calm | 103 | 345 | 3.6 | 2.8 | 1,146,517,998 | Comm:14.8;Energy:16.2;Healthcare:23.1;RealEstate:20.5;Industrials:12.2;Tech:13.3 | US:57.1;EU:18.6;APAC:9.4;EMEA:11.8;LATAM:3.1 | AAA:18.9;B:4.3;BBB:23.1;BB:6.9;AA:31.8;A:15.1 | 5.6 | 64.3 | 177 | 305 | 14.8 | 2 | 35 | 35 | 20 | false | true | false | false | 1.98 | 0.63 | 0.06 | Healthcare:EW;Industrials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -32 | 29 | DealerB | DealerAxed | 10 | 90 | 206 | -46 | Region>limit | Hedge | Regional concentration above limit | 170 | Escalate watchlist names |
C00060 | CR6933 | 2025-05-16 | Stress | 192 | 786 | 6.2 | -0.3 | 188,911,316 | Industrials:40.0;Healthcare:32.8;Financials:27.2 | US:73.4;EU:9.1;APAC:11.4;EMEA:4.8;LATAM:1.3 | AAA:28.3;A:25.8;CCC:21.4;B:24.5 | 5.72 | 39.6 | 183 | 679 | 7.9 | 3 | 20 | 35 | 20 | true | true | true | false | 2.43 | -0.26 | 0.43 | Industrials:EW | Hedge | iTraxx_MAIN: +184bps notional | -3 | 6 | ECN1 | All2All | 10 | 91 | 174 | -293 | Region>limit | Hedge | Regional concentration above limit | 165 | Escalate watchlist names |
C00061 | CR9536 | 2024-09-20 | Calm | 75 | 378 | 3.6 | 2.6 | 1,756,588,905 | RealEstate:6.4;Utilities:25.0;Financials:28.4;Industrials:22.6;Consumer:17.6 | US:67.6;EU:12.6;APAC:6.1;EMEA:9.1;LATAM:4.6 | BB:30.1;AA:11.8;CCC:18.4;A:16.6;B:23.1 | 3.29 | 35.9 | 273 | 460 | 7.3 | 3.5 | 20 | 55 | 35 | true | true | true | true | -0.27 | -0.05 | -0.22 | Consumer:EW | Hedge | SingleName_CDS: +113bps notional | 7 | -6 | DealerA | RFQ | 1 | 86 | -32 | -282 | Region>limit | Hedge | Regional concentration above limit | 194 | Escalate watchlist names |
C00062 | CR9888 | 2024-03-06 | Recovery | 173 | 559 | 6.3 | 0.8 | 1,459,776,858 | Energy:26.1;Consumer:38.0;Financials:35.9 | US:71.0;EU:5.9;APAC:13.6;EMEA:3.9;LATAM:5.6 | B:41.5;CCC:16.6;A:10.8;AA:31.1 | 3.27 | 52.7 | 262 | 469 | 6.8 | 3.5 | 30 | 35 | 30 | true | true | true | true | 2.23 | 1.25 | -0.36 | Energy:EW | Hedge | iTraxx_MAIN: +124bps notional | -37 | -24 | DealerA | All2All | 5 | 91 | 161 | -116 | Region>limit | Hedge | Regional concentration above limit | 167 | Escalate watchlist names |
C00063 | CR2771 | 2024-01-30 | Calm | 94 | 362 | 3.8 | 2.7 | 1,408,311,512 | Consumer:18.0;Financials:22.8;Energy:13.1;Materials:6.8;Tech:19.9;Industrials:19.3 | US:62.4;EU:11.6;APAC:11.6;EMEA:8.0;LATAM:6.4 | AAA:24.1;BBB:29.5;B:29.5;CCC:17.0 | 6.22 | 36 | 142 | 431 | 5.8 | 3 | 30 | 55 | 20 | false | true | true | false | 0.28 | 1.75 | 0.25 | Tech:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -4 | 39 | ECN2 | RFQ | 5 | 86 | 82 | -419 | HYCap>limit | Hedge | High-yield share above policy cap | 185 | Tighten HY exposure bands |
C00064 | CR0496 | 2025-10-15 | Stress | 187 | 659 | 7.5 | -0.7 | 121,652,053 | Financials:23.1;RealEstate:32.3;Industrials:31.1;Utilities:13.5 | US:63.1;EU:10.9;APAC:15.4;EMEA:9.3;LATAM:1.3 | B:21.1;AA:11.3;CCC:31.2;AAA:20.4;BBB:16.0 | 0.57 | 30.2 | 295 | 607 | 11.7 | 2.5 | 30 | 45 | 25 | true | true | true | true | 1.34 | 1.22 | 0.16 | RealEstate:EW | Hedge | iTraxx_XOVER: +150bps notional | -39 | -22 | DealerB | Electronic | 8 | 97 | 422 | -102 | VAR>budget | Hedge | Portfolio VAR above budget | 106 | Defer adds pending macro print |
C00065 | CR5576 | 2024-01-25 | Stress | 180 | 820 | 6.8 | -1 | 364,292,907 | Industrials:7.8;Financials:15.9;RealEstate:16.4;Utilities:17.8;Healthcare:24.6;Materials:17.6 | US:64.6;EU:5.5;APAC:15.4;EMEA:9.9;LATAM:4.7 | AA:27.9;BB:19.2;A:9.9;AAA:19.3;BBB:23.6 | 2.99 | 24.5 | 230 | 539 | 16.1 | 3 | 20 | 55 | 25 | true | true | false | true | 0.02 | -0.19 | 0.38 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -4 | 0 | ECN2 | DealerAxed | 11 | 100 | 36 | -423 | Sector>limit | Reduce | Sector concentration above limit | 195 | Defer adds pending macro print |
C00066 | CR8558 | 2024-05-09 | Stress | 141 | 593 | 5.9 | -1.7 | 1,504,638,119 | Energy:26.3;Healthcare:11.9;Comm:16.4;Materials:17.3;Consumer:28.2 | US:71.7;EU:6.7;APAC:7.6;EMEA:11.5;LATAM:2.5 | CCC:8.1;AAA:22.0;BB:15.3;A:26.5;B:14.0;AA:14.3 | 6.05 | 27.3 | 273 | 491 | 16.6 | 2.5 | 35 | 35 | 25 | false | true | true | true | 1.35 | -0.04 | -0.35 | Tech:EW;Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 6 | 6 | DealerA | All2All | 2 | 92 | 354 | -226 | VAR>budget | Reduce | Portfolio VAR above budget | 162 | Reviewed by risk; hedges staggered |
C00067 | CR3845 | 2024-12-08 | Recovery | 174 | 479 | 5.2 | 0.6 | 1,937,164,528 | Materials:39.4;Energy:33.2;Healthcare:27.3 | US:66.9;EU:12.2;APAC:10.8;EMEA:6.2;LATAM:3.9 | BB:6.0;CCC:6.2;AA:18.4;AAA:17.4;A:24.7;BBB:27.2 | 5.29 | 34.1 | 126 | 127 | 16.1 | 2.5 | 30 | 45 | 20 | true | true | false | false | 2.35 | -0.06 | 0.15 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 14 | 23 | ECN2 | All2All | 2 | 85 | 377 | 164 | Region>limit | Reduce | Regional concentration above limit | 188 | Defer adds pending macro print |
C00068 | CR3652 | 2024-01-13 | Tightening | 113 | 457 | 4.1 | 1.2 | 2,079,255,075 | Comm:12.8;Utilities:14.3;Healthcare:23.4;Tech:19.1;RealEstate:12.8;Materials:17.8 | US:68.5;EU:12.9;APAC:9.4;EMEA:7.7;LATAM:1.4 | AAA:58.3;B:11.8;CCC:12.2;BB:17.6 | 7.42 | 56 | 230 | 460 | 6.5 | 2 | 20 | 45 | 20 | true | true | true | true | 0.13 | 0.28 | -0.18 | Industrials:EW;Comm:EW | Hedge | Treasury_Futures: +173bps notional | -53 | 14 | DealerA | All2All | 6 | 99 | 56 | -184 | HYCap>limit | Hedge | High-yield share above policy cap | 226 | Reviewed by risk; hedges staggered |
C00069 | CR9825 | 2024-01-27 | Calm | 119 | 282 | 4.1 | 2.3 | 2,174,564,944 | Utilities:31.7;Materials:34.1;Energy:18.3;Comm:15.9 | US:60.5;EU:16.3;APAC:16.0;EMEA:4.7;LATAM:2.6 | A:28.5;B:27.3;CCC:15.7;AA:28.6 | 5.44 | 24.6 | 256 | 223 | 16 | 4 | 30 | 55 | 25 | true | true | true | true | 1.34 | 1.7 | 0.03 | Materials:EW | Hedge | Treasury_Futures: +160bps notional | 4 | 44 | ECN2 | Electronic | 9 | 87 | 112 | 127 | Sector>limit | Rotate | Sector concentration above limit | 226 | Escalate watchlist names |
C00070 | CR9917 | 2024-04-23 | Calm | 116 | 302 | 4 | 2.5 | 2,721,845,629 | Consumer:15.5;Energy:18.3;Tech:19.9;Materials:25.0;Comm:21.4 | US:54.6;EU:18.2;APAC:12.7;EMEA:10.5;LATAM:3.9 | B:13.4;BBB:32.9;BB:4.8;CCC:10.1;AAA:15.6;A:23.2 | 2.82 | 38.8 | 117 | 198 | 13.8 | 2.5 | 25 | 35 | 25 | false | true | true | false | 1.64 | 0.6 | 0.46 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -55 | 11 | ECN2 | All2All | 7 | 85 | 334 | -196 | HYCap>limit | Hedge | High-yield share above policy cap | 106 | Reviewed by risk; hedges staggered |
C00071 | CR4574 | 2025-01-24 | Calm | 102 | 318 | 3.6 | 2.6 | 828,063,322 | Financials:21.0;Energy:13.0;Materials:17.0;Comm:20.3;Consumer:11.6;Industrials:17.1 | US:64.8;EU:7.9;APAC:14.0;EMEA:11.5;LATAM:1.8 | CCC:12.7;AA:9.8;BB:23.7;B:9.4;A:24.6;AAA:19.7 | 7.2 | 35.8 | 268 | 124 | 14.9 | 3.5 | 25 | 35 | 35 | false | true | true | true | 0.06 | 0.43 | 0.01 | Financials:EW | Hedge | Options_Payer: +138bps notional | 5 | 28 | ECN1 | RFQ | 4 | 92 | 303 | -13 | Region>limit | Reduce | Regional concentration above limit | 95 | Escalate watchlist names |
C00072 | CR1306 | 2025-08-01 | Tightening | 127 | 401 | 3.9 | 1.2 | 1,129,194,349 | Comm:28.8;RealEstate:20.2;Tech:51.0 | US:68.8;EU:8.1;APAC:10.7;EMEA:7.5;LATAM:4.9 | BB:20.6;BBB:10.5;CCC:25.3;AA:18.3;AAA:25.3 | 1.71 | 31.9 | 234 | 261 | 18 | 3 | 20 | 55 | 20 | true | true | true | true | 1.87 | 1.13 | 0.36 | Materials:EW;Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -58 | 0 | ECN1 | DealerAxed | 6 | 89 | 249 | -106 | Region>limit | Rotate | Regional concentration above limit | 113 | Rotate into defensive sectors |
C00073 | CR9102 | 2024-04-21 | Calm | 120 | 384 | 3.4 | 2.3 | 784,416,133 | Comm:30.0;Energy:43.4;Healthcare:26.6 | US:68.8;EU:5.7;APAC:7.3;EMEA:11.6;LATAM:6.5 | B:13.3;AA:13.0;A:17.8;BB:13.3;BBB:15.3;AAA:27.3 | 5.98 | 59.2 | 249 | 458 | 2.3 | 3.5 | 25 | 35 | 20 | true | true | true | true | 0.72 | 0.74 | 0.1 | Consumer:EW;Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -33 | -23 | ECN1 | RFQ | 6 | 91 | 159 | -414 | Sector>limit | Hedge | Sector concentration above limit | 118 | Defer adds pending macro print |
C00074 | CR7243 | 2024-09-06 | Calm | 79 | 341 | 3.8 | 1.9 | 116,697,189 | Healthcare:23.5;Energy:24.3;Comm:13.3;Industrials:17.0;Financials:21.9 | US:65.0;EU:16.5;APAC:9.0;EMEA:3.1;LATAM:6.4 | BB:31.8;A:19.4;B:28.4;BBB:20.3 | 2.46 | 61.3 | 102 | 308 | 2.7 | 2.5 | 20 | 35 | 35 | true | true | true | false | 0.4 | 1.23 | -0.38 | Utilities:EW | Hedge | Options_Payer: +197bps notional | -33 | 45 | DealerA | Electronic | 3 | 97 | 146 | 47 | Sector>limit | Reduce | Sector concentration above limit | 238 | Defer adds pending macro print |
C00075 | CR8954 | 2025-05-07 | Calm | 103 | 304 | 3.9 | 1.9 | 360,627,482 | Energy:31.5;Materials:22.6;Industrials:17.7;Utilities:18.5;RealEstate:9.7 | US:73.1;EU:9.4;APAC:9.1;EMEA:5.4;LATAM:3.0 | B:15.2;AAA:18.9;BB:42.9;BBB:22.9 | 6.33 | 60.5 | 138 | 303 | 4.5 | 4 | 30 | 35 | 35 | true | true | true | false | 1.17 | 0.21 | -0.27 | RealEstate:EW;Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 6 | 40 | DealerB | RFQ | 8 | 95 | 223 | -213 | HYCap>limit | Hedge | High-yield share above policy cap | 203 | Reviewed by risk; hedges staggered |
C00076 | CR5952 | 2025-09-18 | Calm | 106 | 294 | 4.2 | 1.8 | 709,023,797 | Industrials:17.7;Consumer:61.1;Tech:21.1 | US:65.4;EU:6.6;APAC:11.9;EMEA:11.6;LATAM:4.5 | CCC:8.8;AA:22.9;BBB:14.7;A:20.5;BB:33.1 | 4.59 | 60.7 | 239 | 401 | 7 | 3 | 20 | 55 | 30 | true | true | true | true | 0.66 | 0.58 | -0.37 | Healthcare:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 10 | 41 | DealerB | Electronic | 6 | 98 | -22 | 98 | HYCap>limit | Rotate | High-yield share above policy cap | 190 | Escalate watchlist names |
C00077 | CR4722 | 2025-05-10 | Calm | 67 | 363 | 3.9 | 2.6 | 425,453,059 | Energy:26.6;Consumer:31.0;Healthcare:18.1;Industrials:12.7;Comm:11.5 | US:61.8;EU:9.3;APAC:14.1;EMEA:6.8;LATAM:8.0 | BB:20.7;CCC:12.0;BBB:44.0;AA:23.4 | 6.49 | 41.4 | 129 | 508 | 14 | 3 | 20 | 45 | 25 | true | true | true | false | 2.45 | 1.53 | -0.1 | Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -23 | 43 | DealerB | DealerAxed | 9 | 100 | -168 | -227 | Sector>limit | Rotate | Sector concentration above limit | 197 | Defer adds pending macro print |
C00078 | CR0687 | 2025-11-23 | Tightening | 98 | 426 | 4.6 | 0.8 | 2,580,066,591 | RealEstate:18.0;Tech:20.4;Industrials:9.4;Materials:38.1;Energy:14.2 | US:63.8;EU:19.5;APAC:7.9;EMEA:6.1;LATAM:2.8 | BBB:33.2;AAA:30.1;AA:14.2;CCC:13.4;BB:9.2 | 7.23 | 32.4 | 122 | 217 | 6 | 3.5 | 30 | 55 | 20 | true | true | true | false | -0.35 | 1.08 | 0.09 | RealEstate:EW;Tech:EW;Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -31 | 37 | ECN1 | DealerAxed | 1 | 90 | -135 | -242 | VAR>budget | Hedge | Portfolio VAR above budget | 221 | Reviewed by risk; hedges staggered |
C00079 | CR0733 | 2024-05-14 | Stress | 234 | 677 | 7.7 | 0.7 | 1,485,519,447 | Financials:32.8;RealEstate:40.5;Comm:26.7 | US:63.8;EU:17.2;APAC:6.3;EMEA:10.3;LATAM:2.2 | A:21.9;BBB:17.6;BB:15.6;AAA:21.2;B:9.5;CCC:14.3 | 6.37 | 45.6 | 282 | 567 | 16 | 3 | 25 | 35 | 20 | true | true | true | true | 0.49 | 0.19 | -0.1 | Utilities:EW | Hedge | Treasury_Futures: +169bps notional | 17 | 26 | DealerC | DealerAxed | 9 | 89 | -102 | -203 | VAR>budget | Rotate | Portfolio VAR above budget | 219 | Escalate watchlist names |
C00080 | CR6076 | 2025-05-24 | Tightening | 100 | 504 | 4.9 | 0.7 | 2,864,479,208 | Energy:19.6;Consumer:15.7;Utilities:23.9;Financials:11.9;Comm:28.9 | US:59.8;EU:13.7;APAC:8.0;EMEA:12.3;LATAM:6.2 | BBB:19.1;AA:23.8;BB:13.6;AAA:19.7;B:10.1;CCC:13.6 | 4.06 | 55.9 | 134 | 317 | 17.6 | 4 | 25 | 55 | 30 | true | true | true | false | 1.89 | 1.29 | 0.42 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -52 | -25 | DealerB | Electronic | 4 | 90 | 320 | -219 | Sector>limit | Rotate | Sector concentration above limit | 124 | Reviewed by risk; hedges staggered |
C00081 | CR0677 | 2025-02-12 | Stress | 159 | 568 | 7.6 | -1.8 | 2,761,319,376 | Tech:30.5;RealEstate:33.8;Materials:35.7 | US:61.6;EU:12.9;APAC:14.0;EMEA:3.5;LATAM:8.1 | A:23.4;AAA:38.6;BB:13.4;B:9.2;CCC:15.4 | 3.99 | 20.8 | 131 | 273 | 17.7 | 4 | 30 | 45 | 30 | true | true | true | false | -0.47 | 1.03 | 0.43 | Financials:EW;Comm:EW;Industrials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -57 | -5 | DealerB | All2All | 1 | 91 | 345 | -342 | VAR>budget | Reduce | Portfolio VAR above budget | 259 | Reviewed by risk; hedges staggered |
C00082 | CR0563 | 2025-10-29 | Calm | 69 | 318 | 3.5 | 2.5 | 1,748,151,950 | Utilities:23.0;Materials:17.4;Energy:20.9;Tech:6.7;RealEstate:17.2;Industrials:14.8 | US:61.5;EU:11.7;APAC:9.3;EMEA:10.4;LATAM:7.0 | A:8.5;BBB:16.9;B:30.6;AAA:19.3;CCC:11.1;BB:13.5 | 2.22 | 53.7 | 139 | 476 | 12.6 | 4 | 35 | 35 | 35 | false | true | true | false | -0.16 | -0.1 | -0.14 | RealEstate:EW | Rotate | From Energy -1.0% to Utilities +1.0% | 3 | -21 | DealerA | All2All | 11 | 100 | 53 | -401 | HYCap>limit | Hedge | High-yield share above policy cap | 185 | Tighten HY exposure bands |
C00083 | CR9648 | 2025-09-23 | Calm | 98 | 362 | 3.7 | 2.5 | 190,063,324 | Industrials:7.5;RealEstate:26.6;Consumer:30.0;Energy:19.3;Utilities:16.6 | US:67.9;EU:16.1;APAC:9.9;EMEA:4.4;LATAM:1.7 | B:27.3;AAA:17.1;BBB:17.7;A:21.1;AA:16.9 | 0.42 | 43 | 193 | 236 | 10.4 | 4 | 30 | 45 | 25 | false | true | true | false | 1.01 | 1.41 | 0.33 | Materials:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -12 | 35 | DealerB | RFQ | 4 | 85 | 414 | -219 | VAR>budget | Reduce | Portfolio VAR above budget | 98 | Escalate watchlist names |
C00084 | CR8717 | 2025-07-30 | Recovery | 149 | 432 | 6.1 | 1.7 | 1,721,277,250 | Energy:23.2;Utilities:27.0;Industrials:23.9;Healthcare:25.9 | US:53.8;EU:20.4;APAC:13.1;EMEA:6.9;LATAM:5.8 | CCC:26.4;BB:19.0;AAA:18.4;B:26.6;AA:9.6 | 5.69 | 27.3 | 163 | 275 | 16.7 | 2.5 | 30 | 45 | 35 | false | true | true | false | -0.5 | 1.31 | 0.31 | null | Hedge | Options_Payer: +157bps notional | -53 | 20 | DealerA | RFQ | 4 | 94 | 166 | -406 | HYCap>limit | Hedge | High-yield share above policy cap | 154 | Tighten HY exposure bands |
C00085 | CR7279 | 2024-09-12 | Tightening | 101 | 519 | 4.2 | 1.9 | 1,890,287,633 | Tech:12.5;RealEstate:38.3;Industrials:24.4;Utilities:24.9 | US:66.0;EU:12.5;APAC:13.7;EMEA:4.2;LATAM:3.6 | BBB:32.0;A:8.3;BB:39.7;AA:20.1 | 1.76 | 56.8 | 80 | 412 | 6.4 | 4 | 35 | 35 | 35 | true | true | true | false | 0.24 | 0.61 | -0.01 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -41 | 1 | DealerA | DealerAxed | 0 | 90 | 264 | -297 | VAR>budget | Rotate | Portfolio VAR above budget | 130 | Escalate watchlist names |
C00086 | CR0584 | 2025-01-11 | Stress | 147 | 770 | 8.3 | -0.5 | 439,033,907 | Utilities:36.2;Energy:41.4;RealEstate:22.3 | US:59.7;EU:17.2;APAC:10.5;EMEA:9.9;LATAM:2.6 | A:13.1;AA:45.4;B:29.4;CCC:12.0 | 6.05 | 32.7 | 364 | 469 | 5.7 | 2 | 25 | 45 | 25 | true | true | true | true | 1.13 | 0.23 | 0.56 | Utilities:EW;Comm:EW;Industrials:EW | Hedge | Options_Payer: +105bps notional | -56 | 4 | ECN1 | Electronic | 0 | 91 | 109 | -396 | HYCap>limit | PauseAdds | High-yield share above policy cap | 234 | Reviewed by risk; hedges staggered |
C00087 | CR3562 | 2024-11-05 | Tightening | 146 | 373 | 4.4 | 0.7 | 2,993,667,729 | Utilities:9.8;Healthcare:15.4;Industrials:17.5;Energy:23.3;Tech:34.0 | US:65.9;EU:10.7;APAC:12.1;EMEA:6.0;LATAM:5.3 | CCC:26.4;B:12.1;AAA:24.3;BBB:16.1;BB:11.6;AA:9.4 | 4.3 | 46 | 135 | 513 | 6.6 | 2 | 30 | 45 | 30 | true | true | true | false | 1 | 1.28 | 0.23 | Industrials:EW;Comm:EW | Hedge | iTraxx_MAIN: +115bps notional | -29 | 5 | ECN2 | Electronic | 8 | 99 | 29 | -91 | Sector>limit | Rotate | Sector concentration above limit | 108 | Reviewed by risk; hedges staggered |
C00088 | CR5420 | 2025-10-23 | Calm | 116 | 390 | 4 | 2.6 | 2,896,616,940 | Healthcare:34.5;Financials:25.9;RealEstate:9.7;Industrials:29.8 | US:74.3;EU:8.6;APAC:8.0;EMEA:7.3;LATAM:1.8 | A:15.9;AA:11.3;AAA:11.6;CCC:16.3;BBB:20.8;B:24.2 | 3.97 | 25.6 | 212 | 381 | 10.4 | 4 | 35 | 55 | 30 | false | true | true | true | 1.96 | 0.73 | -0.2 | null | Hedge | CDX_IG: +128bps notional | -7 | 1 | ECN2 | Electronic | 0 | 85 | 227 | -283 | HYCap>limit | Hedge | High-yield share above policy cap | 111 | Escalate watchlist names |
C00089 | CR7774 | 2024-02-24 | Calm | 93 | 334 | 3.7 | 2.1 | 2,489,894,238 | RealEstate:16.1;Consumer:27.5;Industrials:31.8;Comm:24.6 | US:62.3;EU:14.2;APAC:11.4;EMEA:11.5;LATAM:0.6 | A:19.9;CCC:17.6;AA:31.9;BB:18.5;B:12.1 | 7.08 | 30.2 | 160 | 355 | 7.5 | 3.5 | 20 | 35 | 30 | true | true | true | false | 1.11 | 0.29 | -0.08 | Materials:EW;Consumer:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -17 | -25 | DealerC | Electronic | 3 | 100 | 179 | -40 | HYCap>limit | Hedge | High-yield share above policy cap | 201 | Rotate into defensive sectors |
C00090 | CR5340 | 2024-12-23 | Recovery | 131 | 536 | 6.3 | 0.3 | 336,910,624 | Consumer:24.5;Comm:18.5;Healthcare:12.5;Energy:22.2;Utilities:10.0;Industrials:12.3 | US:68.5;EU:11.7;APAC:8.0;EMEA:6.2;LATAM:5.6 | AAA:8.7;CCC:22.1;AA:13.4;BB:12.6;A:16.4;BBB:26.8 | 6.84 | 47.5 | 81 | 224 | 8 | 2.5 | 25 | 55 | 30 | false | true | true | false | 1.28 | 1.29 | -0.14 | Comm:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -45 | 10 | DealerB | DealerAxed | 2 | 92 | 311 | 58 | HYCap>limit | Hedge | High-yield share above policy cap | 107 | Reviewed by risk; hedges staggered |
C00091 | CR2460 | 2025-03-23 | Tightening | 116 | 511 | 4.2 | 1.5 | 174,836,363 | Industrials:25.1;Consumer:21.1;Financials:13.2;Healthcare:40.6 | US:64.7;EU:14.1;APAC:5.7;EMEA:9.6;LATAM:5.9 | BB:26.4;BBB:21.8;AA:18.7;B:8.5;AAA:24.7 | 0.73 | 47.1 | 229 | 425 | 4.4 | 3.5 | 35 | 55 | 35 | true | true | false | true | 0.49 | 0.72 | 0.59 | Utilities:EW;Healthcare:EW;Comm:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -60 | 44 | ECN2 | DealerAxed | 3 | 88 | 71 | -56 | Sector>limit | Hedge | Sector concentration above limit | 189 | Escalate watchlist names |
C00092 | CR9362 | 2024-02-03 | Recovery | 110 | 546 | 5.5 | -0.1 | 2,955,178,772 | Materials:22.6;Financials:15.9;RealEstate:24.8;Industrials:36.7 | US:68.0;EU:14.1;APAC:6.6;EMEA:10.1;LATAM:1.3 | BBB:19.9;AAA:29.9;B:7.4;CCC:10.7;A:32.1 | 1.84 | 25.5 | 189 | 502 | 11.6 | 3 | 20 | 45 | 20 | true | true | false | false | 0.94 | 1.39 | 0.43 | Consumer:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -25 | 32 | DealerC | DealerAxed | 0 | 98 | 378 | 5 | HYCap>limit | Rotate | High-yield share above policy cap | 240 | Reviewed by risk; hedges staggered |
C00093 | CR9182 | 2024-07-17 | Calm | 107 | 383 | 3.4 | 1.7 | 629,312,285 | Tech:35.8;Energy:23.4;Healthcare:30.0;Consumer:10.8 | US:76.2;EU:9.5;APAC:7.2;EMEA:6.9;LATAM:0.3 | BB:18.8;A:14.3;AA:15.8;BBB:29.6;CCC:7.0;B:14.5 | 1.71 | 21.7 | 197 | 181 | 14.9 | 4 | 30 | 35 | 20 | true | true | true | false | 1.03 | 0.74 | 0.28 | RealEstate:EW;Financials:EW | Hedge | Options_Payer: +67bps notional | 14 | 9 | ECN1 | All2All | 2 | 100 | 3 | -392 | VAR>budget | Hedge | Portfolio VAR above budget | 199 | Escalate watchlist names |
C00094 | CR1334 | 2024-03-23 | Stress | 141 | 801 | 7.1 | -0.4 | 1,889,458,764 | Industrials:17.5;Consumer:22.3;Healthcare:11.0;Financials:20.1;Tech:19.3;Comm:9.7 | US:66.5;EU:19.5;APAC:8.6;EMEA:3.6;LATAM:1.8 | A:29.6;AAA:38.7;CCC:19.9;B:11.8 | 6 | 30 | 284 | 449 | 13.5 | 2 | 35 | 45 | 30 | false | true | true | true | 1.26 | -0.28 | 0.04 | null | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -55 | 34 | DealerC | RFQ | 3 | 95 | -128 | 110 | VAR>budget | PauseAdds | Portfolio VAR above budget | 156 | Tighten HY exposure bands |
C00095 | CR1551 | 2024-09-23 | Recovery | 166 | 427 | 5.6 | -0.2 | 395,823,360 | Energy:29.6;Financials:45.1;RealEstate:25.4 | US:69.3;EU:14.8;APAC:5.2;EMEA:6.7;LATAM:4.0 | CCC:10.1;A:21.4;AAA:22.1;BB:10.1;AA:36.4 | 0.72 | 44.6 | 238 | 153 | 9.4 | 3.5 | 25 | 55 | 20 | true | true | true | true | 0.7 | 0.53 | -0.02 | Financials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -13 | 43 | DealerB | All2All | 2 | 98 | -67 | -442 | HYCap>limit | Hedge | High-yield share above policy cap | 188 | Reviewed by risk; hedges staggered |
C00096 | CR0804 | 2024-02-05 | Tightening | 90 | 449 | 4.1 | 1.4 | 1,884,393,024 | Healthcare:14.4;Tech:7.2;Energy:19.7;Consumer:18.9;Comm:19.7;RealEstate:20.2 | US:67.6;EU:17.5;APAC:9.6;EMEA:4.8;LATAM:0.4 | BBB:38.3;AA:11.1;A:12.7;BB:21.7;CCC:16.2 | 6.32 | 48.9 | 144 | 285 | 17.6 | 3 | 30 | 35 | 25 | false | true | true | false | 0.14 | 1.53 | -0.2 | Materials:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | 6 | -1 | ECN2 | RFQ | 10 | 98 | 247 | 61 | VAR>budget | Reduce | Portfolio VAR above budget | 240 | Defer adds pending macro print |
C00097 | CR9996 | 2024-05-16 | Calm | 111 | 335 | 4.2 | 1.9 | 445,611,717 | Financials:22.8;Healthcare:20.4;Tech:13.2;Materials:15.1;Energy:28.5 | US:73.0;EU:15.0;APAC:7.8;EMEA:3.8;LATAM:0.5 | BBB:25.0;AAA:17.9;BB:32.7;A:24.3 | 5.71 | 49 | 108 | 198 | 8.5 | 3 | 25 | 45 | 25 | true | true | true | false | 0.71 | 1.42 | -0.36 | Energy:EW | Reduce | Cut HY -1.0%; Trim stretched sector -0.5% | -47 | -5 | DealerC | RFQ | 12 | 96 | 177 | -135 | Sector>limit | Reduce | Sector concentration above limit | 156 | Tighten HY exposure bands |
C00098 | CR9734 | 2024-04-05 | Stress | 229 | 763 | 5.7 | -0 | 530,629,719 | Energy:21.0;Industrials:20.8;Consumer:11.7;Healthcare:25.0;RealEstate:21.5 | US:73.2;EU:7.5;APAC:13.0;EMEA:5.9;LATAM:0.4 | AA:22.2;BB:49.3;BBB:11.1;B:17.4 | 6.03 | 49.3 | 140 | 432 | 20 | 3.5 | 20 | 55 | 35 | true | true | true | false | 1.3 | 1.78 | -0.27 | RealEstate:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -34 | 35 | DealerC | RFQ | 0 | 86 | -137 | -110 | HYCap>limit | Hedge | High-yield share above policy cap | 259 | Defer adds pending macro print |
C00099 | CR2544 | 2025-04-20 | Tightening | 156 | 450 | 4.1 | 0.7 | 2,172,017,627 | Consumer:23.5;Comm:14.0;Tech:21.7;Energy:21.9;Utilities:12.9;Financials:6.1 | US:61.9;EU:17.2;APAC:8.7;EMEA:10.5;LATAM:1.7 | AAA:28.1;BBB:16.4;A:32.4;BB:5.8;B:17.3 | 1.9 | 56.8 | 88 | 269 | 5.7 | 3.5 | 20 | 55 | 25 | true | true | false | false | 0.69 | 0.41 | 0.02 | Consumer:EW | Rotate | From Energy -1.0% to Utilities +1.0% | -46 | 7 | ECN1 | All2All | 9 | 98 | 120 | 7 | Region>limit | Reduce | Regional concentration above limit | 233 | Escalate watchlist names |
C00100 | CR3775 | 2024-07-22 | Tightening | 100 | 471 | 4.4 | 1.3 | 1,520,824,575 | Industrials:23.8;Materials:18.1;Consumer:14.7;Energy:43.4 | US:56.6;EU:21.3;APAC:5.5;EMEA:11.8;LATAM:4.8 | BBB:13.6;A:25.5;AAA:22.0;BB:30.4;AA:8.6 | 1.83 | 23.2 | 191 | 121 | 15.9 | 2.5 | 20 | 45 | 35 | true | true | false | false | -0.4 | 0.87 | 0.28 | Comm:EW | Hedge | SingleName_CDS: +151bps notional | 2 | -24 | DealerC | DealerAxed | 1 | 86 | 148 | -429 | HYCap>limit | Reduce | High-yield share above policy cap | 249 | Reviewed by risk; hedges staggered |
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