UST 10Y4.220+0.002UST 2Y4.605-0.007IG OAS108-2HY OAS322-1.77CDX IG54.1-0.8CDX HY341-1.27MOVE98.9+0.46VIX13.3+0.14DXY104.23+0.05VTC NAV78.94-0.64UST 10Y4.220+0.002UST 2Y4.605-0.007IG OAS108-2HY OAS322-1.77CDX IG54.1-0.8CDX HY341-1.27MOVE98.9+0.46VIX13.3+0.14DXY104.23+0.05VTC NAV78.94-0.64

Layer 2 · ETF basket screening

Basket Guard

Every custom and standard create or redeem is screened against the live watchlist before the cutoff. The point is to stop the fund taking in bonds with something going on in the name, and to stop it delivering out paper it just bought — without relying on manual intervention against t-1 data.

Cutoff 18:45 ET4 orders in window

Gross activity today

$1.25B

Corporate + agg suite

Large custom orders

8

20+ unit creates / redeems

Flagged basket lines

6

Matched to live watchlist

Value captured YTD

$62.4mm

Against $75mm annual case

Order queue

Pre-cutoff

VCIT custom redeem

ORD-88213
42 units · $214.6mm · cutoff 18:45 ET

Custom redeem asks the fund to hand out its cleanest paper and keep two flagged names. Two lines carry live watchlist flags with 1.3x index weight concentration.

LineCUSIPNotionalvs indexFlagVerdict

CVS 5.05 03/32

Negative outlook, one notch from crossover — refuse retention at 1.6x index weight.

126650DP4$18.4mm+62 bpWL-3309REJECT

EIX 5.75 06/34

Desk wildfire rule live; liability reassessment risk across CA IOUs.

281020BC3$9.1mm+41 bpWL-3302REJECT

AAPL 4.85 02/36

Deepest liquidity in the sleeve — do not deliver out; substitute lower-quality equivalents.

037833EK9$41.2mm-18 bp—SUBSTITUTE

GS 5.35 11/33

At index weight, no live flag.

38141GYG4$22.7mm+4 bp—ACCEPT

Verdicts are agent recommendations against the live watchlist and current index weights; the desk retains acceptance.

Suite exposure

Gross $mm today · live flags
VCIT$412mm

Intermediate-Term Corporate

4 flags
VCSH$268mm

Short-Term Corporate

2 flags
VCLT$141mm

Long-Term Corporate

3 flags
BSV$96mm

Short-Term Bond

1 flag
BIV$88mm

Intermediate-Term Bond

1 flag
BLV$57mm

Long-Term Bond

2 flags
BND$184mm

Total Bond Market

1 flag