That posture is now five% with the portfolio money-clever, they would say, although the overall portfolio really shrunk. That also means overall portfolio is down 5% (this information just isn't shared). Take into consideration multiplying this very simple example 50 times for 50 open positions like this one, and https://financefeeds.com/cme-group-goes-live-with-high-yield-duration-hedged-credit-futures/