credit high yield

In High Yield: Exodus

"Big league".

Well, we've reached that listless holiday nadir when even Bloomberg has run out of shit to talk about and so you get the exceedingly rare "paid programming" on BBG TV. Right now, it's a fun TIME Life add for a "Golden Oldies" album. I've got a longer piece coming out elsewhere later today (hopefully) on this subject so I won't get too deep in the weeds with it here, but in light of the post we ran here earlier on the extent to which, as Deutsche Bank puts it, "the next nexus of risk is the credit space," I wanted to draw your attention to a pretty incredible chart from BofAML. As noted in the piece linked above, outflows from corporate credit ETFs, and particularly from HY vehicles, have the potential to feed back into the source where the source is a VIX spike. You can read the excerpts yourself, but the gist of it is as follows according to Deutsche's models: a 1 point rise in VIX is worth -0.6% to IG ETFs in aggregate, and -1.3% to the universe of HY funds and; a 1% m/m selloff in IG ETFs is consistent with a 1.9% decline in IG ETF AUM (currently about $130bn), meaning a 0.9% liquidation; for HY ETFS, a 1% sell-off equates to a 2.8% drop in ETF AUM (currently about $45bn),
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1 comment on “In High Yield: Exodus

  1. Lance Manly says:

    >Right now, it’s a fun TIME Life add for a “Golden Oldies”

    Awesome is it Give ‘Em Enough Rope? You have to love “Julie’s Been Working For The Drug Squad” https://www.youtube.com/watch?v=Bj-xhYw0aeI

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