credit high yield investment grade

What’s Going On With Credit Vol.?

"...the tail risk associated with the bond trade unwind has become more visible."

"...the tail risk associated with the bond trade unwind has become more visible."
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2 comments on “What’s Going On With Credit Vol.?

  1. Flip a Bip

    It’s interesting to me HYG & JNK have held strong despite the strong, unidirectional outflows. Count me among those who believed this recent bout of vol would be enough to shake up those products. The ETFs seemingly did not substantially deviate from NAV, so those APs were still facilitating the outflows of underlying bonds. Somebody is still buying.

    One interesting trend that I’ve been noticing are Bank ownership %s. As of last reported holdings, Banks hold 9.0% and 8.8% of HYG and JNKs float, respectively, an increase from 3Q’s 4.4% and 7.0%. This represents the highest % ownership from banks since 2010, when the funds first came to market. The latest holding %s predate the shake up, so it would be interesting to see if they back-stopped some of the selling to ease the burden off the APs.

  2. Big Stevie

    H,

    Great insights. Thanks for continuing to focus on what’s happening in the credit markets. They are critically important.

    That seems to be where the uber-smart money is — and distant early warnings can usually be found. So we have bleeding and anxiety, but thus far no blow-up or “visible stress” as Aleksandar Kocic puts it.

    Staying tuned…

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