High Yield ETF Volume and Flows Update

Charts of the Week — June 6, 2018

Markets By Ryan Malo

High yield ETF volume and flows update

The blue line in the chart below shows the 50-day moving average of high yield bond volume currently stands at $7.44 billion.

The green line shows the 50-day value of all high-yield ETF trading. This totals about 30 ETFs with BlackRock’s iShares iBoxx High Yield Corporate Bond ETF (HYG) and Bloomberg Barclay’s High Yield Bond ETF (JNK) accounting for roughly two-thirds of this total.

The red line shows high yield ETF dollar volume as a percentage of underlying cash volume. ETFs now account for 25% of the volume of the cash market. This metric was essentially zero in 2008.

 

 

The chart below shows year-to-date flows into high yield ETFs.

  • The top panel (black) shows the Bloomberg high yield option-adjusted spread (OAS). It is plotted inversely to mimic price.
  • The second panel (blue) shows the cumulative flows into high yield ETFs.
  • The third panel (red) shows the change in assets since January 1 in all high yield ETFs.
  • The bottom panel (green) subtracts the cumulative flows (blue) from total assets (red) to show a running P&L for the year-to-date flows.