– 15% of high yield bonds trade with a yield higher than 10%
– Retail investors have in recent weeks been selling IG and HY, and put volumes on IG and HY ETFs remain very elevated
– Corporate leverage has been declining since the pandemic
– IG and HY index durations are coming down; i.e. credit is becoming less sensitive to rising rates
– Measures of bond market liquidity show liquidity is much worse in UK bond markets than in the US, EU, and Germany
– Default rates on credit cards and auto loans are normalizing to pre-pandemic levels
Source: FINRA Trace, Bloomberg, Apollo Chief EconomistSource: Bloomberg, Apollo Chief EconomistSource: Bloomberg, Apollo Chief Economist. Note: Data used for members in the LBUSTRUU Index as of 1st March 2023Source: Bloomberg, Apollo Chief Economist. Note: HY bond universe is H0A0 IndexSource: Bloomberg, Apollo Chief Economist. Note: Tickers used HYG US Equity and LQD US EquitySource: Bloomberg, Apollo Chief EconomistSource: ICE BofA, Bloomberg, Apollo Chief Economist. Note: Index used C0A0 IndexSource: FRB, Haver Analytics, Apollo Chief EconomistSource: Bloomberg, Apollo Chief Economist. Note: The measure used is modified duration, which measures the expected change in a bond’s price to a 1% change in interest ratesSource: Bloomberg, Apollo Chief Economist. Note: The measure used is modified duration, which measures the expected change in a bond’s price to a 1% change in interest ratesSource: Bloomberg, Apollo Chief Economist. Note: The index displays the average yield error across the universe of government notes and bonds with remaining maturity 1-year or greater, based off the intra-day Bloomberg relative value curve fitter. When liquidity conditions are favorable the average yield errors are small as any dislocations from fair values are normalized within a short time frame. Average yield error is defined as an aggregate measure for dislocations in Treasury securities across the curve.Source: S&P, Bloomberg, Apollo Chief Economist
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