Pricing and Liquidity of Fixed Income ETFs in the Covid-19 Crisis of 2020
Price Discovery:
Intraday Intrinsic Value?
●
●
What Is Intraday Intrinsic Value?
Bottoms-up, bond-by-bond valuation,
calculated throughout the day.
12-factor intraday bond valuation
model developed by BlackRock in 2015.
Intrinsic Value Offers an Intraday
Estimate of ETF Premium/
Discount
On March 24th: HYG traded at 2.4%
closing premium to NAV, but only a
0.4% average intraday premium to
Intrinsic Value.
BlackRock
Price (USD)
88
85
82
79
76
73
70
67
8.0%
6.0%
4.0%
2.0%
0.0%
-2.0%
-4.0%
-6.0%
-8.0%
flow at T (right axis)
H
iShares HYG ETF
P/D to NAV at T-1
iShares IV
3/2
3/3
3/4
3/5
3/6
3/9
3/10
3/11
3/12
3/13
3/16
3/17
3/18
3/19
ETF Price
W
3/20
3/23
3/24
3/25
iShares HYG ETF
P/D to iShares IV
NAV at T-1
1,200
3/26
3/27
3/30
3/31
As of 6/26/2020. Source: BlackRock, Bloomberg and Refinitiv.
3/5
3/6
3/9
3/10
주 3/11
3/12
3/13
3/16
3/17
3/18
3/19
3/20
3/23
3/24
3/25
3/26
3/27
3/30
3/31
900
600
ICRMH0920U-1319728-5/13
300
0
(300)
ETF b/a spread (right axis)
16
14
12
10
(600)
(900)
W
8
6
+
NO
2
Primary Market Activity (million USD)
b/a Spread (bps)View entire presentation