Pricing and Liquidity of Fixed Income ETFs in the Covid-19 Crisis of 2020
How Did Fixed Income ETFs Behave During the Covid-19 Crisis?
Fixed income ETFs generally performed as expected and provided an
alternate source of liquidity for challenged bond markets.
We demonstrate this by evaluating the
following dynamics:
1
2
Market participants turned to fixed income ETFs for price discovery.
3
Pricing - Fixed income ETFs
reflected real-time value
Liquidity - Fixed income ETFs were
efficient to trade
The Arbitrage Mechanism -
performed as expected.
BlackRock
iShares iBoxx $ High Yield Corporate Bond ETF (HYG)
secondary volume vs. Cboe Volatility Index
Secondary Volume ($bn)
776 00
43
2
1
Jan 2019
Jan 2020
May 2019
Sep 2019
HYG secondary volume
Source: BlackRock, Bloomberg (data as of March 24, 2020)
VIX
90
80
70
60
50
40
30
20
10
0
ICRMH0920U-1319728-2/13
VIX IndexView entire presentation