Pricing and Liquidity of Fixed Income ETFs in the Covid-19 Crisis of 2020
Price Discovery:
During the height of the volatility in March 2020, bond ETFs posted large
price discounts from Net Asset Value (NAV).
Are Large Premiums and
Discounts to NAV
Problematic?
There is information
value.
Average Absolute Stated
Premium / Discount to NAV
TLT
LQD
HYG
NO.
BlackRock
January-
February
0.13%
0.13%
0.21%
March-
April
0.86%
1.39%
1.06%
Source: BlackRock, based on data from Bloomberg as of 4/30/2020.
Price ($)
105
100
95
90
85
80
75
70
65
Feb-19
A Window Into Real Time Pricing
Prices of LQD vs. Top Holdings
Feb-22
Feb-28
Feb-25
Mar-05
Mar-02
Mar-08
Mar-11
Mar-14
Mar-17
Mar-20
Mar-23
GE 4.125% 2035
CVS 4.3% 2028
VZ 4.329% 2028
Source: FINRA TRACE, Bloomberg. As of 3/23/2020.
Holdings are subject to change. Holdings shown should not be deemed as a
recommendation to buy or sell securities. For complete holdings, see www.ishares.com
ABIBB 4.9% 2046
GS 6.75% 2037
LQD
ICRMH0920U-1319728-3/13View entire presentation