Accessible Version
Interest Rates Expectations and Flow Dynamics in High Yield Corporate Debt Mutual funds, Accessible Data
Figure 1. HYB and BL flows during the COVID-19 crisis
This figure shows monthly net flows as a percentage of one month lagged assets during the Covid period defined as February 2020–December 2020. The bars (key identifies from left to right) show negative values for high yield bonds during the months of February, March and September, while bank loans reported negative values throughout the entire Covid period. In March, withdrawals for high yield bonds and bank loans reached an estimated 4.1 percent and 13.6 percent of assets under management (AUM), respectively. Thereafter, high yield bonds saw net inflows through most of the rest of the year, while bank loan flows remained negative. Source: Morningstar, Inc.
Note: Key identifies bars in order from left to right. Calculated as monthly flows divided by one month lagged assets. Covid period defined as February 2020 − December 2020.
Source: Morningstar, Inc.
Figure 2. HYB and BL mutual fund assets and funds
This figure depicts annual trends in total assets and number of funds for high yield bonds and bank loans. The bars (key identifies from left to right) show total assets for high yield bonds increasing from about $75 billion in 2000 to close to $312 billion at the end of 2021; bank loans increased from about $19 billion to $98 billion during the same period, peaking around $137 billion in 2013. High yield bonds saw a similar peak in total assets in 2013 at $280 billion before declining slightly through 2018, but have increased to historical highs in recent years. The number of funds increased from 154 in 2000 to 174 in 2021 for high yield bonds and 16 in 2000 to 57 in 2021 for bank loans; HY peaked at 191 in 2016 while BL peaked 58 in 2019. Source: Morningstar, Inc.
Note: Key identifies bars in order from left to right.
Source: Morningstar, Inc.
Figure 3. Corporate debt and market share of HYB and BL funds
This figure contains two panels. The left panel plots the monthly total outstanding high yield and institutional leveraged loan corporate debt between January 2004 and December 2020. The panel shows an increase in both high yield and institutional leveraged loan outstandings across the observed period, increasing from $666 billion to $1,159 billion and $137 billion to $1,193 billion for HY and BL, respectively. High yield debt peaked early in the COVID-19 crisis at close to $1,230 billion in May 2020, while outstanding institutional leveraged loans remained relatively flat since the onset of the pandemic. Source: Mergent, Inc. and Thomson Reuters LPC.
Note: High Yield includes unrated.
Source: Mergent, Inc. and Thomson Reuters LPC.
The right panel plots the quarterly percentage of assets of high yield bonds held by high yield mutual funds to total outstanding high yield bonds and the percentage of assets of bank loans held by bank loan mutual funds to total outstanding institutional leveraged loans between March 2006 and December 2020. The plot shows an increase for high yield bonds from 7.4 percent in March 2006 to 22.1 percent in December 2020. Bank loans increased from 0.1 percent in March 2006, peaked at 10.5 percent in March of 2014, then steadily declined to 4.5 percent in December 2020. High yield bonds saw significant declines during the Financial Crisis and Covid-19 pandemic, decreasing from 12.9 percent in June 2008 to 7.4 percent in March 2009 and 20.1 percent in December 2019 to 14.6 percent in March 2020, respectively. Bank loans saw declines from 1.5 percent to 1.3 percent and 7.1 percent to 4.5 percent during the same periods. Source: Morningstar, Inc. and Mergent, Inc.
Note: Ratio for HY is the assets of HY bonds held by HY MFs to HY bonds total outstanding. HY CB outstanding excludes unrated. The ratio for BL is the assets of BL held by BL MFs to institutional leveraged loan outstanding.
Source: Morningstar, Inc. and Mergent, Inc.