The declines in equity markets are perhaps even more impressive, with the S&P 500 down nearly –34 percent since its high and recording its worst two days since 1987’s Black Monday within two days of each other, reported FS Investments.
There is a reason that credit markets are down, equity markets are crashing and investor sentiment for risk assets has turned decidedly negative.
This sell-off in credit is not like 2015, when both high-yield bonds and senior secured loans recorded negative annual returns on the back of a meltdown in energy credit, while the S&P 500 Index was positive. It’s also not like 2008, when high-yield and loans captured 78 percent and 102 percent, respectively, of the drawdown in the S&P 500 in the fourth quarter compared to 64 percent and 61 percent through the recent equity bottom on March 23. In FS Investments’ view, the lower downside capture of high-yield and loans today compared with 2008 is also striking considering tha
