Credit research

Bond-ETF NAV dislocation, fallen-angel flow and credit-equity relative value, and the licensed-data boundaries that gate them.

Credit sits between two markets that price the same risk differently, which is why relative-value mechanisms keep appearing here: a bond ETF against its net asset value, a fallen angel against forced index selling, an issuer's spread against its own equity. Each is a basis, and each is a wager that two prices for one obligation will converge on a timetable.

Every one of them is a liquidity-provision trade, and that fact dominates the risk. The basis is widest precisely when it is hardest to fund, so the position that looks most attractive on a screen is the one whose other side has just disappeared. Any treatment that measures the mean reversion without measuring what happens in the episodes is describing the payoff and not the trade.

The binding constraint here is data rather than economics. The public print record is truncated by dissemination caps, so the trades a researcher can see are systematically the small ones; the issuer mapping, terms and rating histories that make a basis computable are licensed products. Where a public route exists it is published with its truncation named, and where it does not, the blocker is recorded as a spending decision rather than dressed as a research question.

What that leaves in this cluster is the feasibility and infrastructure work: the bond-ETF dislocation protocol, the financing replay that decides whether a carry position is affordable, and the literature that motivates them. No credit sleeve trades in this book, and the reason is written down.

The credit documents