Last year, global markets suffered a massive rout after the U.S. Federal Reserve first broached its plans to begin tapering its asset purchases, as expectations that would cause interest rates to rise spurred an outflow of funds.
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While mutual funds may have as much as a 5 percent cash balance they can use to settle redemptions, ETFs' cash cushion is smaller, generally as little as 0.5 percent, Gallo noted. He is concerned about corporate credit and high-yield bond ETFs, rather than government bonds.
"These may have to sell even more bonds," he said. "Some bonds are very small, but are held by a lot of mutual funds and ETFs. These are bonds that could fall under [more] pressure."
A pressing need to sell bond holdings could strike even as the liquidity of the secondary bond market has already tightened. While credit trading volume has been stable at around $20 billion a day over the last five years, the corporate bond market has grown by around 60 percent since 2007, RBS said in a recent report, noting SEC data indicates around 20 percent of corporate bonds don't trade at all.
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The bank's proprietary measure, dubbed the "liquid-o-meter," indicates credit market liquidity has declined about 70 percent since the 2008 financial crisis, based on a combination of market debt, trading volume and transaction costs.
"Low liquidity means the exit door is becoming smaller," it said.