"It's having a heavy influence on returns in the corporate bond market, and total return for investment grade corporates is now negative," said Briggs. He said the high yield market has not been as impacted. "You get a bigger coupon and more cushion."
Also exacerbating the move in investment grade has been the gusher of new corporate credits that have rushed to market, as interest rates look set to rise.
Doubeline Capital CIO Jeff Gundlach, in an interview on "Squawk on the Street," said ultimately bond funds and ETFs that hold corporates are at risk.
"I think they're vulnerable particularly if interest rates rise, which is a nonconsensus point of view," said Gundlach. "Most people think that corporate bonds particularly junk bonds, are somehow going to save you if interest rates are rising. I think that's wrong.
"I think people were hungry for yields, starvation for yields, and buying corporate bonds and junk bonds was one way to try to accomplish something in terms of yield land," he said. "But if yields are rising then starvation for yield is actually abating. A bigger topic…is the corporate bond market, the junk bond market, in particular, has never experienced secularly rising interest rates."
Gundlach also commented on total negative return and said investors could be blindsided. "I think investors, if what's going on now continues, they're going to be a little unpleasantly surprised when they open up their statements … for the end of June, if this yield rise continues, we're going to be looking at negative returns for corporate bonds particularly long-duration corporate bonds with the steepening of the yield curve," he said.
Gundlach said he expects the German bund market to continue to cause volatility and U.S. rates should continue to move higher, but not significantly.
While bonds yields ripped higher Wednesday, stocks rallied on the prospect of a resolution in Greece's debt talks.
"The bond market volatility has been much higher than the stock market volatility this year," said Cliff Noreen, president of Babson Capital. "It's partly due to less liquidity in the bond market globally. It's causing higher volatility."
The lack of liquidity has been blamed for rapid spikes in usually staid sovereigns. As for corporates, spreads have stayed fairly tight. "They have underlying fundamentals that are very strong, but that's because of corporate profitability being at record highs," said Noreen.
George Goncalves, head of rate strategy at Nomura, said if the Fed were to hike rates, the focus would move from longer term rates to the short end of the curve. "That would maybe take some pressure off the euro currency and that might stabilize things."
"This move has been primarily a long term rate move. If it gets unhinged then that can cause a problem for the Fed because they can't hike as much," he said.
Goncalves said the corporate bond market could become a concern. "If this were to infect the corporate bond market, at that point, the Fed would take notice and worry. The corporate buybacks are linked to the corporate issuance. And M and A activity is on the back of the corporate bond market. If the rates start to infect the corporate bond market, then you have broader market implications."
Gundlach said high yield corporates could face as yet unforeseen problems in the future.
"If interest rates rise this kind of systematically for the next three, four, five years there is going to be a very different context for junk bonds then anybody's has experienced. There will be a wall of maturities that come in 2018 and 2019 and if interest rates are rising these companies will have to roll over the debt at higher interest rates, that's something that has never happened in the history of the junk bond market," he said.
Gundlach said this could conceivably have implications for future corporate default rates, which average 4 percent.