Ratings matter: S&P and Moody's ftw

During the COVID-19 crisis the fed bailed out everyone and everything to prevent the collapse of the US markets, but there were limits to what it would deem bailout-worthy.  The general rule it followed for all major bailouts were:

CPFF Terms The SPV will only purchase U.S. dollar-denominated commercial paper (including asset-backed commercial paper (ABCP)) that is rated at least A-1/P-1/F-1 by a major nationally recognized statistical rating organization (NRSRO) and, if rated by multiple major NRSROs, is rated at least A-1/P-1/F-1 by two or more major NRSROs, in each case subject to review by the Federal Reserve. 

Money Market Mutual Fund Liquidity Facility 

Eligible Collateral: Collateral that is eligible for pledge under the Facility must be one of the following types: 

1.  U.S. Treasuries & Fully Guaranteed Agencies;
2.  Securities issued by U.S. Government Sponsored Entities; 
3.  Asset-backed commercial paper that is issued by a U.S. issuer, is rated at the time purchased from the Fund or pledged to the Reserve Bank not lower than A1, F1, or P1 by at least two major rating agencies or, if rated by only one major rating agency, is rated within the top rating category by that agency; 
4.  Unsecured commercial paper that is issued by a U.S. issuer, is rated at the time purchased from the Fund or pledged to the Reserve Bank not lower than A1, F1, or P1 by at least two major rating agencies or, if rated by only one major rating agency, is rated within the top rating category by that agency; or 
5.  U.S. municipal short-term debt that: 
1. Has a maturity that does not exceed 12 months; and 
2.  At the time purchased from the Fund or pledged to the Reserve Bank: 
1.  If rated in the short-term rating category, is rated in the top short-term rating category (e.g., rated SP1, MIG1, or F1, as applicable) by at least two major rating agencies or if rated by only one major rating agency, is rated within the top rating category by that agency; or 
2. If not rated in the short-term rating category, is rated in the top long-term rating category (e.g., AA or above) by at least two major rating agencies or if rated by only one major rating agency, is rated within the top rating category by that agency. 

Moody's rating definition

S&P Global Ratings

The play is to look for BBB investment grade ETFs w/underlying bonds whos issuers are likely to be downgraded form BBB or lower, since the FED will not help non-investment grade funds.  An example of this would be AAL. Once these bonds are no-longer supported by the fed then you'll see the gap widening on these ETF and eventually they will fall.

Here are some possible ETF to play:

SPDR Portfolio Short Term Corporate Bond ETF (SPSB)

iShares Core U.S. Aggregate Bond ETF (AGG)

Vanguard Long-Term Bond Index Fund ETF Shares (BLV)

ProShares Short High Yield (SJB)

Invesco BulletShares 2021 Corporate Bond ETF (BSCL)

iShares Floating Rate Bond ETF (FLOT)

Vanguard Intermediate-Term Corporate Bond Index Fund ETF Shares (VCIT)

Vanguard Short-Term Corporate Bond Index Fund ETF Shares (VCSH)

iShares Short-Term Corporate Bond ETF (IGSB)

iShares Intermediate-Term Corporate Bond ETF (IGIB)

iShares Floating Rate Bond ETF (FLOT)

SPDR S&P 500 ETF Trust (SPY)

SPDR Portfolio Intermediate Term Corporate Bond ETF (SPIB)

SPDR Bloomberg Barclays Investment Grade Floating Rate ETF (FLRN)

iShares Ultra Short-Term Bond ETF (ICSH)

goeasy Ltd. (GSY.TO)

iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD)

Invesco BulletShares 2021 Corporate Bond ETF (BSCL)

Invesco BulletShares 2022 Corporate Bond ETF (BSCM)

Janus Henderson Short Duration Income ETF (VNLA)

iShares iBonds Dec 2021 Term Corporate ETF (IBDM)

iShares iBonds Dec 2022 Term Corporate ETF (IBDN)

Invesco BulletShares 2023 Corporate Bond ETF (BSCN)

iShares iBonds Dec 2023 Term Corporate ETF (IBDO)

PGIM Ultra Short Bond ETF (PULS)

Invesco BulletShares 2024 Corporate Bond ETF (BSCO)

iShares iBonds Dec 2024 Term Corporate ETF (IBDP)