Did fearful investors suddenly shift from holding 2-year corporate bonds to holding T-bills, thereby driving down the price of these corporate bonds and, equivalently, driving up their effective yield? Such a move might seem compatible with the onset of regime uncertainty.
But the relative steadiness of the yield on longer-term corporates is not consistent with this view.
Why would investors fearful of regime change leap out of only the relatively short-term corporates, not the longer-term corporates as well? I am puzzled.