One of the largest U.S. exchange-traded funds for junk bonds saw its securities holdings fall by a record $869 million, or $6.5%, in the week ended Wednesday, after an investor reportedly redeemed shares in the fund in exchange for bonds, according to data provider Lipper.

The $778 million withdrawal from the $12 billion ETF--the SPDR Barclays Capital High Yield Bond ETF (JNK), run by State Street Global Advisors, the asset management business of State Street Corp. (STT)--was more than twice the previous record outflow of $392 million, recorded April 11, Lipper added.

The remaining shrinkage in the fund may have been due to its performance.

The fund holds junk bonds issued by Clear Channel Communications, Ally Financial, Sprint Nextel (S) and others.

Analysts at independent research firm CreditSights said in a note that the redemption in question occurred May 8. They said the market participant behind the move likely sought to create a desired portfolio of junk bonds as a result of the maneuver with the ETF provider, exchanging its units for the fund's bonds.

One junk-bond specialist speculated that the firm may have tried to capture the premium or "spread" between the value of its existing holdings and the value of bonds implied by its shares in the ETF.

The CreditSights analysts said markets "are abuzz" with the trade and what it means for the ETF market, and other investors in such funds.

"Widely reported comments by a member of a firm that brokered the trade indicated that an investor assembled a position in the ETF with the intent of exchanging the shares for the underlying bonds as a means to implement a cash-bond portfolio," the analysts wrote.

The firm behind the trade could not be learned, but only certain companies can trade directly with ETFs. Those are called "approved participants," and these are generally market makers in ETFs, said CreditSights.

-By Katy Burne, Dow Jones Newswires; 212-416-3084; katy.burne@dowjones.com