RX to HY Research

High yield is not a subset of private credit, it's publicly traded credit, although I'm not sure if that's what you meant to say and just made a typo. I think OP's question is more so why RX bankers tend to either go for PE/PC or distressed credit HFs as opposed to more performing credit/high yield focused investing like mutual funds or the like. I'd note that there are a decent amount of ex-RX people that are in HY roles, though PE and distressed are still more popular and you're more likely to see someone move into HY/LL performing credit as a 2nd or 3rd role out of banking once people either get fed up with distressed or look for better lifestyle than privates.

Part of that is definitely just interest. If you're in an RX banking program you'll most likely have somewhat of an interest in distressed because you read Moyer and got the idea that complexity=higher returns and distressed being very intellectually stimulating. We can argue if the brain damage is actually worthwhile, but doing 2 years of it you'll pick up digging through filings, in-court/out of court dynamics with various groups, seeing certain methods used to extract economics from other creditors, etc which can further that interest and make you want to get into distressed investing vs traditional HY which is a bit more about relval (i.e x company's bonds should tighten closer to or inside of y's given forward looking fundamentals) and avoiding losers.

The other part is basically that when you're coming out of banking you're solving mostly for prestige/comp in the exit and a vanilla HY role is going to both be seen as less prestigious and have a discount in comp to private equity/credit or special situations HFs. Traditional HY (or CLO/loan roles for leveraged loans) are also by virtue of the return profile going to be "less sexy" with less hair/complexity than some specialty lending private credit and distressed or less depth of diligence in the case of PE. 

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