By Matt Wirz

Worry about a second wave of Covid-19 cases is pushing junk bond yields to their highest levels in a month, causing the risky debt to underperform other credit markets.

Prices of junk debt were mixed Wednesday despite gains in U.S. stocks, according to data from MarketAxess. Health-care bellwether HCA Healthcare Inc.'s bond due 2047 climbed about 2% to 125 cents on the dollar, while casino operator Eldorado Resorts Inc.'s new seven-year bond fell about 1% to 96 cents on the dollar. Eldorado sold $1.8 billion of the debt to investors at 100 cents on the dollar less than two weeks ago.

"There is heightened default risk in lower-quality segments of the corporate credit market," bond-fund giant Pacific Investment Management Co. said in a report Wednesday. "We are overweight credit, favoring high quality corporate issuers and mortgage-backed securities while remaining cautious on high yield corporates."

High-yield bond performance closely tracks default rates, making the debt a leading indicator for other fixed-income markets.

Junk debt prices went on a tear in early June and strong investor appetite fueled a boom of new debt sales, part of a wider rally in credit markets that included corporate bonds, government bonds and asset-backed debt.

But as coronavirus cases mounted in southern and Midwestern states that reopened their economies this spring, the high-yield rebound began to wobble. The yield of a Bloomberg Barclays U.S. high-yield bond index jumped about half a percentage point in the last two weeks of June and hit a four-week high of 7.04% on Monday. Bond yields rise as prices fall and investors demand a higher return to lend out cash.

The selloff caused high-yield bonds to underperform most other credit assets in June, including U.S. and European investment-grade corporate bonds, emerging-market corporate bonds and emerging-market sovereign debt, according to research firm CreditSights. The difference, or spread, between the yield of junk bonds and U.S. Treasurys finished June 0.10 percentage point lower in June, compared with a 0.27-percentage-point decline in investment-grade debt and 0.53-percentage-point tightening in emerging-markets corporate debt.

Investors are also worried that their recoveries on defaulted bonds will be lower in the current downturn than during previous crises because current bond documents offer them fewer protections. An analysis by Moody's Investors Service found that about two-thirds of junk bonds now have the weakest covenants, compared with about one-third of bonds in prior periods.

Yields of U.S. Treasurys rose early Wednesday morning in line with stocks but have since retreated. The yield of the 10-year Treasury note was around 0.674% midday Wednesday, compared with 0.653% on Tuesday, according to data from Tradeweb.

Write to Matt Wirz at matthieu.wirz@wsj.com