High yield debt market moved with oil because so many recent issuers of high yield debt were oil and gas companies. A May 31, 2016, report by the law firm Haynes & Booth states that there have been 81 oil and gas bankruptcies since the start of 2015.
The Bloomberg article takes a closer examination of the high yield debt and oil markets. When just the high yield debt of energy companies is compared to the price of oil, the performance is strikingly similar. While the overall high yield market may have separated from oil, energy high yield debt is following the price of oil down.
Update: As of August 3, 2016, the number of oil and gas bankruptcies since the start of 2015 is now up to 85.