Issue link: https://read.uberflip.com/i/1490964
For existing institutional investor client use only. Not for public distribution. The information contained herein is confidential and proprietary to SEI and is not to be reproduced or made available in any form to any persons without the express prior written consent of SEI. 10 ©2022 SEI Sources: Bloomberg, JP Morgan, SEI. Option-adjusted spreads over US Treasurys US Investment Grade = Bloomberg Barclays U.S. Corporate Index, US High Yield = Bloomberg Barclays U.S. Corporate High Yield Index, and Emerging Market Debt = JP Morgan EMBI Diversified Sovereign Index. As of 9/30/20XX. Past performance is not a guarantee of future results. Fixed income review • The yield curve's inexorable grind upward continued in the third quarter thanks to hot inflation reports and an increasingly hawkish-sounding Federal Reserve. • The curve flattening seen in June developed into deep inversion of the 10-year, 2-year and other term spreads, reflecting growing concerns that the Fed's monetary policy tightening will eventually tip the economy into recession. • Both investment-grade and emerging markets credit spreads widened a bit further, although high yield spreads managed to tighten slightly. • Spreads in all three markets remained higher than their 10-year averages, reflecting the growing pessimism around the global economic outlook. 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 0 5 10 15 20 25 30 Yield Maturity (Years) U.S. Yield Curve 9/30/2022 6/30/2022 9/30/2021 1.6% 5.5% 5.6% 1.6% 5.7% 5.4% 0.9% 2.8% 3.7% 1.3% 4.3% 3.6% 0% 1% 2% 3% 4% 5% 6% US Investment Grade US High Yield Emerging Market Debt Option-Adjusted Spread Option-Adjusted Spreads 9/30/2022 6/30/2022 12/31/21 10Y Average