SPDR ETFs Fixed Income Chart Pack

SPDR? ETFs Fixed Income Chart Pack

Charts for the Latest Bond Market Insights and Analytics Q1 2020

Please see Appendix A for more information on investment terms used in this Chart Pack.

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Bond Market Performance

With interest rates rising modestly, rate sensitive sectors posted losses or small gains in December. With spreads tightening, however, credit had strong returns.

Returns (%) 1 Year Max Drawdown (%)

Bond Sector Performance

December Q4 1 Year 1 Year Max Drawdown 30%

Long-term IG Corporates have had the best returns in 2019, but credit related instruments had stronger returns over the most recent quarter as the curve steepened

0%

25%

-1%

20% -2%

15% -3%

10%

-4%

5%

0.1% 0%

3.2%

0.4%

0.3%

0.3%

0.4%

0.1%

2.1%

1.6%

1.8%

1.1%

2.2%

-5%

-0.1%

-0.6%

-5%

T-Bills

US

US

Aggregate Treasury

US TIPS

US MBS

US IG 1-10 Yr IG 10 Yr+ IG Corporates Corporates Corporates

US High Yield

Leveraged Developed Developed EM Hard EM Local Loans Ex-US IG Ex-US Currency Currency Corporates Sovreign Sovereign Sovereign Bonds Bonds Bonds

-6%

Source: Bloomberg Finance, L.P. As of December 31, 2019. Past performance is not a guarantee of future results. T-bills - Bloomberg Barclays U.S. Tr Bills: 1?3 Months Index, US Aggregate -- Bloomberg Barclays US Agg Index, US Treasury -- Bloomberg Barclays US Treasury Index, US TIPS -- Bloomberg Barclays Global Inflation-Linked: U.S. TIPS Index, US MBS -- Bloomberg Barclays US MBS Index, US IG Corporates -- Bloomberg Barclays US Corporate Index, 1?10 YR IG Corporates -- Bloomberg Barclays Intermediate Corporate Index, 10 Yr+ IG Corporates -- Bloomberg Barclays Long U.S. Corporate Index, US High Yield -- Bloomberg Barclays VLI: High Yield Index, Leveraged Loans -- S&P/LSTA Leveraged Loan Index, Developed Ex-US IG Corporates -- Bloomberg Barclays Global Agg Corporate ex USD $1B+ Index, Developed Ex-US Sovereign Bonds -- Bloomberg Barclays Global Treasury ex-U.S. Index, EM Hard Currency Sovereign Bonds -- J.P. Morgan EMBI Global Core Index, EM Local Sovereign Bonds -- Bloomberg Barclays EM Local Currency Govt Diversified Index

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Yield Curve

The yield curve steepened in December, as hopes of a trade deal and a pre-Iran strike softening of geopolitical tensions pushed long-term yields higher

US Treasury Curve

US Treasury Active:

12/31/2018

9/30/2019

12/31/2019

Yield (%)

3.5

3.0

2.43 2.5

2.36

2.48

2.60

2.49

2.0

1.87

1.45 1.5

1.0

1.82 1.55

1.82 1.59

1.76 1.57

1.58

1.62

50

0 -50 -100 -150

-16 -41

-98

-3 -27

-81

-3 -23

-1 -18

-90 -102

-4 -5 -92

2.46 1.61 1.56

05

-85

2.51 1.69 1.54

7 15

3.02

2.59

2.69

2.39

1.83

1.92

2.11

1.61

1.67

10 22

1 Year December Q4

14 25

18 28

-62

-82

-75

-77

Change in Bps

1M

3M

6M

1Y

2Y

3Y

5Y

Source: Bloomberg Finance, L.P. As of December 31, 2019. Past performance is not a guarantee of future results.

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7Y

10Y

30Y

Yield Curve (continued)

While the yield curve steepened in December, it still remains flat as the long end continues to be constrained by slow growth dynamics

US Treasury Curve (10-and-2 Year Spreads) and Term Premium

Adrian Crump & Moench 10 Year Treasury Term Premium US 10 Year Yield US 2 Year Yield US 10 Year Yield- US 2 Year Yield 4%

3%

3%

2%

2%

1%

1%

0%

-1%

-1%

Low growth prospects have anchored term

-2%

premiums near historical lows this year

-2%

US 10 Year Yield versus the Copper to Gold Ratio

US 10 Year Yield (%)

Copper to Gold Ratio

3.4% After falling for the entire year,

6

the copper-to-gold ratio

rebounded into year end

2.7%

5

2.0%

4

1.3%

3

Rati o

Source: Bloomberg Finance, L.P. As of December 31, 2019. Past performance is not a guarantee of future results. The term premium is the excess yield that investors require to commit to holding a long-term bond instead of a series of shorter-term bonds. The copper-to-gold ratio indicates the potential of economic growth as gold is more of a defensive asset while copper is more cyclical.

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Credit Trends

Credit spreads continued to tighten in December, as investors became less concerned about an imminent recession risk

Credit Spreads

Bloomberg Barclays US Corporate High Yield Index Bloomberg Barclays US Corporate Index Bloomberg Barclays High Yield Energy Index

2,000 1,800

Despite the rally in the broad high yield market, Energy spreads remain elevated

1,600

1,400

1,200

1,000

800

600

400

200

0

Credit Spread Changes in Basis Points

1 Year December

High Yield CCC & Lower US High Yield B Rated

US High Yield BB Rated Broad High Yield US BBB Rated IG Corporate

-211

-107 -142

-159

-196

-50

-19

-40 -30 -15

-59 -10

Credit Spread Current vs. 20-Yr Averages

IG Corporate US BBB Rated Broad High Yield US High Yield BB Rated US High Yield B Rated

157 94

163 129

548 330

381 201

567 363

US High Yield CCC & Lower

20-Yr Avg As Of 12/31/2019

HY spreads are 39% below their 20-year averages

1173 997

Source: Bloomberg Finance, L.P. BofA Merrill Lynch, As of December 31, 2019. US High Yield CCC & Lower = BofA ML US High Yield CCC & Lower Rated Index. US High Yield B Rated = BofAML US High Yield B Rated Index. BBB Rated = BofA ML US Investment Grade BBB Rated Index. Broad high yield = Bloomberg Barclays US Corporate High Yield Index. IG Corporate = Bloomberg Barclays US Corporate Index. Past performance is not a guarantee of future results.

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