HY Bonds and Senior Secured Loans each endured their worst month since 2008, ending down -11.76% and -12.37%, respectively, as the global rout in risk assets continued. Historically, credit markets have been resilient, performing well following sell-offs and rewarding investors for buying in at or near current spread levels.

Treasury rates fell following the Fed's dovish tone at their March meeting, boosting the more duration-sensitive Barclays Agg.

Benefiting from their floating rate coupon and position at the top of the capital structure, senior secured loan prices remained relatively steady in the face of rising short-end U.S. Treasury yields and a decline in U.S. equity prices.

Driven by stronger than expected economic data in June, credit markets turned higher as senior secured loans returned 2.26% while high yield bonds returned 1.63%.

Volatility roared back in June. High yield bonds lost -6.8%, their worst month of 2022, while loans were down -2.16%. This marked the first back-to-back monthly declines of greater than 2% for loans since 2008.

The duration-sensitive Barclays Agg posted its third positive return of the year in June as long-term interest rates declined slightly.

Leveraged credit rebounds in June | HY Bonds benefit from repriced rate expectations

High yield bonds and senior secured loans gain in June. Yield curve flattens on rising rate expectations.

Credit markets experienced continued positive momentum in July amid positive economic data, moderating inflation and better-than-expected Q2 earnings reports.

There was a remarkable rally last month as second quarter earnings results were better than feared and markets appear unconvinced that the Fed will be able to hike rates as aggressively going forward, especially given signs of a slowing economy.