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

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.

Markets traded sideways for much of the month as inflation concerns and cryptocurrency market volatility weighed on sentiment.

This year’s credit market dynamics reversed course sharply in May. Senior secured loans declined as long-term interest rates and rates volatility fell last month.

Despite solid economic data and better-than-feared corporate earnings credit turned in mildly negative returns in May.

Interest rate sensitivity drove returns during the month as higher-duration assets tended to outperform as 10-year Treasury rates fell.

Leveraged credit declines in May | Prices decline to two-month lows despite stable fundamentals

Steps to reopen the economy and progress toward a COVID-19 vaccine created an optimistic sentiment for much of the month, as HY Bonds, Senior Secured Loans and structured products posted strong returns. Interest rates remained relatively rangebound and the duration-sensitive Barclays Agg had a slight gain.

Credit rallied amid broad market strength in November on news of multiple potentially viable COVID-19 vaccines.

Credit markets declined in November. Loans returned -0.16% while HY bonds were down -1.02%, their second monthly decline and worst performance since March 2020.