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Monthly Market Monitor - Eaton Vance

Monthly Market Monitor | September 2022 FIXED INCOMEEQUITIESASSET ALLOCATIONALTERNATIVESMOREM onthly Market MonitorSeptember 2022 Monthly Market Monitor | September 2022 Eaton Vance Monthly Market Monitor presents a concise review of economic and asset class data through clear and impactful charts. Providing timely information across a broad array of markets and investment topics, this guide serves as a helpful resource in providing connectivity between changing Market events and implications for investor portfolios. Use Eaton Vance Monthly Market Monitor as a critical desk reference that enables more informed discussion and understanding of financial you are viewing this book on your computer or tablet, click or tap on the colored title box to jump to the beginning of each FIXED INCOME3 ALTERNATIVES26 ADDITIONALINFORMATION412 Table of ContentsData provided is fo

Use Eaton Vance Monthly Market Monitor as a critical desk reference that enables more informed discussion and understanding of financial markets. If you are viewing this book on your computer or tablet, click or tap on the colored title box to jump ... Bloomberg US Corporate 3.60 2.28 2.37 1.91 3.76

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Transcription of Monthly Market Monitor - Eaton Vance

1 Monthly Market Monitor | September 2022 FIXED INCOMEEQUITIESASSET ALLOCATIONALTERNATIVESMOREM onthly Market MonitorSeptember 2022 Monthly Market Monitor | September 2022 Eaton Vance Monthly Market Monitor presents a concise review of economic and asset class data through clear and impactful charts. Providing timely information across a broad array of markets and investment topics, this guide serves as a helpful resource in providing connectivity between changing Market events and implications for investor portfolios. Use Eaton Vance Monthly Market Monitor as a critical desk reference that enables more informed discussion and understanding of financial you are viewing this book on your computer or tablet, click or tap on the colored title box to jump to the beginning of each FIXED INCOME3 ALTERNATIVES26 ADDITIONALINFORMATION412 Table of ContentsData provided is for informational use only.

2 See end of report for important additional information. Monthly Market Monitor | September 2022 FIXED INCOMES overeign Bond Yields1 Mo. Ago12 Mo. Ago0%5%10%15%20%Aug 221 Mo. Ago12 Mo. Ago(1%)0%1%2%3%4%5%Developed Markets (10 yr. Yield)Emerging Markets (10 yr. Yield)3 Source: Factset as of 8/31/22. Data provided is for informational use only. See end of report for important additional 22 Katie-doneMonthly Market Monitor | September 2022 FIXED INCOMEKey Rates (%)SecurityCurrent12-Mo. AgoAverageMinimumMaximum1-Week Overnight Financing German German UK UK US Global US US Long US US Long High : Bloomberg, Leveraged Commentary & Data (LCD), and Factset as of 8/31/22.

3 Current represents most recent month. Average, minimum, and maximum measure a 12-month period ending most recent month. Data provided is for informational use only. US High Yield is represented by ICE BofA US High Yield Index. US Loans is represented by Morningstar LSTA Leveraged Loan Index. Bloomberg indices and ICE BofA US HY index using yield to worst. Morningstar LSTA Leveraged Loan Index using yield to maturity. See end of report for important additional Market Monitor | September 2022 FIXED INCOME(1%)1%3%5%7%9%'98'00'02'04'06'08'1 0'12'14'16'18'20' Federal ReserveECBBOJC entral Bank Policy ( ) ( ) Federal ReserveECBBOJC urrent1-Mo.

4 Ago12-Mo. Federal PolicySource: Bloomberg, Factset as of 8/31/22. Data provided is for informational use only. See end of report for important additional Expectations for Future Central Bank RatesMonthly Market Monitor | September 2022 FIXED INCOMEY ields & PerformanceSecurityYield (%)TotalReturn (%)Current1-Mo. Ago12-Mo. 221-Mo. Ago12-Mo. Ago0%1%2%3%4% 3M 2Y 5Y 10Y Treasury YieldsSource: Factset, Morningstar as of 8/31/22. Data provided is for informational use only. Past Performance is not a reliable indicator of future results.

5 See end of reportfor important additional Treasury Yield CurvesMonthly Market Monitor | September 2022 FIXED INCOMEC haracteristics and Performance AnalysisAverages Total Returns (%)IndexCoupon (%)Price ($)Yield to Worst (%)Spread(bps)Maturity(yrs.)Duration(yrs .) High GradeBloomberg Aggregate Mortgage Backed Asset Backed Commercial Mortgage Backed Corp. Investment Municipal Bond Municipal Bond BofAUS Inflation-Linked Treasury BofA Preferred Index (Fixed Rate) High YieldICE BofA US High Yield LSTA Leveraged Loan IndexL+ Morgan EM Bond Index (EMBI) Global Morgan Corp.

6 EMBond Index (CEMBI) Broad Morgan Index-EM(GBI-EM) Global MarketsBloomberg Global Aggregate Index Government Bond BofA Gilts BofA European Union Government BofA Developed Mkts HY Ex-Sub Fincl Index (USD Hedged) : Bloomberg, Morgan, ICE BofA Data Indices, LLC, Factset,and Leveraged Commentary & Data (LCD), as of 8/31/22. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Yield to maturity is shown for the Morningstar LSTA Leveraged Loan Index and the FTSE World Government Bond Index.

7 Loan Index coupon value includes LIBOR (shown as L+ ). Loan Index spread represents the three-year discounted spread over LIBOR. Returns of the ICE BofA Developed Mtks HY Ex-Sub Financial Index are USD Hedged. The averages for the index are unhedged. Monthly Market Monitor | September 2022 FIXED INCOMEA ggregateMBSABSCMBSC orporatePreferredFloating-RateLoansEmerg ing Markets (USD)High YieldMax Spread Date 12/3/200812/3/20081/6/200911/21/200812/3 /20083/9/200912/19/200810/24/200812/15/2 008 Min Spread Date 4/14/20217/27/201010/1/20091/31/20186/30 /202112/6/201710/26/200710/12/200712/28/ 2021 Spread on 12/31/213631386892113428369310 Spread on 12/31/20423933819671475352386 Spread on 12/31/193939447293174612913608 Spread Analysis (bps)Source: Factset and Leveraged Commentary & Data (LCD)as of 8/31/22.

8 Spread history measures past 15 years. Data provided is for informational use only. See end of report for important additionalinformation. All fixed-income spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity Treasuries using daily data. Loan Index spread represents the three-year discounted spread over LIBOR. Aggregate represented by Bloomberg US Aggregate represented by Bloomberg Mortgage Backed Securities (MBS) Index. ABS represented by Bloomberg Asset Backed Securities (ABS) Index.

9 CMBS represented by Bloomberg CMBS Investment Grade Index. corporate represented by Bloomberg corporate Investment Grade Index. Preferred represented by ICE BofA Fixed RatePreferred Securities Index. Floating-Rate Loans represented by Morningstar LSTA Leveraged Loan Index. Emerging Markets(USD) represented by Morgan Emerging Markets Bond Index (EMBI) Global Diversified. High Yield represented by ICE BofA US High Yield Index. HighCurrentMedianLow52355910813818551533 84832581921018158161816442474901214729-1 305480-883632053015040621021402085625015 03(200)020040060080010001200140016001800 2000220024002600 Monthly Market Monitor | September 2022 FIXED INCOMEA veragesTotal Returns (%)Coupon (%)Price($)Yield to Worst (%)Spread(bps)Maturity (yrs.)

10 Duration(yrs.) High GradeBloomberg Corp. Investment Grade High YieldICE BofA High Yield LSTA Leveraged Loan IndexL+ IndexL+ IndexL+ IndexL+ IndexL+ Bond Market UpdateSource: Bloomberg, JPMorgan, ICE BofA Data Indices, LLC, Factset, and Leveraged Commentary & Data (LCD), as of 8/31/22. Data provided is for informational use only. See end of report for important additional information. Yield to maturity is shown for the Morningstar LSTA Leveraged Loan Index. Loan Index coupon value includes LIBOR (shown as L+ ). Loan Index spread represents the three-year discounted spread over LIBOR.


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