Daily Fixed-Income Insights - MSCI

March 24, 2022 (market close)

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Daily Fixed-IncomeInsights

Daily Trends in Yields, Equity Returns, FX

ThuMar 10

Fri Mon Tue Wed ThuMar 17


-8.0-6.0-4.0-2.00.02.04.06.08.0Cumulative MSCI Equity Return in USD (%)

USA World ex USA Emerging Markets

ThuMar 10



-505

1015202530354010-Yr Government Yield: Cumulative Change (bps)

*See Appendix for data sources

US Germany UK Japan

ThuMar 10



99.00

100.00

101.00

102.00

103.00

104.00

105.00

106.00Strength of USD

vs EUR vs GBP vs JPY vs CNY

−1.50

−1.00

−0.50

0.00

0.50

1.00

1.50

2.00

2.50Equity Return (%)

Nominal Yield MSCI USA

ThuMar 10



1.96

2.02

2.07

2.13

2.18

2.24

2.29

2.34

2.4010-Yr US Government Yield (%)

2

Monthly Trends in Yields, Equity Returns, FX

Aug2021

Sep Oct Nov Dec Jan Feb Mar*-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0Cumulative MSCI Equity Return in USD (%)

USA World ex USA Emerging Markets

Aug2021

Sep Oct Nov Dec Jan Feb Mar*-15

0153045607590

10512010-Yr Government Yield: Cumulative Change (bps)

*As of March 24**See Appendix for data sources

US Germany UK Japan

Aug2021

Sep Oct Nov Dec Jan Feb Mar*96.0098.00

100.00102.00104.00106.00108.00110.00112.00Strength of USD


−6.00

−4.00

−2.00

0.00

2.00

4.00

6.00


Nominal Yield MSCI USA

Aug2021

Sep Oct Nov Dec Jan Feb Mar*1.12

1.31

1.50

1.69

1.88

2.07

2.26

2.4510-Yr US Government Yield (%)

3

Government Nominal Yield Curves

1 3 5 7 10 15 20 30Maturity (years)

-1.00-0.500.000.501.001.502.002.503.00US Government Yield Curve (%)

24-Mar 2022 30-Sep 2021 31-Mar 2021

1 3 5 7 10 15 20 30Maturity (years)

-1.00-0.500.000.501.001.502.002.503.00Germany Government Yield Curve (%)

24-Mar 2022 30-Sep 2021 31-Mar 2021

1 3 5 7 10 15 20 30Maturity (years)

-1.00-0.500.000.501.001.502.002.503.00UK Government Yield Curve (%)


24-Mar 2022 30-Sep 2021 31-Mar 2021

1 3 5 7 10 15 20 30Maturity (years)

-1.00-0.500.000.501.001.502.002.503.00Japan Government Yield Curve (%)

24-Mar 2022 30-Sep 2021 31-Mar 2021

4

Daily & Monthly US Corporate Spreads vs Equities

ThuMar 10



-15

-10

-5

0

5

1010-Yr Corporate OAS: Cumulative Change (bps)

*As of March 24**See Appendix for data sources

BBB A AA

Aug2021

Sep Oct Nov Dec Jan Feb Mar*-20-10


BBB A AA

−2.00

−1.00

0.00

1.00

2.00


Option Adjusted Spread MSCI USA

−6.00

−4.00

−2.00

0.00

2.00

4.00

6.00


Option Adjusted Spread MSCI USA

ThuMar 10



182

186

191

195

199

20410-Yr BBB OAS (bps)

Aug2021

Sep Oct Nov Dec Jan Feb Mar*120

133

145

158

170

183

195

20810-Yr BBB OAS (bps)

5

Euro Corporate and Sovereign Spreads vs Equities

Aug2021

Sep Oct Nov Dec Jan Feb Mar**-10


**As of March 24***See Appendix for data sources

BBB A AA

Aug2021

Sep Oct Nov Dec Jan Feb Mar**-10

01020304050607010-Yr Sovereign OAS: Cumulative Change (bps)

Italy France Spain

−6.00

−4.00

−2.00

0.00

2.00

4.00

6.00

8.00Equity Return (%)*

Option Adjusted Spread MSCI Europe

−6.00

−4.00

−2.00

0.00

2.00

4.00

6.00


Italy France Spain MSCI Europe

Aug2021

Sep Oct Nov Dec Jan Feb Mar**107

120

133

146

159

173

186

19910-Yr BBB OAS (bps)*

*Option Adjusted Spread in basis points to German government curve.Equity return expressed in USD

Aug2021

Sep Oct Nov Dec Jan Feb Mar**22

45

68

91

113

136

159

18210-Yr Sovereign OAS (bps)*

*Option Adjusted Spread in basis points to German government curve.Equity return expressed in USD

6

Spread Term Structure: BBB Corporates & Sovereigns

1 3 5 7 10 15 20 30Maturity (years)

0

50

100

150

200

250US BBB OAS (bps)

24-Mar 2022 30-Sep 2021 31-Mar 2021

1 3 5 7 10 15 20 30Maturity (years)

0

50

100

150

200

250Euro BBB OAS (bps)*

*Spread to German government curve

24-Mar 2022 30-Sep 2021 31-Mar 2021

1 3 5 7 10 15 20 30Maturity (years)

0

50

100

150

200

250Euro Sovereign OAS (bps)*

*Spread to German government curve as of March 24**See Appendix for data sources

Italy Spain France

1 3 5 7 10 15 20 30Maturity (years)

0

50

100

150

200

250Italy Sovereign OAS (bps)*


24-Mar 2022 30-Sep 2021 31-Mar 2021

7

Trends in Government Yields and Actual Inflation

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

-2.00-1.000.001.002.003.004.005.006.0010-Yr Government Nominal Yields (%)

US Germany UK Japan

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

-2.00-1.000.001.002.003.004.005.006.00Realized Inflation (12-Month, in %)

*US: PCE ex food/energy; Eurozone: HICP ex food/energy/alcohol/tobaccoUK: CPIH ex food/energy/alcohol/tobacco; Japan: CPI ex food/energy

PolicyTarget

US Eurozone UK Japan

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

-2.00-1.000.001.002.003.004.005.006.0010-Yr Government Breakeven Inflation Yields (%)

*UK breakeven inflation and real yields are adjusted to reflect historical differences between the Retail Price Index (RPI) and the Consumer Price Index (CPI)**See Appendix for data sources

US Germany UK* Japan

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

-3.00

-2.00

-1.00

0.00

1.00

2.0010-Yr Government Real Yields (%)


8

Spreads on Corporates & Euro / EM Sovereigns

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

050

10015020025030035040010-Yr US Corporate OAS (bps)

BBB A AA

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

050

10015020025030035040010-Yr Euro Sovereign OAS (bps)*


Italy France Spain

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

050

10015020025030035040010-Yr Euro OAS (bps)*

*Spread to German government curve**See Appendix for data sources

BBB A AA

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

10020030040050060070080090010-Yr Emerging Markets Sovereign OAS (bps)*

*Spread to US Treasury curve

Mexico Brazil Turkey Indonesia

9

Inflation: US Market Implied (BEI) and Actual CPI / PCE

1 3 5 7 10 15 20 30Maturity (years)

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00US Government Breakeven Inflation Yield Curve (%)

24-Mar 2022 30-Sep 2021 31-Mar 2021

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00US CPI vs Breakeven Inflation Yields (%)

*CPI ex food/energy inflation (yoy) 6.4% as of Feb 2022

CPI ex food/energy 2-yr 5-yr 10-yr

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00US CPI (%)

*CPI all items inflation (yoy) 7.9% as of Feb 2022**See Appendix for data sources

CPI all items CPI ex food/energy

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00US Inflation: CPI vs PCE (%)

*PCE ex food/energy inflation (yoy) 5.2% as of Jan 2022

PCE ex food/energy CPI ex food/energy

10

US Govt Yield Drilldown: Nominal, Real and BEI

ThuMar 10



-1.00-0.500.000.501.001.502.002.503.0010-Yr US Government Yields (%)

US Nominal US BEI US Real

Aug2021

Sep'21

Oct'21

Nov'21

Dec'21

Jan'22

Feb'22

Mar'22

-1.50-1.00-0.500.000.501.001.502.002.503.0010-Yr US Government Yields (%)


ThuMar 10



-20

-10

0

10

20

30

4010-Yr Yields: Cumulative Change (bps)



Aug2021

Sep'21

Oct'21

Nov'21

Dec'21

Jan'22

Feb'22

Mar'22

-150

153045607590

10512010-Yr Yields: Cumulative Change (bps)


11

China Government Bond Drilldown

1 3 5 7 10 15 20 30Maturity (years)

2.002.252.502.753.003.253.503.754.00China Sovereign (CNY) Yield Curve (%)

24-Mar 2022 30-Sep 2021 31-Mar 2021

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

0.000.501.001.502.002.503.003.504.004.5010-Yr Yields (%)

***See Appendix for data sources

China Sovereign (CNY)

US Treasury (USD)

US AA Corporate (USD)

China Sovereign (USD)

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

-1.000.001.002.003.004.005.006.007.008.00Realized Inflation (%)**

**China inflation (yoy) 0.9% as of Feb 2022Inflation measured by All Items CPI includes food and energy prices

China US

−8.00

−6.00

−4.00

−2.00

0.00

2.00


Yield (CNY) MSCI China

Aug2021

Sep Oct Nov Dec Jan Feb Mar*2.89

2.97

3.04

3.11

3.18

3.26

3.3310-Yr China Sovereign Yield (%)

*As of March 24. Equity return in USD

12

Long-Run Trends in Yields and Inflation

Jun1997

Jan'01

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

-1.000.001.002.003.004.005.006.007.008.0010-Yr Government Nominal Yields (%)

US Germany UK Japan

Jun1997

Jan'01

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

-2.00-1.000.001.002.003.004.005.006.00Realized Inflation (12-Month, in %)

*US: PCE ex food/energy; Eurozone: HICP ex food/energy/alcohol/tobaccoUK: CPIH ex food/energy/alcohol/tobacco; Japan: CPI ex food/energy

US Eurozone UK Japan

Jun1997

Jan'01

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

-3.00-2.00-1.000.001.002.003.004.005.0010-Yr Government Breakeven Inflation Yields (%)

*UK breakeven inflation and real yields are adjusted to reflect historical differences between the Retail Price Index (RPI) and the Consumer Price Index (CPI)**See Appendix for data sources


Jun1997

Jan'01

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

-3.00-2.00-1.000.001.002.003.004.005.0010-Yr Government Real Yields (%)


13

Long-Run Trends in Spreads

Mar2003

Jan'06

Jan'08

Jan'10

Jan'12

Jan'14

Jan'16

Jan'18

Jan'20

Jan'22

010020030040050060070080010-Yr US Corporate OAS (bps)

BBB A AA

Mar2003

Jan'06

Jan'08

Jan'10

Jan'12

Jan'14

Jan'16

Jan'18

Jan'20

Jan'22

010020030040050060070080010-Yr Euro Sovereign OAS (bps)*


Italy France Spain

Mar2003

Jan'06

Jan'08

Jan'10

Jan'12

Jan'14

Jan'16

Jan'18

Jan'20

Jan'22

010020030040050060070080010-Yr Euro OAS (bps)*

*Spread to German government curve**See Appendix for data sources

BBB A AA

Mar2003

Jan'06

Jan'08

Jan'10

Jan'12

Jan'14

Jan'16

Jan'18

Jan'20

Jan'22

0

250

500

750

1000

125010-Yr Emerging Markets Sovereign OAS (bps)*

*Spread to US Treasury curve

Mexico Brazil Turkey Indonesia

14

Trends in Yield and Return Volatilities

Jan2000

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

0

50

100

150

20010-Yr Government Nominal Yield Volatility (bps)*

US Germany UK Japan

1 3 5 7 10 15 20 30Maturity (years)

0

50

100

150

200US Nominal Yield Volatility Curve (bps)*

18-Mar 2022 24-Sep 2021 26-Mar 2021

Jan2000

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

0

50

100

150

20010-Yr US Yield Volatility (bps)*

*Realized volatility using exponential time decay with half life of 18-weeks**See Appendix for data sources

Nominal BEI Real

Jan2000

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

0

10

20

30

40

50

60Equity and 10-Yr US Government Return Volatility (%)*

US 10-Yr NominalMSCI USA

MSCI World ex USAMSCI Emerging Markets

15

Trends in Correlations and Yield Curve Slope

Jan2000

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

-0.75

-0.50

-0.25

0.00

0.25

0.50

0.75

1.00Return Correlations: Equities & 10-Yr US Government*

10-Yr Nominal vs: MSCI USAMSCI Emerging Markets

MSCI World ex USA

Jan2000

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

-0.75

-0.50

-0.25

0.00

0.25

0.50

0.75

1.00Return Correlations: US Equity & 10-Yr US Real, BEI*

MSCI USA vs: 10-Yr Government BEI10-Yr Government Real

Jan2000

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

-0.75

-0.50

-0.25

0.00

0.25

0.50

0.75

1.00Yield Correlations: 10-Yr US Government*

*Realized correlation using exponential time decay with half life of 2-years**See Appendix for data sources

10-Yr Nominal vs: 10-Yr BEI 10-Yr Real

Jan2000

Jan'04

Jan'07

Jan'10

Jan'13

Jan'16

Jan'19

Jan'22

-200

-100

0

100

200

300

400

500Yield Curve Slope: 10-Yr less 3-Month (bps)

US Germany UK Japan

16

FX Trends

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

95

100

105

110

115

120

125Strength of US Dollar


Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

90100110120130140150160170180Strength of US Dollar

vs MXN vs BRL vs CAD vs KRW

0 1 2 3 4 5Maturity (years)

85

90

95

100

105FX Forward Curve: Strength of US Dollar*

*As of March 24

***See Appendix for data sources

vs EUR vs GBP vs JPY

Apr2018

Jan'19

Jul'19

Jan'20

Jul'20

Jan'21

Jul'21

Jan'22

0

5

10

15FX Volatility (%)**

**Realized volatility using exponential time decay with half life of 18-weeks

USD/EUR USD/GBP USD/JPY USD/CNY

17

GDP

2020 2021 Q22021

Q3'21

Q4*'21

-10.0

-5.0

0.0

5.0

10.0US GDP (%)

*Most recent quarterly GDP: 1.7

2020 2021 Q22021

Q3'21

Q4*'21

-10.0

-5.0

0.0

5.0

10.0Eurozone GDP (%)


2020 2021 Q22021

Q3'21

Q4*'21

-10.0

-5.0

0.0

5.0

10.0China GDP (%)


2020 2021 Q22021

Q3'21

Q4*'21

-10.0

-5.0

0.0

5.0

10.0Japan GDP (%)


**See Appendix for data sources

2020 2021 Q22021

Q3'21

Q4*'21

-10.0

-5.0

0.0

5.0

10.0UK GDP (%)


2020 2021 Q22021

Q3'21

Q4*'21

-10.0

-5.0

0.0

5.0

10.0Germany GDP (%)

*Most recent quarterly GDP: -0.3

18

Data Sources

Yields and Spreads MSCI zero coupon yield and spread curves

Indexes MSCI USA Index, MSCI World ex USA Index, MSCI Europe Index, MSCI China, MSCI Emerging Market Index

Relative Strength of Currencies MSCI

Inflation and GDP OECD, Eurostat, UK Office of National Statistics, Cabinet Office of Japan, US Bureau of Economic Analysis, US Bureau of Labor Statistics, National Bureau of Statistics China

20

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Daily Fixed-Income Insights - MSCI

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