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Anfield Fixed Income Update: January 2022

Taking a moment to step back and analyze the composition and trajectory of the domestic fixed income market as the new year gets under way, we start by looking to CreditSights’ short-term fixed income outlook. While rates markets have seen a bumpy start to 2022 as US Treasury yields have climbed higher, spread products like corporate credit have generally held up well. However, for many fixed income asset classes, duration – a measure of sensitivity to interest rate changes – is near all-time highs, leaving them vulnerable to total return losses on even modest moves in rates.

Within the domestic market, we believe high yield (HY) fixed income products (rated below BBB), are best positioned to generate positive total return in 2022, as it offers some yield and a relatively short duration profile as compared with other asset classes. European investment grade (IG), US IG, Munis and US Treasuries offer the least yield per unit of duration, leaving these asset classes particularly vulnerable to return volatility in a rising interest rate environment. This is particularly important considering as of the week of this writing, most Wall Street investment banks are now forecasting 3-4 interest rate hikes from the Federal Reserve during the year.

In conjunction with the large move in US Treasury yields at the start of the year, IG and HY yields have also climbed. This move resulted in total return losses totaling -1.7% for IG and -0.9% for HY as the current mix of very low yields and relatively long duration leaves these asset classes susceptible to total return losses on even relatively small moves in the broader rate environment. IG effective duration, as of January 10th, stands at 8.2 years, well longer than the long-term median of 6.2 years and the post-GFC median of 7.0 years. HY, on the other hand, has not seen a similar duration extension as duration for this asset class stands at 4.2 years, in-line with both the post-GFC and long-term median.

Sources: CreditSights (return data as of 1/10/2022)

Universal Fixed Income Strategies: Benchmark agnostic and line-item bond security portfolios looking to highlight our best ideas in bond space

Dynamic Bond strategy: Benchmark aware to the Bloomberg Barclay’s Aggregate Index and is a top-down macro-focused ETF of ETFs.


Current Fixed Income Positioning Definitions:

o Duration represents the current value for each of the funds and indices noted

o Curve represents where each of the funds and indices are positioned on the yield


o Government represents the percentage allocated to Government bonds within the

funds and indices

o Credit represents the percentage allocated to Investment Grade and High Yield

Credit within the funds and indices

o MBS represents the percentage allocated to Mortgage-Backed Securities within the

funds and indices

o Yield (YTM) represents the Yield to Maturity of the funds and indices

Anfield Capital Management, LLC is a registered investment adviser with the SEC. This report is for informational purposes only and does not constitute advice, an offer to sell, or a solicitation of an offer to buy any securities and may not be relied upon in connection with any offer or sale of securities. The contents of this report should not be relied upon in making investment decisions. The information and statistical data contained herein have been obtained from sources that we believe to be reliable but in no way are warranted by us as to accuracy or completeness. The accompanying performance statistics are based upon historical performance and are not indicative of future performance. The types of investments discussed do not represent all the securities purchased, sold, or recommended for clients. You should not assume that investments in the securities or models identified and discussed were or will be profitable. Results of the models do not reflect the performance result of any one client. Not all clients have experienced this specific return level. Actual client returns may differ materially from the performance of the models due to actual fees incurred by clients, timing of cash flows, or client restrictions (e.g., restrictions on specific securities, industries, or types of securities). Clients who invested in the models after our initial trade date for any security may have experienced materially different performance and may have lost money.

While many of the thoughts expressed in this report are stated in a factual manner, the discussion reflects only Anfield Capital’s beliefs about the financial markets in which it invests portfolio assets following the models. The descriptions herein, are in summary form, are incomplete and do not include all the information necessary to evaluate an investment in any model. The models described represents current intentions. However, Anfield Capital may pursue any objectives, employ any techniques, or purchase any type of financial investment that it considers appropriate for the models and in the best interests of its clients.

Any prior investment results or returns are presented for illustrative purposes only and are not indicative of future returns. An investment in the models presented herein involves a high degree of risk and could result in the loss of your entire investment. Investments with Anfield are subject to significant risks, which include, but are not limited to, the risk of loss of principal, lack of diversification, volatility, and market disruptions. Prospective investors are referred to our Form ADV 2A for a more detailed discussion of risk factors, which can be (a) found on the SEC's Investment Adviser Public Disclosure website at:, or (b) provided upon request. You should not construe the contents of this report as legal, tax, investment, or other advice. No representation, warranty or undertaking, express or implied, is given as to the accuracy or completeness of the information or opinions contained herein by Anfield Capital, its employees and no liability is accepted by such persons for the accuracy of completeness of any such information or opinions. Registration as an investment adviser does not imply a certain level of skill or training and no inference to the contrary should be made.

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