During the first quarter, U.S. rates broadly rallied across most tenors. The two-year Treasury yield fell 132 basis points (bps) to 25 bps while the 10-year Treasury yield fell 125 bps to 67 bps as of March 31. Concurrently, credit spreads widened amid a risk-off sentiment largely driven by the COVID-19 pandemic. The backdrop of falling rates and risk-off sentiment helped propel Treasuries to their best quarterly return since the fourth quarter of 2008 as the Bloomberg Barclays US Treasury Index returned 8.20% during the first quarter of 2020.