HY Credit Spread (OAS) in 2015
HY Credit Spread (OAS) opened 2015 at 508 bps and closed at 695 bps, a +36.81% move for the year. The high of 733 bps was reached on December 14, and the low of 438 bps on March 2.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 508 bps | 526 bps | 542 bps | 508 bps | +3.54% |
| Feb | 526 bps | 446 bps | 526 bps | 443 bps | -15.21% |
| Mar | 438 bps | 482 bps | 491 bps | 438 bps | +10.05% |
| Apr | 486 bps | 459 bps | 486 bps | 452 bps | -5.56% |
| May | 453 bps | 458 bps | 458 bps | 445 bps | +1.10% |
| Jun | 452 bps | 500 bps | 500 bps | 446 bps | +10.62% |
| Jul | 488 bps | 536 bps | 549 bps | 488 bps | +9.84% |
| Aug | 545 bps | 570 bps | 614 bps | 529 bps | +4.59% |
| Sep | 578 bps | 662 bps | 662 bps | 554 bps | +14.53% |
| Oct | 667 bps | 590 bps | 683 bps | 588 bps | -11.54% |
| Nov | 584 bps | 640 bps | 641 bps | 573 bps | +9.59% |
| Dec | 640 bps | 695 bps | 733 bps | 632 bps | +8.59% |
Events During 2015
Brent crude fell from $115 in June 2014 to $27 in January 2016, a 77% collapse. Shale oversupply and OPEC's refusal to cut production broke the commodity supercycle that had dominated markets since 2003.
The PBoC devalued the yuan by 1.9% in a single day on August 11, 2015, the first meaningful devaluation since 1994. Global risk assets convulsed.
The Swiss National Bank abandoned its 1.20 EUR/CHF floor on January 15, 2015. The franc immediately surged 30%, blowing up retail FX brokers and exposing the fragility of exchange rate commitments.
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