10Y-2Y Yield Spread in 1987
10Y-2Y Yield Spread opened 1987 at 88 bps and closed at 106 bps, a +20.45% move for the year. The high of 140 bps was reached on October 21, and the low of 75 bps on May 28.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 88 bps | 85 bps | 92 bps | 81 bps | -3.41% |
| Feb | 87 bps | 84 bps | 91 bps | 79 bps | -3.45% |
| Mar | 83 bps | 97 bps | 97 bps | 78 bps | +16.87% |
| Apr | 94 bps | 83 bps | 114 bps | 83 bps | -11.70% |
| May | 92 bps | 80 bps | 92 bps | 75 bps | -13.04% |
| Jun | 78 bps | 90 bps | 90 bps | 77 bps | +15.38% |
| Jul | 92 bps | 103 bps | 110 bps | 91 bps | +11.96% |
| Aug | 109 bps | 103 bps | 109 bps | 92 bps | -5.50% |
| Sep | 107 bps | 103 bps | 117 bps | 102 bps | -3.74% |
| Oct | 104 bps | 130 bps | 140 bps | 83 bps | +25.00% |
| Nov | 126 bps | 126 bps | 126 bps | 104 bps | +0.00% |
| Dec | 124 bps | 106 bps | 126 bps | 99 bps | -14.52% |
Events During 1987
Mexico defaulted on its external debt in August 1982, triggering a seven-year crisis that engulfed Brazil, Argentina, Chile, and most of Latin America. The "lost decade" reshaped emerging market finance.
G5 finance ministers agreed at the Plaza Hotel in New York to coordinate intervention that weakened the dollar. The accord engineered a 50% decline in DXY over two years and set the stage for the 1987 crash and Japan's bubble.
The Dow Jones Industrial Average fell 22.6% on October 19, 1987, the largest single-day percentage decline in history. Portfolio insurance and program trading amplified the crash.
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