10Y-2Y Yield Spread in 2007
10Y-2Y Yield Spread opened 2007 at -12 bps and closed at 99 bps, a +925.00% move for the year. The high of 104 bps was reached on December 11, and the low of -15 bps on January 19.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | -12 bps | -11 bps | -9 bps | -15 bps | +8.33% |
| Feb | -12 bps | -9 bps | -9 bps | -14 bps | +25.00% |
| Mar | -7 bps | 7 bps | 9 bps | -7 bps | +200.00% |
| Apr | 5 bps | 3 bps | 5 bps | 0 bps | -40.00% |
| May | 1 bps | -2 bps | 1 bps | -6 bps | -300.00% |
| Jun | -2 bps | 16 bps | 22 bps | -4 bps | +900.00% |
| Jul | 14 bps | 22 bps | 24 bps | 14 bps | +57.14% |
| Aug | 20 bps | 39 bps | 55 bps | 18 bps | +95.00% |
| Sep | 43 bps | 62 bps | 66 bps | 40 bps | +44.19% |
| Oct | 54 bps | 54 bps | 64 bps | 47 bps | +0.00% |
| Nov | 59 bps | 93 bps | 101 bps | 59 bps | +57.63% |
| Dec | 99 bps | 99 bps | 104 bps | 93 bps | +0.00% |
Events During 2007
The 2008 Financial Crisis remains the deepest and most instructive market event of the 21st century. Subprime losses cascaded through leveraged balance sheets, froze interbank lending, and forced unprecedented central bank intervention.
US home prices peaked in summer 2006 after a 106% rally from 2000. Subprime mortgage underwriting collapsed in late 2006, setting up the 2008 crisis. The peak is the canonical example of a market top visible only in retrospect.
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