10Y-3M Yield Spread in 1987
10Y-3M Yield Spread opened 1987 at 148 bps and closed at 297 bps, a +100.68% move for the year. The high of 376 bps was reached on October 28, and the low of 134 bps on February 10.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 148 bps | 142 bps | 161 bps | 137 bps | -4.05% |
| Feb | 146 bps | 159 bps | 166 bps | 134 bps | +8.90% |
| Mar | 154 bps | 172 bps | 172 bps | 137 bps | +11.69% |
| Apr | 188 bps | 251 bps | 273 bps | 185 bps | +33.51% |
| May | 261 bps | 262 bps | 316 bps | 246 bps | +0.38% |
| Jun | 253 bps | 247 bps | 291 bps | 222 bps | -2.37% |
| Jul | 254 bps | 239 bps | 269 bps | 234 bps | -5.91% |
| Aug | 256 bps | 255 bps | 280 bps | 233 bps | -0.39% |
| Sep | 273 bps | 280 bps | 299 bps | 264 bps | +2.56% |
| Oct | 280 bps | 343 bps | 376 bps | 268 bps | +22.50% |
| Nov | 313 bps | 357 bps | 357 bps | 272 bps | +14.06% |
| Dec | 329 bps | 297 bps | 342 bps | 278 bps | -9.73% |
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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