10Y-3M Yield Spread in 2011
10Y-3M Yield Spread opened 2011 at 321 bps and closed at 187 bps, a -41.74% move for the year. The high of 360 bps was reached on February 8, and the low of 172 bps on September 22.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 321 bps | 327 bps | 336 bps | 317 bps | +1.87% |
| Feb | 333 bps | 327 bps | 360 bps | 327 bps | -1.80% |
| Mar | 327 bps | 338 bps | 345 bps | 312 bps | +3.36% |
| Apr | 339 bps | 328 bps | 355 bps | 327 bps | -3.24% |
| May | 326 bps | 299 bps | 326 bps | 299 bps | -8.28% |
| Jun | 291 bps | 315 bps | 315 bps | 286 bps | +8.25% |
| Jul | 320 bps | 272 bps | 320 bps | 272 bps | -15.00% |
| Aug | 267 bps | 221 bps | 267 bps | 205 bps | -17.23% |
| Sep | 213 bps | 190 bps | 213 bps | 172 bps | -10.80% |
| Oct | 178 bps | 216 bps | 240 bps | 178 bps | +21.35% |
| Nov | 200 bps | 207 bps | 209 bps | 187 bps | +3.50% |
| Dec | 210 bps | 187 bps | 210 bps | 181 bps | -10.95% |
Events During 2011
S&P stripped the United States of its AAA credit rating on August 5, 2011, the first time in history. Markets whipsawed as the debt ceiling fight showed political risk could reprice government creditworthiness.
Greece's debt revelation in October 2009 triggered a multi-year eurozone crisis that threatened the euro's survival. Greece, Ireland, Portugal, Spain, and Italy required emergency support. Mario Draghi's "whatever it takes" in 2012 ended the acute phase.
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