10Y-3M Yield Spread in 2015
10Y-3M Yield Spread opened 2015 at 210 bps and closed at 211 bps, a +0.48% move for the year. The high of 248 bps was reached on June 10, and the low of 166 bps on January 30.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 210 bps | 166 bps | 210 bps | 166 bps | -20.95% |
| Feb | 166 bps | 198 bps | 212 bps | 166 bps | +19.28% |
| Mar | 206 bps | 191 bps | 223 bps | 186 bps | -7.28% |
| Apr | 184 bps | 204 bps | 205 bps | 183 bps | +10.87% |
| May | 211 bps | 211 bps | 226 bps | 211 bps | +0.00% |
| Jun | 217 bps | 234 bps | 248 bps | 217 bps | +7.83% |
| Jul | 242 bps | 212 bps | 242 bps | 212 bps | -12.40% |
| Aug | 208 bps | 213 bps | 220 bps | 195 bps | +2.40% |
| Sep | 214 bps | 206 bps | 224 bps | 204 bps | -3.74% |
| Oct | 205 bps | 208 bps | 212 bps | 199 bps | +1.46% |
| Nov | 212 bps | 199 bps | 226 bps | 199 bps | -6.13% |
| Dec | 194 bps | 211 bps | 212 bps | 190 bps | +8.76% |
Events During 2015
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.
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 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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