10Y Treasury minus Fed Funds in 2015
10Y Treasury minus Fed Funds opened 2015 at 200 bps and closed at 207 bps, a +3.50% move for the year. The high of 237 bps was reached on June 10, and the low of 156 bps on February 2.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 200 bps | 162 bps | 200 bps | 161 bps | -19.00% |
| Feb | 156 bps | 194 bps | 202 bps | 156 bps | +24.36% |
| Mar | 196 bps | 188 bps | 212 bps | 177 bps | -4.08% |
| Apr | 175 bps | 197 bps | 197 bps | 173 bps | +12.57% |
| May | 199 bps | 204 bps | 215 bps | 199 bps | +2.51% |
| Jun | 207 bps | 227 bps | 237 bps | 207 bps | +9.66% |
| Jul | 230 bps | 212 bps | 231 bps | 209 bps | -7.83% |
| Aug | 202 bps | 213 bps | 214 bps | 186 bps | +5.45% |
| Sep | 203 bps | 199 bps | 216 bps | 192 bps | -1.97% |
| Oct | 192 bps | 209 bps | 209 bps | 186 bps | +8.85% |
| Nov | 208 bps | 213 bps | 224 bps | 208 bps | +2.40% |
| Dec | 202 bps | 207 bps | 220 bps | 182 bps | +2.48% |
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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