5Y Treasury minus Fed Funds in 2007
5Y Treasury minus Fed Funds opened 2007 at -62 bps and closed at 39 bps, a +162.90% move for the year. The high of 39 bps was reached on December 31, and the low of -139 bps on November 26.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | -62 bps | -51 bps | -37 bps | -63 bps | +17.74% |
| Feb | -45 bps | -89 bps | -42 bps | -89 bps | -97.78% |
| Mar | -81 bps | -76 bps | -69 bps | -84 bps | +6.17% |
| Apr | -71 bps | -78 bps | -57 bps | -78 bps | -9.86% |
| May | -72 bps | -42 bps | -42 bps | -72 bps | +41.67% |
| Jun | -31 bps | -39 bps | -8 bps | -39 bps | -25.81% |
| Jul | -41 bps | -68 bps | -12 bps | -68 bps | -65.85% |
| Aug | -70 bps | -71 bps | -3 bps | -105 bps | -1.43% |
| Sep | -96 bps | -35 bps | -35 bps | -112 bps | +63.54% |
| Oct | -68 bps | -44 bps | -15 bps | -85 bps | +35.29% |
| Nov | -57 bps | -125 bps | -23 bps | -139 bps | -119.30% |
| Dec | -124 bps | 39 bps | 39 bps | -124 bps | +131.45% |
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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