5Y Treasury minus Fed Funds in 2011
5Y Treasury minus Fed Funds opened 2011 at 183 bps and closed at 79 bps, a -56.83% move for the year. The high of 225 bps was reached on February 10, and the low of 71 bps on September 22.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 183 bps | 178 bps | 196 bps | 175 bps | -2.73% |
| Feb | 184 bps | 197 bps | 225 bps | 184 bps | +7.07% |
| Mar | 196 bps | 214 bps | 215 bps | 173 bps | +9.18% |
| Apr | 213 bps | 188 bps | 222 bps | 188 bps | -11.74% |
| May | 187 bps | 158 bps | 187 bps | 158 bps | -15.51% |
| Jun | 150 bps | 169 bps | 169 bps | 132 bps | +12.67% |
| Jul | 172 bps | 124 bps | 172 bps | 124 bps | -27.91% |
| Aug | 115 bps | 88 bps | 115 bps | 81 bps | -23.48% |
| Sep | 82 bps | 90 bps | 91 bps | 71 bps | +9.76% |
| Oct | 79 bps | 90 bps | 113 bps | 79 bps | +13.92% |
| Nov | 82 bps | 86 bps | 86 bps | 79 bps | +4.88% |
| Dec | 89 bps | 79 bps | 89 bps | 74 bps | -11.24% |
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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