5Y Treasury minus Fed Funds in 2015
5Y Treasury minus Fed Funds opened 2015 at 149 bps and closed at 156 bps, a +4.70% move for the year. The high of 167 bps was reached on June 10, and the low of 107 bps on February 2.
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 149 bps | 112 bps | 149 bps | 110 bps | -24.83% |
| Feb | 107 bps | 144 bps | 150 bps | 107 bps | +34.58% |
| Mar | 145 bps | 131 bps | 158 bps | 126 bps | -9.66% |
| Apr | 120 bps | 135 bps | 135 bps | 114 bps | +12.50% |
| May | 137 bps | 141 bps | 148 bps | 133 bps | +2.92% |
| Jun | 143 bps | 155 bps | 167 bps | 143 bps | +8.39% |
| Jul | 157 bps | 146 bps | 158 bps | 137 bps | -7.01% |
| Aug | 138 bps | 146 bps | 151 bps | 124 bps | +5.80% |
| Sep | 135 bps | 130 bps | 148 bps | 124 bps | -3.70% |
| Oct | 124 bps | 145 bps | 145 bps | 116 bps | +16.94% |
| Nov | 145 bps | 157 bps | 163 bps | 145 bps | +8.28% |
| Dec | 146 bps | 156 bps | 161 bps | 130 bps | +6.85% |
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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