Historical Year Data · 2022
5Y Treasury minus Fed Funds in 2022
5Y Treasury minus Fed Funds opened 2022 at 129 bps and closed at -34 bps, a -126.36% move for the year. The high of 278 bps was reached on June 14, and the low of -72 bps on December 16.
Open
129 bps
2022-01
Close
-34 bps
249 data points
High
278 bps
Jun 14
Low
-72 bps
Dec 16
Full Year Change
-126.36%
2021 Change
+340.74%
Monthly Breakdown
| Month | Open | Close | High | Low | Change |
|---|---|---|---|---|---|
| Jan | 129 bps | 154 bps | 158 bps | 129 bps | +19.38% |
| Feb | 155 bps | 163 bps | 188 bps | 152 bps | +5.16% |
| Mar | 148 bps | 209 bps | 222 bps | 148 bps | +41.22% |
| Apr | 222 bps | 259 bps | 263 bps | 222 bps | +16.67% |
| May | 268 bps | 198 bps | 268 bps | 187 bps | -26.12% |
| Jun | 211 bps | 143 bps | 278 bps | 143 bps | -32.23% |
| Jul | 130 bps | 38 bps | 160 bps | 36 bps | -70.77% |
| Aug | 33 bps | 97 bps | 97 bps | 33 bps | +193.94% |
| Sep | 106 bps | 98 bps | 142 bps | 83 bps | -7.55% |
| Oct | 82 bps | 119 bps | 137 bps | 76 bps | +45.12% |
| Nov | 119 bps | -1 bps | 122 bps | -1 bps | -100.84% |
| Dec | -15 bps | -34 bps | -3 bps | -72 bps | -126.67% |
Events During 2022
2022 Fed Rate Hiking Cycle
Stagflation
March–December 2022
The Fed raised rates 425bps in 2022, the fastest hiking cycle since the Volcker era. The 60/40 portfolio posted its worst year since 1937.
2022 UK Mini-Budget & Gilt Crisis
Stagflation
September 23 – October 14, 2022
UK Prime Minister Liz Truss's September 23, 2022 mini-budget triggered a collapse in sterling and gilts. LDI pension strategies faced forced liquidation. The Bank of England intervened to prevent financial instability.
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