The VIX closed at 19.9 on November 9th, down six on the day but up three on the week, the 81st percentile of its year. Three-month-into-ten swaption vol stood at 88 basis points, 4.4 basis points of rates vol per VIX point, itself at the 70th percentile of its year, a sign equity and rates vol have moved together rather than apart.
One-year-into-ten normal vol held at 96.5 basis points, the 87th percentile of its range, even as three-month-into-ten eased to 88.2, down nine on the month.
The CDX investment-grade five-year fell two basis points to 59.5, the 85th percentile of its range, while iTraxx Crossover dropped 13 on the day and 22 on the week, spreads tightening even as rates vol climbed.
The ten-year eased five basis points on the week to 4.4656 percent, leaving 2s10s at six basis points against 19 a month ago; forward-start prints ran at nine against a 21-day average of 8.4.
The euro ten-year eased eight basis points on the week to 3.10 percent, the 79th percentile of its series, as two-year to ten-year spread narrowed to 17 basis points from 28 a month ago.
Par SOFR swap, Treasury constant-maturity yield, and TIPS asset-swapped to a fixed yield (real yield plus the CPI-swap breakeven, bonds maturing inside seven years), all in percent; CDX IG 5-year on its own axis in basis points.
The same four instruments at ten years: swap, Treasury, TIPS swapped to fixed (bonds maturing in seven to twelve years), and the CDX IG 10-year series.
The floor case of what an investment-grade dollar earns when built the way an insurer is allowed to build it: hold the Treasury and sell CDX IG protection against it. That pair is a replication (synthetic asset) transaction in the statutory sense — reported in Schedule DB Part C and carried as a synthetic corporate bond under SSAP 86 — so the yield shown here is investable for a life company, not a hypothetical. The cash leg need not be a Treasury: the rules require an admitted instrument, in practice a high-grade bond already on Schedule D, so a book can attach protection sold to paper it already holds and earn the cash leg's yield plus the spread — the series here is the lower bound. The NAIC exposed concept changes in August 2026 (Ref #2026-09) that would restrict cash components to NAIC 1 and 2 and require one downgraded below NAIC 2 to be dropped; not yet adopted. The yield differs from a cash bond by the CDS–bond basis, funding and index composition; the Treasury alone is drawn beneath so the credit contribution is the gap. Five- and ten-year, in percent.
Everything relative to the Treasury of the same maturity, in basis points: the swap spread (par swap minus Treasury, negative when swaps yield less than governments), the pickup a TIPS swapped to fixed earns over the nominal bond, and the IG index as the corporate spread the market will pay to insure.
How many of the day's public prints, on each tape, match a structure that life insurers hold in their Schedule DB books. The counts say the structure is the kind an insurer holds, not who traded it. Each figure links to the page that breaks it down; the books and the tests are on the Insurers page.
Occasional notes written from the Observatory's series when the tape says something worth more than a morning paragraph. Each is a short PDF; the figures in it can be reproduced from the published JSON.
About this page · The four curves that price a life insurer's balance sheet, side by side and rolling through time: the SOFR swap curve stripped from the public tape, the Treasury curve, TIPS swapped back to fixed, and the CDX investment-grade index. Each has its own page; this one puts them on the same axis and carries the morning note.
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