The AI capex bill reached equities on Friday; credit priced it in July · irates.today
USD rates and credit · public disclosure only

The AI capex bill reached equities on Friday; credit priced it in July

Series through2026-11-03provisional · intraday tape
Public markets → institutional books
Daily market. SOFR and EUR/GBP curves, swap spreads, forward starts, swaptions, caps and floors, TIPS and inflation swaps, CDX and iTraxx — derived from the public swap-data-repository tape.
Institutional books. The derivative positions life insurers disclose in their NAIC statutory filings, parsed to position level.
The connection. Each day’s public prints scored against the structures sitting on those books — a match is a shape, never a name.
Written by the editor 1 · AI capex

The chain's equity leg arrived on Friday; protection had priced it since July

Friday was the day equities caught up with the single-name tape. On the single-stock swap file the chain's stocks fell two to twelve percent on the day — the neoclouds and AMD eleven to twelve, Oracle six, Broadcom five, Nvidia four — index swap notional doubled to $10bn and the VIX went from 17.2 to 19.4. The catalyst was in the third-quarter calls, not on the tape: five operators guiding to $828bn of 2026 capital spending, four of them cash-flow negative, Microsoft's first bond in nine years at $25bn and Meta's plan for up to $95bn of equity — the issuer's side of note 04's collateral argument, which Dean Lee sets out. Protection had priced the names since July and still ranks them: Oracle 293 basis points, Broadcom 190 and 34 wider on the week, Microsoft 53 and barely moved. The technical reading — that the protection is issuance hedging rather than a credit view — explains the volume but not the ranking: Microsoft issued most and moved least. The paper has to go somewhere, and the statutory books are where it has been going.

Read the AI capex page · Chart this · Dean Lee's essay
2 · Equity

VIX at 21.1 sits in the 87th percentile

The VIX closed at 21.1, up four on the week and the 87th percentile of its year, alongside the chain's single-stock selloff. Three-month-into-ten swaption vol stood at 164 basis points, 7.8 basis points of rates vol per VIX point, the ratio itself at its own year's top.

Read the Equity page · Chart this
3 · Credit

CDX IG holds near the top of its range

CDX.NA.IG five-year closed at 61.9 basis points, the 95th percentile of its one-year range, down one on the week even as the capex chain's single names moved apart from it. The crossover index eased sixteen basis points over the week to 298.7.

Read the Credit page · Chart this
4 · Rates

Ten-year falls seven basis points on the week

The ten-year sits at 4.5185 percent, down 31 basis points on the month, with two-tens compressed to 7 basis points from 18 a month back. Deep forward-starting prints ran 332 over five days against a twenty-day average of 419.2.

Read the Rates page · Chart this
5 · Europe

Euro curve flattens, swap spreads widen further

The euro curve continues to flatten, two-ten at 17 basis points against 32 a month ago, with the ten-year EuroSTR swap now 19 basis points through the AAA government curve versus 14.8 a month back. Sterling's ten-year SONIA rate eased 9 basis points on the week.

Read the Europe page · Chart this

Five-year

Yield, %

SOFR swap 5yTreasury 5yTIPS swapped to fixed, <7y

CDX IG 5y, bp

on-the-run series

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.

Ten-year

Yield, %

SOFR swap 10yTreasury 10yTIPS swapped to fixed, 7–12y

CDX IG 10y, bp

on-the-run series

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.

Replication yield: Treasury + CDX IG

5-year: Treasury + CDX IG 5y, %

Treasury + CDX IGTreasury 5y

10-year: Treasury + CDX IG 10y, %

Treasury + CDX IGTreasury 10y

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.

Spreads

Swap spread to Treasury, bp

5y10y

TIPS swapped to fixed, pickup over Treasury, bp

<7y7–12y

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.

Insurer-linked prints today

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.

Research notes

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.

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Open-Sourced Rates Observatory · a ruxton.ai research product · About & methodology · rates@ruxton.ai
Derived from DTCC Data Repository (U.S.) public dissemination data, Treasury.gov reference series and insurers' publicly posted NAIC statutory statements. Aggregates only; not investment advice.

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.