Ten-year breakeven falls to bottom of year's range · irates.today
USD rates and credit · public disclosure only
Ten-year breakeven falls to bottom of year's range
Series through2026-11-10617 trading days from 2024-07-01
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.
The ten-year CPI swap breakeven stands at 2.345 percent, down 11 basis points on the day and 8 on the week, a reading at the second percentile of its one-year range. The two-year and five-year have also softened, falling 20 and 12 basis points respectively over the week. Swapped TIPS continue to price above nominals, with the pickup versus Treasuries at 21.9 basis points, while insurer-sized swap prints run below their 21-day average of 25.8 a day.
The VIX closed at 19.5, down 9 on the week to the 77th percentile of its year. Rates vol stood at 3.0 basis points per VIX point even as the ten-year moved to its own 88th percentile.
The ten-year added 12 basis points on the day, reaching the 88th percentile of its range, while twos-tens narrowed to 3 basis points from 19 a month ago. IRS prints ran to 6,842 against a 20-day average of 5,370.
CDX investment-grade five-year held at 59.6 basis points, down 2 on the week even as the ten-year Treasury rose 4, spreads and rates diverging. Crossover fell 30 basis points over the week, the larger move among the indices shown.
The euro ten-year eased 22 basis points on the month to the 79th percentile of its range, with twos-tens narrowing to 15 basis points from 26. Main iTraxx sits at 59.5, down 5 on the week, broadly tracking the steadier CDX investment-grade index.
Stories ranked across the site's pages by how far each market sits from its usual range and how much it moved this week; the editor may pin the lead. Every figure is on the page it links to.
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.
Requests
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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.
Requests
Ask for a series, a cut of the data, or a correction. Posts are visible to everyone with the page; sign with a name or handle if you want a reply, or write to rates@ruxton.ai.