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 through2026-11-02provisional · 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.
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.
CDX.NA.IG five-year closed at 62 basis points, at the 95th percentile of its one-year range, two wider on the month while the single-name protection on the capex chain runs 57 over the index. The iTraxx Crossover moved eight wider on the day to 301, still down 21 over the week.
Quarter-year into ten-year vol sits at the 89th percentile
The quarter-year into ten-year normal vol stands at 96 basis points, at the 89th percentile of its one-year range, even as the VIX move on the capex names shows equity and rates vol stirring on the same day. Swaption prints totaled 235 against a twenty-day average of 314.
The ten-year fell 6 basis points on the day and 35 over the month, at the 86th percentile of its one-year range, moving the same week protection on the capex chain's Oracle and Broadcom diverged. Deep forward prints ran at 269 against a prior twenty-day pace of 435.
The euro curve has flattened over a month, two-tens-thirty at 18 basis points against 27 a month ago, with the ten-year €STR at the 85th percentile of its one-year range. Crossover sits at 301, main at 65, down 3 on the week.
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.