Curve steady, spreads tighten, volatility and credit sit at extremes
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.
The ten-year swap added a basis point on the day and sits at the 94th percentile of its one-year range, with the curve ten basis points positive after a flat month. Swap spreads continued to grind in across the belly and long end, the thirty-year now sixty-four below Treasuries versus seventy in the prior month. One-year-ten-year swaption volatility, at 103.9 basis points, stands at the 96th percentile of the year, and CDX IG, thirteen basis points wider than its one-year low, sits at the 97th.
The day's story · Credit: Investment-grade protection costs sit near a year's high — CDX IG five-year at 61 bp, the 97th percentile of its series, +3 bp on the week.
Five-year
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.
Yield, %
CDX IG 5y, bp
Ten-year
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.
Yield, %
CDX IG 10y, bp
Replication yield: Treasury + CDX IG
What an investment-grade dollar earns when built the way an insurer is allowed to build it: buy 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. It 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.
5-year: Treasury + CDX IG 5y, %
10-year: Treasury + CDX IG 10y, %
Spreads
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.
Swap spread to Treasury, bp
TIPS swapped to fixed, pickup over Treasury, bp
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
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.