USD rates · asset swaps · inflation

Bonds swapped to SOFR, and what the inflation tape says about TIPS

Series through——

Asset-swap packages are the swap leg of a bond-plus-swap trade: the coupon is exchanged for SOFR plus a spread. They are not labelled on the public tape, so they are identified by structure. Zero-coupon CPI-U swaps carry the market's breakeven inflation directly; matched to TIPS maturities they give a float-equivalent spread for owning real bonds.

Relative value board

Everything on one axis: the spread each instrument earns over the nominal Treasury of the same maturity, in basis points, medianed over a week so thin days don't drive the picture. A plain SOFR swap is the swap spread; an asset-swap package is its fixed-equivalent yield minus the Treasury; a TIPS swapped to fixed is real yield plus swap breakeven minus the Treasury.

Spread to Treasury, bp · last complete week vs prior

Weekly history, 7–12y bucket, bp

SOFR swapasset-swap packagesTIPS swapped to fixed

Asset-swap flow

Fixed-vs-SOFR prints reported with a package indicator and a package spread — the swap side of a bond asset swap, with the bond leg reported to TRACE rather than the SDR. Count and notional per day; the spread shown is the package price in basis points (negative: the swapped bond yields less than SOFR flat).

Package-spread prints per day

daily20d mean

Median package spread by tenor bucket, bp

<7y7–12y>12y

20-day rolling median of daily medians; a bucket is drawn only on days with at least 10 prints.

Swapped back to fixed, latest day

fixed-equivalent = par swap at the print's tenor + package spread

Fixed-equivalent yield vs Treasury par, 7–12y, %

swapped bonds, fixed-equiv.nominal Treasury

Daily medians. A gap near zero says the swapped bonds are Treasuries; a persistent premium says agencies, MBS or credit.

Monthly roll

notional in $bn; capped prints carry the dissemination cap, so notional is a floor

Inflation swaps

USD zero-coupon swaps on CPI-U (UPI underlier USA-CPI-U). Near-spot prints give the breakeven curve; a large share each day are seasoned — effective dates months or years in the past, the signature of swaps written against an existing bond.

Breakeven curve, latest vs 1m and 1y earlier

latest1m1y

2y · 5y · 10y breakeven history, %

2y5y10y

CPI-swap prints per day

allseasoned

TIPS

A TIPS asset swap earns the real coupon plus realized CPI; a CPI swap on the same maturity fixes the inflation leg at the breakeven. The float-equivalent spread is c_real + breakeven − par swap(T), computed per print against that day's par curve. Where Treasury's own par curves are on file, the page also shows swap spreads and the swap-vs-TIPS breakeven gap (iota).

Fixed-equivalent curve of asset-swapped TIPS

TIPS swapped to fixed (real par + swap breakeven)nominal Treasury parSOFR swap par

TIPS swapped to fixed vs the equivalent Treasury, latest day

Swapped TIPS yield vs Treasury par, 7–12y bucket, %

TIPS swapped to fixednominal Treasury

Pickup over Treasury by bucket, bp

<7y7–12y>12y

Daily median of (real par yield + swap breakeven − nominal Treasury par) across matched prints; 10-day rolling median; buckets need ≥3 prints.

TIPS asset-swap spread, bp (float-equivalent over SOFR)

<7y7–12y>12y

Swap spreads and iota by tenor, latest, bp

swap spread = par swap − Treasury par; iota = CPI-swap breakeven − TIPS breakeven

Insurer footprint

What the FY2025 Schedule DB blanks disclose: positions the filer labels as asset swaps or whose description names the underlying, and inflation-linked swaps. Most insurers swap bonds inside the general account without a Schedule DB label, so this is a floor.

Schedule DB Part A · FY2025
notional and fair value in $m

Method and caveats

Definitions

Package-spread print: NEWT fixed-float USD print with package indicator set and a reported package price; the bond leg is not on the SDR. Identification follows the studio's asset-swap screen (signals S1–S6); this page uses the package population, not the stricter scored band.
Tenor bucket: Maturity minus effective date: under 7y, 7–12y, over 12y.
Breakeven node: Trimmed median fixed rate of near-spot (|effective − execution| ≤ 20d) CPI-U zero-coupon swaps snapping to the tenor.
Seasoned print: Effective date more than 20 days before execution; typically written to a bond's dated date.
TIPS ASW spread: Buy the TIPS, pay inflation on a CPI swap to the same maturity, receive the breakeven: the package is a synthetic nominal yielding real yield + breakeven. Float-equivalent = real par yield(T) + print breakeven − par swap(T), in bp (falls back to the bond's real coupon when Treasury's real curve is not on file). Matched on the CPI swap's expiration equal to a TIPS maturity.
Synthetic nominal vs Treasury: Real par yield + swap breakeven − nominal Treasury par at the same maturity: how much more the TIPS package yields than the comparable nominal bond (the TIPS liquidity premium, normally positive).

Known limits. Package price sign and unit conventions vary by venue; the median is robust but individual prints are not comparable without the bond leg. TIPS matching by maturity date is unambiguous for TIPS-only dates and approximate where a nominal shares the date. The Treasury par curves are Treasury's published constant-maturity series, not bond-specific yields.

Data terms. Derived aggregates only from DTCC public dissemination data, TreasuryDirect and Treasury.gov reference series, and insurers' public statutory statements. Not investment advice. Comments are at the bottom of this page.

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