Swap spreads narrow further as package volume climbs
Package prints ran to 851 against a twenty-day average of 748, with spread-over structures accounting for 282. The ten-year spread stands at -38.2 basis points, a touch tighter than a week ago and little changed from a month back, with the constant-maturity series showing the same spread at -37.2, up from -43.1 a month ago and -46.9 a year ago. The ten-year spread's one-year percentile reads 92, which bears watching rather than explaining.
The day's story may be elsewhere · Credit: Investment-grade spreads sit near the year's wide — CDX IG five-year at 62 bp, the 95th percentile of its series, -2 bp on the week.
Relative value board
Spread to Treasury, bp · last complete week vs prior
Weekly history, 7–12y bucket, bp
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 from the derived par curve; a spreadover package is the swap spread as actually traded against a Treasury; a TIPS swapped to fixed is real yield plus swap breakeven minus the Treasury.
Package trades on the tape
Package prints per day, by class
Traded 10y swap spread vs constant-maturity, bp
The traded figure is the median package price of spreadover prints snapping to the 10-year; the dashed line is the derived par curve minus Treasury's constant-maturity yield. Agreement to a basis point or two is a check on both.
Traded swap spreads by tenor, latest day
spreadover packages; n = prints behind the medianAsset-swap candidates, latest day
off-market fixed leg, spot start, non-IMM datesThe fixed leg is the bond's coupon, mostly seasoned low-coupon issues priced below par. Their asset-swap spread is not on the tape: it needs the bond price, which the TRACE join will supply. Until then this is a count, not a level.
Monthly roll
notional in $bn; capped prints carry the dissemination cap, so notional is a floorFixed-vs-SOFR prints reported with a package indicator and a package price. The price means whatever the package was: for a swap traded against a Treasury (a spreadover) it is the swap spread itself; for curve trades, butterflies and invoice spreads it is small; only an off-market fixed leg on non-IMM dates marks a bond being swapped. Each print is classed by those tests.
Insurer-linked prints today
Prints matching insurer-book structures, per day
Structures and latest counts
Today's swap prints that match the asset-swap structures in insurers' Schedule DB books: SOFR-plus-spread hedges of investment, bilateral swaps carrying an upfront fee against an off-market coupon, and pay-fixed swaps dated to bond maturities. A match says the structure is the kind an insurer holds, not who traded it. The books and the tests are on the Insurers page.
Method and caveats
Definitions
- Package print
- NEWT fixed-float USD print with the package indicator set and a reported package price. Classed as spreadover when the price sits within 15 bp of the day's constant-maturity swap spread at that tenor, forward when the effective date is more than 10 days out, MAC when an off-market fixed leg sits on IMM dates, asset swap when the fixed leg is more than 25 bp off par on non-IMM dates with a spot start, else curve & other.
- Traded swap spread
- Median package price of spreadover prints snapping to a tenor node, in bp; compared with the derived par swap minus Treasury constant-maturity yield.
- 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).
About this page · Package trades on the public swap tape, sorted by what the package was: swaps traded against Treasuries (spreadovers, whose price is the swap spread as actually dealt), curve and invoice packages, forward starts, and the small residue of bonds swapped to SOFR. The spreadovers give a traded swap spread by tenor to set beside the derived curve; the TIPS leg of the relative-value board lives on the TIPS & inflation page.
Requests
Ask for a series, a cut of the asset-swap 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. Every section above has a "Section requests" link that lands here with the section preselected.