Crossover moves, investment grade holds near the year's top
Every credit default swap on the CFTC public tape: the CDX and iTraxx indices that carry almost all of the volume, their tranches and options, and the thin residue of single names. Index levels are on-the-run traded spreads by series, roll-aware, with price-quoted indices converted on the day's SOFR curve. The Rates page supplies the discounting; the Insurer roundup scores each print against the synthetic-credit book MetLife discloses in Schedule DB.
CDX.NA.IG sits at 55.9 basis points, little changed on the day but four wider on the week and near the top of its one-year range, at the ninety-first percentile. The Crossover has done the week's work, up 43 basis points to 271, against a one-point daily pullback. Index prints of 2,843 and $246.94 billion of notional carry the tape; the structures insurers favor remain a small, steady undertow beneath it.
The day's story may be elsewhere · Rates: Curve flattens further as the belly leads — the ten-year at the 98th percentile of its one-year range, -4 bp on the week.
Index board
On-the-run 5-year levels for the main indices, one row per series so a change is always taken on the same contract: across a roll (20 March, 20 September) the new series is shown and the day-on-day change is marked. Spread-quoted indices (IG, iTraxx Main, financials) print a traded spread directly; price-quoted indices (HY, EM, Crossover) print an upfront, converted here to price and to an equivalent spread with a flat-hazard risky annuity at 40% recovery on the day's SOFR curve.
CDX.NA.IG 5y, bp · traded spread, daily median
CDX.NA.HY 5y · price, points
iTraxx Europe Main and Crossover 5y, bp
On-the-run series, latest day
Credit vs rates
The tie to the Rates page. CDX IG 5y is set against the 5-year swap spread (par SOFR swap minus the Treasury) and the 5-year par rate itself. When swap spreads and credit spreads move together the market is pricing one balance-sheet story; when they part, the tape is saying something about dealer intermediation or Treasury supply rather than corporate credit. The co-movement is a rolling 60-day correlation of daily changes.
IG 5y spread vs 5y swap spread, bp
60-day correlation of daily changes
Tape flow
What actually prints: index outrights and packages, index tranches, index options, and single names. The USD/EUR split is by index notional. Single-name reference entities are not reliably named on the public tape, so single names are counted and sized, not listed.
Prints per day, by product
Index notional per day, $bn
Latest day by index family
Single names and tranches, latest day
Insurer roundup
Each day's credit prints scored against the synthetic-credit book in the FY2025 Schedule DB filings: MetLife's sold protection on CDX IG (5-year and the 10-year series to 2035) and iTraxx Europe, cleared at ICE in $50–430m lines; bilateral super-senior and mezzanine tranches on IG37–39 up to $1bn; and protection bought on Brazil. A match says the structure is the kind an insurer holds; it does not say who traded it, and the tape does not show which side. The same scoring runs on the Rates, Asset swaps, TIPS and Options pages.
Prints matching insurer-book structures, per day
Profiles, latest counts, and what the filings hold
Credit derivatives in Schedule DB, FY2025
position-level disclosureMethod & caveats
Everything derived from the DTCC public price dissemination CREDITS file and the Observatory's own SOFR curve; nothing licensed.
- Index level
- NEWT/TRAD prints with UPI FISN "NA/CDS Corp Idx" or "NA/CDS Sov Idx", grouped by UPI underlier name and expiration date. The on-the-run series in a tenor bucket (5y = 4.3–5.6 years to expiry) is the latest expiration with at least five prints. Level = daily median.
- Spread-quoted
- Coupon-100 indices report the traded spread in the spread field (decimal). Checked against the upfront: an ISDA-style flat-hazard annuity on the day's SOFR 5y reproduces the field spread within 1% on IG.
- Price-quoted
- HY, EM and Crossover report a price in the spread field and an upfront fee (type UFRO). Points = 100 × upfront ÷ notional; price = 100 ± points with the sign read off the field price; equivalent spread solves coupon − points / RPV01(s) = s with recovery 40%, quarterly premium, discounting at SOFR 5y.
- Roll
- Changes are taken on the same expiration when both days have it; on a roll day the new series' change is shown against the old series and marked "roll".
- Capped notional
- Prints above DTCC's block cap carry "+" and understate size; they count in prints and profiles but are excluded from upfront-derived levels because the fee is reported against the capped notional.
- Credit vs rates
- 5y swap spread and 5y par from the Rates page's derived curve and Treasury's constant-maturity yields. Correlation is Pearson on daily changes over a rolling 60-trading-day window.
Requests
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