Curve flattens as the ten-year touches a one-year high
Daily par SOFR curves stripped from the CFTC public swap tape, swap spreads to Treasury, and forward-start swap flow. Everything here is derived and aggregated; no raw trade records or licensed data are republished. The insurers' statutory books are on the Insurers page.
The ten-year sits at 4.7508 percent, the top of its one-year range, up 79 basis points over three months and 109 over the year. The 2s10s spread has narrowed to 1 basis point from 21 a month ago, and 10s30s has gone flat from 22. Long spot swap prints running well above their 21-day average, though forward-start structures lag theirs.
The day's story may be elsewhere · Options: One-by-ten vol sits near its year's high — 1y10y normal vol at 98 bp, the 98th percentile of its year, +9 bp on the week.
Curve monitor
Par swap rates by tenor, one curve per trading day, built from spot-starting USD fixed-vs-SOFR prints on the DTCC public tape (trimmed medians, tenor-snapped). Scrub to any day; the ghost lines show one month and one year earlier where the series reaches.
IQR-trimmed median per tenor
Par curve, selected day
2y · 10y · 30y par history
2s10s and 10s30s, bp
Forward-start flow
Forward-starting USD swaps on the public tape (effective date more than 10 days after execution). The deep bucket is the one insurers and pension hedgers live in: swaps starting ten or more years forward. Daily bars with a 20-day mean; the table rolls by month. Prints matching the structures insurers hold are counted in the section below.
Forward-start prints per day
≥10y-forward prints per day
Spot-start IRS notional traded, $bn/day
Monthly roll
notional in $bn; capped prints carry the DTCC cap, so notional is a floorInsurer-linked prints today
Today's swap prints that match the structures in insurers' Schedule DB books: decade-forward LTC hedges, 20-year-plus receive-fixed lines, bilateral jumbo hedges and uncleared long swaps. A match says the structure is the kind an insurer holds, not who traded it; the tape does not show the side. The books themselves, and the tests, are on the Insurers page.
Prints matching insurer-book structures, per day
Structures and latest counts
Method and pipeline
What runs, when, and what each stage may publish.
pdftotext -layout, header-anchored column parsing for Schedule DB Parts A, B and D. Positions, fair values, counterparties, collateral by margin type.Definitions
- Par node
- Median fixed rate of spot-starting prints whose maturity snaps to the tenor (within tolerance), after dropping prints outside 1.5×IQR.
- Spot start
- Effective date 0–5 calendar days after execution.
- Forward start
- Effective date more than 10 days after execution; ≥10y-forward means at least 3,652 days.
- Capped print
- Notional reported at the DTCC dissemination cap and flagged with "+"; the true size is larger.
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. Every section above has a "Section requests" link that lands here with the section preselected.