Curve bull-flattens as deep forward flow builds
The ten-year sits unchanged on the day but 43 basis points lower on the month, at the 83rd percentile of its one-year range. Two-tens has compressed to 9 basis points from 23 a month ago, while ten-thirties has widened to 14. Deep forward prints ran 417 over the last five days against a 306 one-year average per five days, though structures matching insurer forward-start books remain below their 21-day pace.
The day's story may be elsewhere · TIPS & inflation: Breakevens drift lower, ten-year sits near year's bottom — ten-year CPI breakeven at 2.36%, the 3th percentile of its year, -9 bp on the week.
Curve monitor
IQR-trimmed median per tenor
Par curve, selected day
2y · 10y · 30y par history
2s10s and 10s30s, bp
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.
Forward-start flow
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 floorForward-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.
Insurer-linked prints today
Prints matching insurer-book structures, per day
Structures and latest counts
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.
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.
About this page · 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.
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