Breakevens drift, swap-TIPS gap holds near eleven basis points
The ten-year CPI swap breakeven sits at 2.453 percent, down 2 basis points on the day and 2 on the month, leaving it near the middle of its one-year range. The ten-year TIPS breakeven runs lower still, at 2.34 percent, keeping the swap-minus-TIPS gap at 11.3 basis points, wider than the 5.8 seen at the five-year point. Insurer-sized prints numbered 18 against a 21-day average of 20.2; seasoned structures ran slightly ahead of their own average, at 50 against 46.3.
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.
Inflation swaps
Breakeven curve, latest vs 1m and 1y earlier
2y · 5y · 10y breakeven history, %
CPI-swap prints per day
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.
TIPS
Fixed-equivalent curve of asset-swapped TIPS
TIPS swapped to fixed vs the equivalent Treasury, latest day
Swapped TIPS yield vs Treasury par, 7–12y bucket, %
Pickup over Treasury by bucket, bp
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)
Swap spreads and iota by tenor, latest, bp
swap spread = par swap − Treasury par; iota = CPI-swap breakeven − TIPS breakevenA 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 creal + 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).
Insurer-linked prints today
Prints matching insurer-book structures, per day
Structures and latest counts
Today's inflation prints that match the structures in insurers' Schedule DB books: insurer-sized 10-year CPI swaps, seasoned CPI swaps written against a bond already owned, and CPI swaps expiring on a TIPS maturity. 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-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).
About this page · Zero-coupon CPI-U swaps on the public tape carry the market's breakeven inflation directly. Written to a TIPS maturity, a CPI swap turns the bond into a synthetic nominal: real yield plus breakeven, comparable to the Treasury of the same date and, swapped once more, to SOFR. The three instruments meet on the relative-value board.
Requests
Ask for a series, a cut of the inflation and TIPS 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.