Ten-Year Breakeven Steady as Curve Holds
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.
The ten-year CPI swap breakeven sits at 2.508 percent, unchanged on the day and up nine basis points on the month, leaving it in the 83rd percentile of its one-year range. The five-year has drifted narrower over the past year, down eight basis points, while the two-year has fallen 33. The swap-minus-TIPS spread on the ten-year runs 12.8 basis points, and TIPS swapped to fixed still pick up 11.3 basis points over the nominal Treasury.
Inflation swaps
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.
Breakeven curve, latest vs 1m and 1y earlier
2y · 5y · 10y breakeven history, %
CPI-swap prints per day
TIPS
A 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).
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 breakevenInsurer footprint
Inflation-linked swaps disclosed in the FY2025 Schedule DB blanks. TIPS holdings themselves sit in Schedule D and are not yet parsed; when they are, this table pairs each insurer's CPI swaps with the bonds they hedge.
notional and fair value in $m
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).
Comments
Corrections, requests and readings of the asset-swap and inflation data. Posts are visible to everyone with the page; sign with a name or handle if you want a reply. Every section above has a "comment on this section" link that lands here with the section preselected.