Curve steepens, spreads narrow, swaption vol jumps
Five sessions of the public tape in one place: how the swap curve, swap spreads, credit indices, breakevens and TIPS moved from Friday close to Friday close, the path they took getting there, and what printed. Every figure is the same derived series the daily pages carry.
The swap curve moved up across the board, the ten-year swap rate rising 20 basis points to 4.794 percent, with the two-to-ten spread widening to 6 basis points from flat. Swap spreads narrowed at every tenor, the ten-year to -37.6 basis points from -41.3, the thirty-year to -67.0 from -70.4. The ten-year breakeven held near 2.45 percent, CDX HY eased to 107.0 from 107.44, and one-year-into-ten-year swaption volatility rose to 101.4 basis points from 63.5, the week's more striking number. Tuesday and Wednesday saw the ten-year swap rate move within a range of 4.5722 to 4.794 percent; Wednesday, September 24, carried the heaviest volume of the week.
Curve shift
The par SOFR curve at Friday's close against the prior Friday, and the change by tenor in basis points. Treasury constant-maturity yields alongside where Treasury's series is on file.
Par swap curve, %
Change on the week by tenor, bp
Daily paths
Where each market closed on each day of the week, prior Friday as the starting point. Yields in percent, spreads in basis points.
10-year: swap and Treasury, %
Credit: CDX IG and HY 5y, spread bp
Swap spread to Treasury, bp
Inflation: 10y CPI breakeven, % · TIPS swapped to fixed 7–12y, %
Tape activity
What printed each day: new USD swaps, forward-starting swaps, index CDS, and the prints on each tape that match a structure life insurers hold in Schedule DB.
Prints per day
Insurer-linked prints per day, by tape
Counts of prints matching the structures on the Insurers page; a match is a shape, not a name.
Week at a glance
Closes by day and the change from the prior Friday. Dashes mark days a series had no print or no reference.
Earlier weeks
Each review stays at its own address after it leaves the page bar.
Requests
Ask for a series or a cut of the week, or send a correction. Posts are visible to everyone with the page; sign with a name or handle if you want a reply.