USD rates · public disclosure only

What the public tape and the statutory blanks say about insurers' rate books

Series through——

Daily par SOFR curves stripped from the CFTC public swap tape, forward-start swap flow, and the derivative positions and collateral that life insurers disclose in NAIC Schedule DB. Everything here is derived and aggregated; no raw trade records or licensed data are republished.

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.

fixed-float · NEWT · spot start 0–5d
IQR-trimmed median per tenor

—

Par curve, selected day

selected1m earlier1y earlier

2y · 10y · 30y par history

2y10y30y

2s10s and 10s30s, bp

2s10s10s30s

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.

Forward-start prints per day

daily20d mean

≥10y-forward prints per day

daily20d mean

Spot-start IRS notional traded, $bn/day

daily20d mean

Monthly roll

notional in $bn; capped prints carry the DTCC cap, so notional is a floor

Insurer tracker

Open derivative positions and net fair value from Schedule DB Part A, by filing period, for the insurers whose public PDFs carry position detail. Quarterly blanks exist for four of them; the rest report at year-end only. Net fair value is the sum of reported fair values across all products, in $m.

Schedule DB Part A Section 1
positions = open rows at period end

Positions and net fair value by period

sparkline = net FV, $m

Book turnover, latest year pair

surviveddroppedadded

Rows matched on trade date, maturity, notional and counterparty between consecutive year-end blanks. Option-heavy books (Athene, Corebridge) turn over almost entirely inside a year; swap books mostly persist.

Counterparties named across FY2025 books

top 12 by open positions

Collateral regimes

Collateral pledged by each insurer to counterparties (Schedule DB Part D Section 2), and how it splits between cleared initial margin, cleared variation margin and dealer bilateral postings where the blank itemizes it. The regime shapes how a rate move turns into a margin call: cleared books move with a SIMM-like ladder, bilateral CSAs with a house multiplier.

Part D Section 2 · fair value of collateral pledged
I = initial, V = variation

Collateral pledged by insurer, year-end, $bn

FY2024FY2025

Itemized split, FY2025

share of itemized rows; blank total may exceed itemized sum

How well public inputs predict the posted collateral

median absolute error, %; trained on 2024 periods, tested on 2025

Where the regime is legible from the blank, an analytic model gets close: a constant IM plus deterministic VM explains MetLife's LCH postings to within 3%, and a CSA multiplier on underwater NPV explains Genworth's bilateral book to within 11%. Across mixed-product netting sets with no product split disclosed, learned models do worse than simply carrying forward last year's number. That gap is a disclosure limit, not a modelling one.

Filing coverage

Which insurers post their statutory annual statement publicly, and whether the posted PDF carries Schedule DB position detail. Groups that omit the E-pages disclose totals only; groups with no public posting require NAIC InsData.

Method and pipeline

What runs, when, and what each stage may publish.

Capture

DTCC PPD cumulative rates file, one zip per business day; ICE Trade Vault CFTC ticker export. Both have rolling retention (≈24 months and 365 days), so the archive on disk is the only permanent copy.

cron · 07:30 weekdays

Derive

Filter to NEWT USD fixed-float, execution date = file date. Spot-start prints snap to tenor and give trimmed-median par nodes; forward-start and ≥10y-forward prints are counted and summed. One JSON row per day.

cron · 07:45 weekdays

Statutory ingest

Insurer annual and quarterly PDFs, pdftotext -layout, header-anchored column parsing for Schedule DB Parts A, B and D. Positions, fair values, counterparties, collateral by margin type.

quarterly · after filing deadline

Publish

Aggregated series only. Curves, counts and notional sums from the tape; period totals and per-insurer aggregates from the blanks. Raw prints and raw filing rows stay on the research drive.

on derive · static JSON → this page

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.
Net fair value: Sum of Schedule DB Part A fair values across all open positions at period end, $m, sign as reported.
Pledged by: Fair value of collateral the insurer has posted to counterparties (Part D Section 2), the blank's own total line.

Data terms. DTCC public dissemination data and ICE Trade Vault ticker data are used under their public-access terms; neither is redistributed here in raw form. NAIC statutory statements are public filings posted by the insurers themselves; figures shown are aggregates of those filings. Nothing on this page is investment advice.

Known limits. Curves are par-only and unadjusted for convexity or CCP basis. Position counts depend on each insurer's blank layout; MetLife legacy swaps (2006–10 vintages) do not reprice on a vanilla model and are counted but not valued. Collateral totals mix all product classes; a rates-only split is not disclosed.

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