How a Hedge Fund Built a Systematic Rates Strategy with Swaps Data

A new strategy, a familiar data challenge

A European hedge fund, traditionally focused on equities and FX, set out to expand into global interest rate markets. The firm was looking to create a systematic trading approach across G7 currencies, with plans to extend into G10 and selected emerging markets.

But success depended on one critical factor: access to pricing data that could be trusted not just in theory, but in execution.

Uncertain data, uncertain trades

As the strategy took shape, it became clear that existing data sources were not sufficient. Bank/dealer relationships provided end-of-day marks, but these lacked the granularity and timeliness needed to build a dynamic model.

Intraday pricing, deeper curve coverage, and reliable inputs were essential—particularly given the scale of trades, where even marginal pricing inaccuracies could materially impact P&L.

With limited internal resources, the process of sourcing, cleansing, and structuring data needed to be efficient.

Meanwhile, terminal-based datasets offered broad access to pricing, but presented a different challenge. The data was often composite in nature, making it difficult to verify its source or accuracy. When data provenance is unclear, confidence in model outputs is inherently limited. Signals may indicate where to buy or sell, but without certainty in the underlying inputs, execution becomes less precise—introducing real risk for large trades.

The fund also explored broker-derived datasets based on executed trades. While accurate, these datasets lacked sufficient depth. With too few data points, the resulting curves were unstable -characterised by peaks and troughs that made them unsuitable for systematic modelling.

The challenge wasn’t access to more data. It was access to the right data.

Data built for modelling and execution

Parameta Solutions provided a different approach. Its indicative interest rate swaps data delivered continuous coverage across the curve, offering the density required to construct smooth, reliable pricing models.

Crucially, the data aligned with observable dealer pricing. When benchmarked against independent quotes, Parameta’s outputs matched, giving the client confidence that model signals would translate into real-world execution.

Clean and structured data

Parameta worked with the fund to tailor outputs to its specific needs. Data was cleaned, structured, and refined—transforming thousands of lines into streamlined, model-ready datasets. This removed significant operational overhead, enabling the team to focus on strategy development rather than data preparation. A number of distribution options were available and the hedge find decided to take direct delivery of the data by SFTP.

Speed and partnership

With a tight timeline to launch, responsiveness was critical. Parameta collaborated closely with the client, iterating quickly and adapting datasets in real time to meet evolving requirements. This hands-on approach ensured the strategy stayed on track for deployment.

A foundation for growth

Ultimately, the decision came down to trust. By validating Parameta’s pricing against other sources, the fund gained confidence in both its data and its model outputs.

With Parameta Solutions, the firm successfully built and deployed its rates strategy—establishing a scalable foundation for expansion, and delivered what matters most: confidence at the point of execution.

About Parameta Data

Parameta Solutions is the data and analytics division of the TP ICAP Group and the exclusive provider of OTC market data from its leading brokerage brands, including ICAP, Tullett Prebon and PVM.

We deliver high‑quality market data, indices and analytics across interest rate swaps and swaptions, money markets, FX, and energy and commodities -empowering financial professionals worldwide with trusted insights for the creation of trading strategies, price discovery, pre & post trade analytics, risk management and regulatory compliance.

Contact us for further information or to request a data sample.