Enabling structured product issuance with transparent EUR & USD swap rate index

The issuance of interest rate–linked structured products relies on the availability of a transparent and independently governed reference index capable of supporting pricing, trading/hedging, valuation, and post trade risk management throughout the product lifecycle. In recent years, strong investor demand for interest rate–linked structured products has continued across European markets, particularly within insurance and private banking distribution channels. At the same time, the availability, accessibility, and transparency of reference indices used within these instruments has become increasingly important for issuers and distributors. 

These dynamics have reinforced the need for reference indices that can support structured product issuance while meeting expectations around transparency, accessibility, and independent verification of index levels.

This case study examines how Société Générale adopted Parameta’s EUR and USD Swap Rate Indices in response to these market changes, and how access to a publicly available OTC derived reference rate enabled the continued issuance and distribution of interest rate–linked structured products. 

Background: the role of reference indices in structured products 

Interest rate–linked structured products represent a significant share of issuance activity across European capital markets, particularly within private banking and insurance‑wrapped investment solutions. These instruments derive their performance from an underlying benchmark, such as a swap rate index, which determines coupon payments or final payoffs based on prevailing market conditions. 

For issuing banks, reference indices play a central role not only in product structuring and pricing, but also in downstream valuation processes conducted by distributors, insurers, and asset managers once the product has been issued. Consequently, the methodological robustness and public dissemination of index levels have become increasingly important in jurisdictions where stricter governance requirements apply to financial instruments distributed through insurance or retail channels.

The market context: demand for transparent swap rate benchmarks

Across European markets, particularly in France and Benelux, structured products distributed via insurance and retail channels require robust valuation frameworks supported by transparent and observable reference indices. In this context, the accessibility and methodology of the underlying benchmark play an important role in supporting issuer, distributor, and insurer requirements 

As structured products rely on observable and independently verifiable benchmarks, the availability of publicly accessible swap rate indices remains an important factor for supporting issuance, valuation, and downstream governance processes across the product lifecycle. 

To support these requirements, reference indices used within structured products must provide: 

• Publicly available and regularly updated index levels 
• Transparent and well-documented methodologies 
• Sufficient historical data for back-testing and valuation 
• Accessibility for distributors and insurers conducting independent checks 
• Integration into pricing, hedging, and risk management workflows 

The Parameta Solution: EUR & USD OTC Swap Rate Indices 

To address this market need, Parameta Solutions developed a new family of EUR and USD Swap Rate Indices designed specifically for use within interest rate–linked structured product payoffs. 

The indices are built using proprietary ICAP interdealer broker swap market data, allowing calculations to reflect deep, executable liquidity observed within the OTC interest rate swap market. By grounding index levels in transaction based and order driven market activity, the methodology provides a representation of prevailing swap market dynamics that can be used to support both product pricing and risk management. 

From launch, Parameta’s EUR and USD Swap Rate Indices were designed to meet the requirements of issuing banks and downstream distributors by offering: 

• Publicly available daily index levels 
• Ten years of historical data for back testing and valuation 
• Transparent methodology documentation 
• Automated publication via Bloomberg, and public websites (Parameta Solutions, Zone Bourse, Market Screener) 
• Integration into issuer pricing and hedging frameworks 

This combination of transparency and accessibility enables distributors and insurers to independently reference index levels when conducting valuation or governance checks on structured products linked to the reference prices. 

Adoption across issuers and distributors 

Societe Generale was among the early market participants engaged during the development of the EUR and USD Swap Rate Indices and subsequently adopted the benchmarks in structured product issuance following their launch in September 2025.  

For insurance linked distribution channels in particular, the availability of ten years of historical data and documented calculation methodology facilitated the valuation of index linked liabilities held within wrapper products. 

Additional European banks, including Crédit Agricole and BNP Paribas, entered into licensing arrangements and began issuing structured products referencing the EUR index. 

Subsequent approvals were received from a number of global banking institutions, including: 

• Bank of America 
• Citi 
• JPMorgan 
• Barclays 
• Natixis 

Structured products linked to the Parameta Swap Rate Indices have also been approved for distribution by major European insurers such as AXA, Cardif, Swiss Life, Generali, and Spirica. 

To date, approximately $500 million in structured products* have been issued referencing the Parameta EUR and USD Swap Rate Indices, reflecting growing adoption among issuers and distributors seeking interest rate benchmarks that combine OTC market relevance with public dissemination. 

Source: Parameta Solutions 

Supporting pricing, valuation, and risk management 

Beyond initial product structuring, the indices also serve as: 

• A valuation reference for insurers holding index linked liabilities 
• An independently observable benchmark for distributor governance 
• A pricing input for internal hedging and risk management frameworks 
• A transparent market indicator derived from OTC swap activity 

Because index levels are freely accessible via Bloomberg and Parameta’s public website, stakeholders across the structured products value chain are able to reference the same benchmark throughout the lifecycle of linked instruments. 

Enabling future issuance 

The adoption of the EUR and USD Swap Rate Indices by issuing institutions highlights the role of transparent, publicly available benchmarks in supporting structured product issuance. As demand for interest rate–linked products continue, access to OTC-derived indices with clear governance and methodology is expected to remain an important component of the structured products ecosystem. 

Looking ahead, Parameta Solutions intends to expand the index family to support: 

• Additional fixing times (e.g. 9am, 1pm, 4.15pm) 
• Further currencies including GBP, AUD, CAD, and JPY 
• Adjacent asset classes such as inflation, credit or interest rate option payoffs 

As regulatory expectations around benchmark governance and transparency continue to evolve, publicly available OTC derived indices are expected to play an increasingly important role in enabling compliant structured product issuance.

Benchmark & Index solutions

Parameta’s Benchmarks & Indices team leverages TP ICAP’s unique OTC derivatives data, sourced from the world’s largest interdealer broker, to create robust, transparent indices that provide insight into complex and traditionally hard to price markets.

Parameta Solutions is authorised as a benchmark administrator by the UK Financial Conduct Authority and recognised by the European Securities and Markets Authority.

Contact us for further information.