Swap Rate Index

Parameta’s Swap Rate Indices deliver daily mid‑market swap rates across multiple tenors, built from tick‑level OTC data at a defined daily fixing time for EUR and USD markets.

Derived directly from broker‑sourced pricing, the indices provide a transparent and replicable view of interest rate swap markets, supporting accurate valuation and benchmark construction.

Designed for real‑world use, they are widely applicable across derivative settlement, risk management, and structured product applications, with additional monthly average variants available to support longer‑term analysis and portfolio use cases.

Our EUR and USD Swap Rate Indices were named Index of the Year at the SRP Europe Awards, a major milestone for our Benchmarks & Indices business.

Created to bring greater transparency, robustness, and accessibility to interest‑rate‑linked structured products, these indices have quickly earned trust across the market.

Early adoption from leading issuers, including Société Générale, highlights the growing impact and credibility of our methodology and data foundations.

The Swap Rate Indices over time interactive chart displays historical trends, as well as daily updates, of our swap rate indices for EUR and USD across multiple tenors. The Y-axis represents the swap rate index (in percentage terms), while the X-axis shows the time progression over the selected period.

The chart illustrates the evolution of the swap rate fixings over time. Users can interact with the chart by applying filters for currency, time period, and tenor, enabling comparative analysis of rate movements. Hover functionality provides precise data points for each tenor over time.

The chart monitors swap rate fixings movements over time and the index can be used for risk management, pricing, and market analysis purposes.