Parameta Solutions Indices
Overview
Unlock new opportunities with our index solutions — designed to support the development of innovative instruments, enhance performance tracking, and provide access to often inaccessible asset classes. Built on rich data from the TP ICAP ecosystem, Parameta currently offers three families of indices providing critical insight into breakeven inflation swaps, interest rate swap volatility, and global LNG markets.
Interest Rate Swap Volatility Indices
Interest Rate Swap Volatility Indices
Parameta’s Interest Rate Swap Volatility (IRSV) indices aim to provide market participants with a model-free measure of spot implied volatility in the USD, Euro, and GBP interest rate swap markets.
Derived from interest rate swaption prices, an index is available for each of the 48 most liquid option expiry, swap tenor combinations. Each index distils the information content of up 24 different ATM and OTM payer and receiver strikes into a single measure of implied volatility for each option expiry/swap tenor combination.
Source: Parameta Solutions. All index data current as of 20/06/2025.
USD Interest Rate Swap Volatility Indices (USD IRSV)
Download FactsheetEUR Interest Rate Swap Volatility Indices (EUR IRSV)
Download FactsheetGBP Interest Rate Swap Volatility Indices (GBP IRSV)
Download FactsheetBreakeven Inflation Swap Index Family
Breakeven Inflation Swap Index Family
Parameta’s Breakeven Inflation Swap Indices (BISI) family provide market participants with a family of indices tracking the performance of a monthly rolling strategy investing in inflation swaps of different tenors linked to the EMU HICP ex-tobacco, UK RPI inflation indices, or French CPI ex-tobacco.
Each Parameta index replicates the performance of the strategy for the specified index tenor. Each month-end, the strategy invests in an inflation swap of the specified tenor at the prevailing swap rate and holds the swap for a month. During the month the swap is marked to market and at the end of the month, the strategy unwinds the swap and institutes a new swap at the specified tenor. All members of the BISI family are excess return indices reflecting the performance of the swap only.
Source: Parameta Solutions. All index data current as of 20/06/2025.
EMU HICP ex-tobacco Breakeven Inflation Swap Indices (EUX BISI)
Download FactsheetUK RPI Breakeven Inflation Swap indices (UKR BISI)
Download FactsheetFrench CPI ex-tobacco Breakeven Inflation Swap Indices (FRX BISI)
Download FactsheetGlobal LNG Indices
Global LNG Indices
Parameta’s Global LNG Basis Indices aim to to provide market participants with appropriate hedging mechanics associated with established contracts as natural gas evolves from large regional markets to a global marketplace.
Our LNG indices are focused on the differentials between three major natural gas markets outlined below to provide users active balancing of LNG between the following regions: U.S Henry Hub (HH), Dutch Title Transfer Facility (TTF), and Japan/Korea Marker (JKM). The family will consist of 3 main indices: East/West LNG (JKM Vs TTF), Cross Pacific LNG (JKM vs HH), and Transatlantic LNG (TTF vs HH).
Source: Parameta Solutions. All index data current as of 22/05/2025.
