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ISPX Invoice Spread Data
This joint Parameta Solutions and CME service delivers a transparent invoice spread by bringing together U.S. Treasury futures and USD swap market data. It offers a consistent, cross‑curve view to support pricing, trading, and relative‑value analysis.
The Parameta Solutions difference
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Real-Time Invoice Spread Calculation
Enables traders to identify arbitrage opportunities between swaps and futures instantly.
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Multi-Tenor Coverage (2Y, 5Y, 10Y, 30Y, Ultra)
Supports comprehensive curve trading and hedging strategies across the U.S. Treasury curve
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Integration of CME Futures and Parameta Swap Data
Provides a consolidated view of two critical markets, reducing operational complexity and improving decision-making.
Purpose‑built for futures and swap market strategies
Market participants rely on accurate, real‑time pricing to manage interest rate exposure across U.S. Treasury futures and USD interest rate swaps. Invoice spreads help align these markets, supporting trading, hedging, and risk management activity.
The ISPX Invoice Spread delivers a transparent, consistent view of the futures‑swap relationship across key Treasury maturities. It supports basis analysis, duration and curve management, and insight into liquidity across futures and swap markets.
Built for active participants in Treasury and swap markets, the service supports both discretionary and systematic workflows. Data can be used directly for pricing and execution or integrated into algorithmic and automated trading strategies.
The solution also supports evolving analytical needs, with scope for derived measures such as convexity‑adjusted spreads and advanced portfolio analytics. Flexible licensing enables both display and non‑display use across screens, models, and execution platforms.
Three ways to connect to our credit data
Direct
Cloud delivery
Multibrand records multiple solutions including AWS and Snowflake.
Channel partners
Page Based Content available for Bloomberg and LSEG.
Get your ISPX Invoice Spread Data Sample
Complete the form below to access a sample of ISPX Invoice Spread data and explore transparent pricing across Treasury futures and USD swaps.
ISPX & Invoice Spreads FAQs
What is ISPX Invoice Spread?
ISPX Invoice Spread is a specialist market data product developed jointly by Parameta Solutions and CME. It brings together high‑quality over‑the‑counter (OTC) interest rate swap data with exchange‑traded Treasury futures pricing, enabling analysis that isn’t possible using a single data source alone.
Why was ISPX Invoice Spread developed?
Different parts of the interest rate market trade in different ways.
Parameta has deep expertise in OTC derivatives, while CME is a global leader in Treasury futures pricing. ISPX Invoice Spread combines these strengths to support analysis of relative value between swaps and Treasuries, an area of growing importance for trading, risk management, and strategy.
What types of data does ISPX Invoice Spread provide?
ISPX Invoice Spread includes two core datasets:
- Swap Spreads – Comparing interest rate swap rates with US Treasury yields
- Invoice Spreads – Comparing swap rates with Treasury futures, rather than spot Treasuries
Together, these datasets allow users to analyse pricing relationships across swaps, cash Treasuries, and futures markets.
What are swap spreads?
Swap spreads measure the difference between an interest rate swap rate and a Treasury yield of the same maturity. They are widely used to assess market expectations, relative value, and funding conditions across the rates market.
Swap spreads are a specialist dataset and are treated as a premium product within Parameta’s offering.
What makes Parameta’s swap spreads different?
Parameta’s swap spreads are a dedicated, standalone product, rather than a simple extension of standard rates data. They are not easily replicated using commonly available datasets, making them particularly valuable for firms that trade or analyse relative value strategies.
What are invoice spreads?
Invoice spreads compare interest rate swaps with Treasury futures rather than with spot Treasury yields.
This reflects the way many market participants hedge and trade in practice, particularly where futures are used instead of cash bonds.
Why are invoice spreads useful?
Invoice spreads provide insight into the pricing relationship between swaps and futures markets. This is especially relevant for:
- Futures‑based hedging strategies
- Relative value trading
- Understanding differences between cash and futures‑linked pricing
They offer a more practical view of market dynamics for participants active in futures markets.
Who typically uses ISPX Invoice Spread?
ISPX Invoice Spread is designed for institutional capital markets participants, including:
- Trading desks
- Risk management teams
- Strategy and analytics teams
It is particularly relevant for users analysing relative value between swaps, Treasuries, and futures.
Is ISPX Invoice Spread part of Parameta’s core rates dataset?
No. ISPX Invoice Spread is a separate, specialist product.
While it complements Parameta’s broader rates offering, swap spreads and invoice spreads are treated as distinct datasets due to their complexity and market significance.
How is CME involved in ISPX Invoice Spread?
ISPX Invoice Spread incorporates CME Treasury futures pricing as a core input. The product is branded as ISPX Invoice Spread to reflect this collaboration, but it remains a Parameta data product, delivered and supported by Parameta.
Can swap spreads and invoice spreads be licensed separately?
Yes. The swap spreads and invoice spreads datasets are positioned as separate, premium offerings, allowing clients to access one or both depending on their needs.
Why is ISPX Invoice Spread important now?
Relative value analysis between swaps, Treasuries, and futures has become increasingly important as market structure, liquidity, and hedging practices evolve. ISPX Invoice Spread is designed specifically to support this analysis with consistent, cross‑market data.