Parameta Launches IRS Volatility Indices

TP Icap’s data and analytics division, Parameta Solutions, has launched a new family of interest rate swap volatility indices that the firm says aims to offer robust and transparent daily indices for the markets.

The new indices provide market participants with a forward-looking implied volatility measure for some of the most liquid option expiry, swap tenor combinations in the EUR and GBP interest rate swap markets. They will be powered by input data and analytics from Icap’s broking desks, and be administered, calculated and disseminated by Parameta Solutions, which is an authorised UK and European Union benchmark administrator.

“IRSV indices are built on a theoretical foundation for measuring interest rate swap volatility, providing market participants with a model-free measure of spot implied volatility in the world’s major interest rate swap markets,” says Anand Venkataraman, head of benchmark and indices product management at Parameta Solutions. “Predictive power of model-free implied volatility estimates have been shown to have superior predictive power over other commonly used volatility forecasting measures. Such an approach to create IRSV indices will be able to assist market participants with accurate interest rate volatility measures, both when making investment decisions and when measuring investment risks.”

Will Ferguson, senior managing director, Icap G10 Rates, adds, “Central Banks hiking policy rates rapidly from near zero levels to combat rising inflation, and uncertainty driven by other regional events has created opportunity and volume in our interest rates business. A partnership with Parameta Solutions to develop innovative solutions like the IRSV indices will facilitate new liquidity opportunities and help us enhance our leadership position.”