Index swap

Index swap

A swap of a market index for some other asset, such as a stock-for-stock or debt-for-stock swap.

Index Swap

Any swap where one of the legs is an index of any kind. For example, one may swap an index for a portfolio of bonds, or for anything else. Because it is impossible to actually own an index fund, these swaps are settled in cash. See also: Cash Settlement.
References in periodicals archive ?
It traded the first ever rouble Overnight Index Swap after the RUONIA index was launched in September 2010 and concluded the first ROISfix-linked loan for the rouble market in July 2011.
The central bank said that it will set a minimum rate on the 264-day credits based on the Overnight Index Swap rate plus a spread of 50 basis points.
Nasdaq: BGCP), one of the world's leading inter-dealer brokers, announced today the publication of its US dollar overnight index swap (OIS) and euro overnight index average (EONIA) pages as price references by the International Swaps and Derivatives Association (ISDA([R])).
The minimum rate at the three-month maturity will be determined based on the 3-month overnight index swap rate.
the world's largest and most diverse derivatives exchange, today announced 44 new natural gas swing and index swap futures contracts, scheduled to begin trading on April 26 for trade date April 27.
ICE gasoil BALMO swap (9Q); Argus propane (Saudi Aramco) swap (9N); and Argus propane Far East index swap (7E).
The new futures contracts and their commodity codes are: NGPL STX natural gas basis swap (T5); Algonquin Citygate natural gas basis swap (B4); TCO natural gas index swap (Q1); TETCO STX natural gas index swap (Q2); Tennessee Zone 0 natural gas index swap (Q4); Transco Zone 3 natural gas index swap (Y6); Tennessee 500 leg natural gas index swap (Y7); MichCon natural gas index swap (Y8); CIG Rockies natural gas index swap (Z8); TCO natural gas swing swap (A1); TETCO STX natural gas swing swap (T2); Tennessee Zone 0 natural gas swing swap (T4); Malin natural gas swing swap (W9); Stanfield natural gas swing swap (Q3); Transco Zone 3 natural gas swing swap (T6); Tennessee 500 leg natural gas swing swap (T7); MichCon natural gas swing swap (T8); and CIG Rockies natural gas swing swap (U8).
India's one-year overnight index swap fell around three basis points after Friday's data.
Four ICIS Heren LNG swaps, including the East Asia Index swap, were already available for clearing through CME Clear Europe, from 16 April.
6 of the platform delivers enhanced valuation capabilities to support the shift in derivatives markets towards Overnight Index Swap (OIS) discounting, giving clients the flexibility to adopt OIS discounting for collateral calculations and valuation of their derivative positions.
Reserve Bank Governor Alan Bollard is expected to boost the OCR 132 basis points over the coming year, according to the Overnight Index Swap curve.
The spread expresses the three-month premium paid over anticipated central bank rates, or Over night Index Swap rates, and is seen as a gauge of banks' willingness to lend to each other - a wider spread is seen as an indication of decreased inclination to lend.