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 ?
For the sixth consecutive week, the two largest positive contributions over the past year were made by the difference between the three-month London Interbank Offering Rate and the three-month Overnight Index Swap rate (LiborOIS_3mo) and the TED.
India's one-year overnight index swap fell around three basis points after Friday's data.
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.
An index swap also allows investors to defer tax on appreciated securities by swapping the portfolio's performance for that of an index such as the Standard & Poor's 500 or the Nikkei index.
S&P Total Return futures will function as a traditional index futures contract, with the underlying index being the SPTR index, the most common underlying equity index swap.
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])).
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 minimum rate at the three-month maturity will be determined based on the 3-month overnight index swap rate.
Significant inflows into commodities via index swaps and commodity ETFs (mostly crude oil) sustained what turned out to be a false hope - namely that the commodity cycle had turned, that a bottom had passed and that a recovery was on its way.