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.

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References in periodicals archive

The consistent widening of the Libor-overnight index swap spread all suggests that liquidity is declining in global financial markets even as systemic credit risk rises.

What does rising Libor mean for global financial markets?

According to Principia, version 6.6 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.

Principia releases Principia SFP version 6.6 with support for OIS discounting

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.

Cost of interbank lending eases across Europe, new data shows

A key indicator of liquidity is the spread between the London Interbank Borrowing Rate (Libor) on a term loan and the interest rate paid on an Overnight Index Swap (OIS) for a comparable maturity.

A focus on quantitative easing

Index swap. Another way to defer tax on appreciated securities is to swap the portfolio's performance for that of an index fund through a contractual agreement with a brokerage firm.

What to do about low-basis stock

India's one-year overnight index swap fell around three basis points after Friday's data.

India's inflation hits 10-month low in Nov

Barclays Capital will purchase the metals contracts and create an index swap for the fund, based on Castlestone's desired weightings.

Castlestone launches world's only precious metals UCITS fund

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.

Bank of Mexico to auction USD4bn from Fed swap line