Index swap

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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 ?
In 2014, the size of the Euro money market was estimated through the annual Money Market Survey (MMS) to be almost 80 trillion with 80% comprised of secured and unsecured lending, FX Swaps and Euro Overnight Index Swaps (OIS).
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.
Citi said it nwill make these indices available to institutional clients through index swaps and funded structures.
Overnight Index Swaps linked to the April 7 meeting have risen to their highest levels since ECB President Trichet took markets by surprise at the March policy meeting by signalling a rate hike was likely next month.
For example, swap dealers use futures to hedge their net exposure--the residual risk remaining after a dealer internally nets OTC swaps with offsetting exposures--and may not be able to untangle and identify the futures positions that are attributable specifically to commodity index swaps.
Meanwhile the closely-watched spread between three-month lending rates and overnight index swaps, a sign of where markets think Bank rate will be in three months time, narrowed to 1.
Meanwhile, the closely-watched spread between three-month lending rates and overnight index swaps narrowed to 1.
These concerns are shown in the closely-watched spread between three-month interbank rates and overnight index swaps - a measure of where markets think interest rates will be in three months' time.
NEW YORK -- Phoenix Partners Group, a leading interdealer broker with offices in New York, London, Switzerland and Paris, announced today that last week it surpassed $2 trillion in North American credit derivative index swaps the firm has brokered since it was founded six years ago.
28 February 2014 -- US-based options and futures exchange operator CME Group Inc's (NASDAQ: CME) London-based CME Clearing Europe European clearing house unit said that it has received Bank of England approval to add overnight index swaps zero coupon swaps forward rate agreements basis swaps variable notional swaps and SEK DKK and NOK currencies for clearing beginning 3 March to its existing interest rate swap offering.
Equity-derivative products include options, equity index swaps and convertible bonds.
The commodity index business is comprised of a product platform of commodity index swaps and funded notes based on the benchmark Dow Jones-AIG Commodity Index (DJ-AIGCI).