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 ?
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.
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.
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.
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.
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.
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.
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. S&P Carry Adjusted Total Return futures will have the SPCATR index as the underlying, which has quarterly reset functionality built into the index calculation that mimics the reset functionality of an equity swap.
India's one-year overnight index swap fell around three basis points after Friday's data.
Barclays Capital will purchase the metals contracts and create an index swap for the fund, based on Castlestone's desired weightings.
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.
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.