Index Swap definition

Index Swap means a contract which entitles the buyer of the contract to pay one index price (e.g. First of Month Index) and entitles the seller to pay a different index price (e.g. the daily average). The index swap is settled financially via exchange of cash payment at the expiration of the underlying Futures Contract.
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Index Swap means any securities swap transaction in respect of a securities index or a basket of securities indices.
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Examples of Index Swap in a sentence

  • The Sub-Fund will not be leveraged as result of the Equity Index Swap.

  • IRS: An IRS is an off balance sheet contract between two counterparties to exchange a stream of payments on specified dates based on a notional principal.Presently the most common form of IRS in the domestic market is the Overnight Index Swap (OIS), wherein a fixed rate is exchanged with the floating leg linked to the MIBOR (Mumbai Interbank offered rate/ the call money rate).

  • This Equity Index Swap component pays the counterparty to the swap, a return in exchange for the Sub-Fund’s formula pay-off at maturity and any coupon payments prior to Maturity.

  • Presently the most common form of IRS in the domestic market is the Overnight Index Swap (OIS), wherein a fixed rate is exchanged with the floating leg linked to the MIBOR (Mumbai Interbank offered rate/ the call money rate).

  • Conversely, where the Fund is required to transfer cash collateral to a counterparty pursuant to the Long Index Swap arrangements, it will liquidate a proportion of its investments in short-term money market collective investment schemes and, in some cases, reverse repurchase agreements or Basket Portfolio, to cover the relevant amount.

  • Conditional Notional AmountsNoNoNoNo SpecificationOvernight Index Swap Class 1.

  • Any cash collateral transferred to the Fund by a counterparty pursuant to the Long Index Swap arrangements will be invested by the Fund in short-term money market collective investment schemes in accordance with the section entitled “B.

  • The fair values of the interest rate swaps (used for purposes other than trading) are determined based on discounted cash flow models that incorporate the cash flows of the derivatives as well as the current Overnight Index Swap rate and swap curve along with other market data, taking into account current interest rates and the credit worthiness of the counterparty for assets and the credit worthiness of Griffin for liabilities.

  • Derivatives are carried at fair value, which is determined using the Company’s derivative accounting system in conjunction with observable key financial data from third-party sources, such as yield curves, exchange rates, S&P 500 Index prices and London Interbank Offered Rates ("LIBOR") and Overnight Index Swap Rates ("OIS").

  • Settlement of the credit default provisions under the Credit Derivative Index Swap Transaction and each Component Single Name Transaction will occur automatically following ISDA announcements that the relevant Credit Derivatives Determinations Committee has determined that a Credit Event has occurred.

Related to Index Swap

  • Index A means the index for the year prior to the

  • Index B means the index for the year prior to index A.

  • Index Linked with respect to an amount at any time, means that the amount is adjusted as at each April 1st commencing April 1, 2015 by:

  • Mid-Swap Rate means, in relation to a Reset Determination Date and subject to Condition 4(b)(ii), either:

  • SIFMA Municipal Swap Index means the Securities Industry and Financial Markets Association Municipal Swap Index, or such other weekly, high-grade index comprised of seven-day, tax-exempt variable rate demand notes produced by Municipal Market Data, Inc. or its successor, or as otherwise designated by the Securities Industry and Financial Markets Association; provided, however, that if such index is no longer produced by Municipal Market Data, Inc. or its successor, then SIFMA Municipal Swap Index shall mean (i) the S&P Municipal Bond 7 Day High Grade Rate Index produced by Standard & Poor’s Financial Services LLC or its successors or (ii) if the S&P Municipal Bond 7 Day High Grade Rate Index is no longer produced, such other reasonably comparable index selected in good faith by the Board of Trustees of the Fund and consented to in writing by Holders of greater than 50% of RVMTP Shares, which shall not be unreasonably withheld by such Holders.

  • Mid-Market Swap Rate means for any Reset Period the mean of the bid and offered rates for the fixed leg payable with a frequency equivalent to the frequency with which scheduled interest payments are payable on the Notes during the relevant Reset Period (calculated on the day count basis customary for fixed rate payments in the Relevant Currency as determined by the Calculation Agent) of a fixed-for-floating interest rate swap transaction in the Relevant Currency which transaction (i) has a term equal to the relevant Reset Period and commencing on the relevant Reset Date, (ii) is in an amount that is representative for a single transaction in the relevant market at the relevant time with an acknowledged dealer of good credit in the swap market and (iii) has a floating leg based on the Mid-Swap Floating Leg Benchmark Rate for the Mid-Swap Maturity (calculated on the day count basis customary for floating rate payments in the Relevant Currency as determined by the Calculation Agent);

  • Stock Index Futures Contract means a bilateral agreement pursuant to which the parties agree to take or make delivery of an amount of cash equal to a specified dollar amount times the difference between the value of a particular stock index at the close of the last business day of the contract and the price at which the futures contract is originally struck.

  • Index Provider means, in respect of a Sub-Fund, the person responsible for compiling the Index against which the relevant Sub-Fund benchmarks its investments and who holds the right to licence the use of such Index to the relevant Sub-Fund as set out in the relevant Appendix.

  • 5-year Mid-Swap Rate means, in relation to a Reset Interest Period and the Reset Rate of Interest Determination Date in relation to such Reset Interest Period:

  • Index Level means, in respect of any day and subject to Adjustment Provisions: (a) in respect of an Index(other than a Multiple Exchange Index), the closing level of such Indexat the Valuation Time on such day; and (b) in respect of an Index that is a Multiple Exchange Index, the official closing level of the Index on such day at the Valuation Time as calculated and published by the Index Sponsor each as rounded up to four decimal places (with 0.00005 being rounded up), allas determined by the Calculation Agent.

  • Index Price on a given date means the weighted average (weighted in accordance with the factors listed above) of the closing prices of the companies comprising the Index Group.

  • Index year means the earliest calendar year in which the

  • Mid-Market Swap Rate Quotation means a quotation (expressed as a percentage rate per annum) for the relevant Mid-Market Swap Rate;

  • Index Component means those securities, assets or reference values of which the Index is comprised from time to time.

  • 5-year Mid-Swap Rate Quotations means the arithmetic mean of the bid and offered rates for the annual fixed leg (calculated on a 30/360 day count basis) of a fixed-for-floating euro interest rate swap transaction which:

  • Index Value means, in relation to any Reference Rate Business Day:

  • Index With respect to each Adjustable Rate Mortgage Loan and with respect to each related Adjustment Date, the index as specified in the related Mortgage Note.

  • Index Disruption means in respect of an Index on any Valuation Date, the Index Sponsor fails to calculate and announce such Index.

  • Mid-Swap Floating Leg Benchmark Rate means EURIBOR (if the Specified Currency is euro), LIBOR for the Specified Currency (if the Specified Currency is U.S. dollars, Pounds Sterling or Swiss Francs), CIBOR (if the Specified Currency is Danish Kroner), NIBOR (if the Specified Currency is Norwegian Kroner), STIBOR (if the Specified Currency is Swedish Kronor) or (in the case of any other Specified Currency) the benchmark rate most closely connected with such Specified Currency and selected by the Calculation Agent in its discretion after consultation with the Issuer;

  • Index Fee means 1.0% per annum. The Index Fee is charged each calendar day, beginning as of the Index Start Date. It is calculated on the basis of a 360-day year and the most recently calculated Index Closing Value.

  • Weighted Average Quotation means, in accordance with the Quotation Method, the weighted average of firm quotations obtained from Dealers at the Valuation Time, to the extent reasonably practicable, each for an amount of the Reference Obligation with an outstanding principal balance (which, for the avoidance of doubt, shall exclude any amounts of capitalised interest) of as large a size as available but less than the Quotation Amount (but of a size equal to the Minimum Quotation Amount or, if quotations of a size equal to the Minimum Quotation Amount are not available, quotations as near in size as practicable to the Minimum Quotation Amount) that in the aggregate are approximately equal to the Quotation Amount and Section 7.11 of the Credit Definitions shall be amended accordingly.

  • REMIC Swap Rate For each Distribution Date (and the related Accrual Period), a per annum rate equal to the product of: (i) the “Rate of Payment (%)” under the Swap Agreement for such Distribution Date, as set forth in Annex D to the Prospectus Supplement, (ii) 2, and (iii) the quotient of (a) the actual number of days in the related Accrual Period divided by (b) 30.

  • S&P Credit Support Amount means, for any Valuation Date, the excess, if any, of:

  • Index Securities means the securities included in the 10 Uncommon Values Index from time to time.

  • Index Calculation Agent means Bank Vontobel AG, Gotthardstrasse 43, 8002 Zurich, Switzerland. "Index Calculation Day" means every day from Monday to Friday.

  • Index Sponsor means the sponsor or publisher of an Index.