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.
Index Swap means any securities swap transaction in respect of a securities index or a basket of securities indices.

Examples of Index Swap in a sentence

  • Following the observation of reference rate reforms globally, it was apparent that development of alternativ e term rates depended on the successful adoption of the successor rate in Overnight Index Swap (OIS) markets.

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.

  • Mid-Swap Rate means, in relation to a Reset Determination Date and subject to Condition 3(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.

  • 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 Original Mid-Swap Rate Basis (calculated on the day count basis customary for fixed rate payments in the Specified Currency as determined by the Calculation Agent) of a fixed-for-floating interest rate swap transaction in the Specified 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 (as specified in the applicable Final Terms) (calculated on the day count basis customary for floating rate payments in the Specified Currency as determined by the Calculation Agent);

  • 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 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;

  • 5 year Swap Rate means, in respect of any Reset Period, the mid-swap rate as displayed on Reuters screen “ICESWAP2” or, if such rate is not displayed on such screen as at the relevant time, the mid- swap rate as displayed on a successor page (in each case, the “Reset Screen Page”) as at 11:00 a.m. (Central European time) on the relevant Reset Interest Determination Date.In the event that the relevant 5 year Swap Rate does not appear on the Reset Screen Page on the relevant Reset Interest Determination Date, the 5 year Swap Rate will be the Reset Reference Bank Rate on such Reset Interest Determination Date. “Reset Reference Bank Rate” means the percentage rate determined by the Agent Bank on the basis of the 5 year Swap Rate Quotations provided by five leading swap dealers in the interbank market selected by the Issuer (the “Reset Reference Banks”) to the Agent Bank at approximately 11:00 a.m. (Central European time) on the relevant Reset Interest Determination Date. If (a) at least three quotations are provided, the 5 year Swap Rate will be determined by the Agent Bank on the basis of the arithmetic mean (or, if only three quotations are provided, the median) of the quotations provided, eliminating the highest quotation (or, in the event of equality one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest);(b) if only two quotations are provided, the Reset Reference Bank Rate will be the arithmetic mean of the quotations provided; (c) if only one quotation is provided, the Reset Reference Bank Rate will be the quotation provided; and (d) if no quotations are provided, and if the IFA (as defined below) is unable to determine an appropriate alternative rate, the Reset Reference Bank Rate for the relevant period will be equal to the last available 5 year mid-swap rate for euro swap transactions, expressed as an annual rate, on the Reset Screen Page.The “5 year Swap Rate Quotations” means, in relation to any Reset Period, 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 which (i) has a term of five years commencing on the relevant Reset Date, (ii) is in an amount that is representative of 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 6-month EURIBOR rate (calculated on the basis of the actual number of days elapsedand a year of 360 days) or, if the 6-month EURIBOR rate is no longer being calculated or administered as at the relevant Reset Interest Determination Date, any alternative rate which has replaced the Euro Interbank Offered Rate (“EURIBOR”) in customary market usage for the purposes of determining floating rates of interest in respect of euro-denominated securities, as determined by an independent financial adviser (the “IFA”) appointed by the Issuer in its sole discretion. The alternative rate will be notified to the Issuer by the IFA, and promptly thereafter by the Issuer to the Holders in accordance with Condition 14, provided however, that if the IFA determines, in good faith and following consultation with the Issuer, that there is no clear market consensus as to whether any rate has replaced EURIBOR in customary market usage, the IFA may determine an appropriate alternative rate, and the decision of the IFA will be binding on the Issuer, the Agent Bank and the Holders. If the IFA is unable to determine an appropriate alternative rate, the Reset Reference Bank Rate for the relevant period will be: (i) in the case of each Reset Period other than the Reset Period commencing on the First Reset Date, the Reset Reference Bank Rate in respect of the immediately preceding reset period, or (ii) in the case of the Reset Period commencing on the First Reset Date, 2.601 per cent. per annum.

  • 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 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.

  • 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.