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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

  • 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).

  • 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.

  • 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.

  • 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).

  • ASU No. 2013-10 allows the use of the Fed Funds Effective Swap Rate (or Overnight Index Swap Rate) as a benchmark interest rate for hedge accounting purposes in addition to interest rates on direct Treasury obligations of the United States government and London Interbank Offered Rate and also removes the restriction on using different benchmark rates for similar hedges.

  • 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.

  • Under the terms of the Index Swap, upon the valid exercise of the Index Replacement Option, the relevant Index for the purposes of the Index Swap shall be deemed to be such Replacement Index with effect on and after the next following Observation Date under the Index Swap.

  • 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.

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 3(b)(ii), either:

  • SIFMA Municipal Swap Index means on any Rate Determination Date the Securities Industry and Financial Markets Association Municipal Swap Index, produced and made available by Municipal Market Data as of 3:00 p.m., New York City time, on the Rate Determination Date.

  • 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 Index at 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), all as determined by the Calculation Agent.

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

  • 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.

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

  • Index Days means, in the case of the SONIA Compounded Index, London Banking Days, and, in the case of the SOFR Compounded Index, U.S. Government Securities Business Days;

  • 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.

  • Index Start Value means 1,000 index points and represents the Index Closing Value on Index Calculation Day T=0 for the purposes of calculating the index in accordance with C).

  • 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.

  • Average daily rate means the hospital’s final payment rate multiplied by the DRG weight and divided by the statewide average length of stay for a DRG.

  • REMIC Swap Rate For each Distribution Date (and the related Accrual Period), a per annum rate equal to the Fixed Rate under the Swap Agreement for such Distribution Date, as set forth in the Prospectus Supplement.

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

  • Index Securities means Securities of those companies which are at the relevant time the constituent companies of the Index, any Securities used to track the performance of such Securities constituting the Index at the relevant time or such other Securities designated by the Manager.

  • 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.

  • Relevant Exchange means the Relevant Exchange as specified in § 2 of the Product and Underlying Data.In the case of a material change in the market conditions at the Relevant Exchange, such as a final discontinuation of the quotation of the Underlying at the Relevant Exchange and the quotation at a different stock exchange or a considerably restricted number or liquidity, the Relevant Exchange shall be substituted as the Relevant Exchange by another exchange that offers satisfactorily liquid trading in the Underlying (the "Substitute Exchange"); such exchange shall be determined by the Calculation Agent acting in accordance with relevant market practice and in good faith. In this case, any reference to the Relevant Exchange in the Terms and Conditions of these Securities shall be deemed to refer to the Substitute Exchange.