Insurers weigh the pros and cons of total return swaps

Many happy returns

Asset classes have been moving together

In the wake of the financial crisis, pension funds in many jurisdictions have been struggling with below-par funding ratios and the resultant simultaneous need to take on more risk while shelling out less of their balance sheet.

A total return swap (TRS) is one way of getting that exposure without the initial capital outlays (see figure 1 and box, page 35). The return on some given reference asset - coupons, dividends and mark-to-market changes - is swapped in exchange for a floating rate,

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: