Risk glossary


Total return swap (TRS)

A total return swap is a derivative contract where one counterparty pays sums based on a floating interest rate, for example Libor plus a given spread, and receives payments based on the return of a reference asset such as a bond, stock or equity index. The returns include any gains or losses in the reference asset’s price as well as any relevant coupon or dividends over the period. The swap allows a buyer to gain exposure to an asset without owning it, in exchange for taking on the price and default risk.

Click here for articles on total return swaps.

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