Total return swap (TRS) structure diagram


Published by a ÀÏ˾»úÎçÒ¹¸£Àû Banking & Finance expert
Practice notes

Total return swap (TRS) structure diagram


Published by a ÀÏ˾»úÎçÒ¹¸£Àû Banking & Finance expert

Practice notes
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How does a total return swap work?

  1. •

    The TRS payer (protection seller) is, for example, a bank, A, and the TRS receiver (protection buyer) is, for example, a hedge fund, insurance company, pension scheme, UCITS or other investment fund, B.

  2. •

    A holds the reference asset on its balance sheet.

  3. •

    A agrees to buy

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United Kingdom
Key definition:
Hedge fund definition
What does Hedge fund mean?

A fund that seeks to generate investment return by using non-traditional investment strategies, utilising mechanisms such as short selling, gearing, programme trading, arbitrage, and tools such as options, futures, swaps and forwards (derivatives in general).

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