I am about to understand the valuation of a TRS. The approach I am applying derives risk neutral survival / default probabilities from the ratio between risk free and spread adjusted rates and uses them to adjust the respective TRS cash flows like interest rate payments made by the TRS receiver and the cash flow from the reference asset, i.e. coupons and appreciation / depreciation of the reference asset.
Naively I would have expected that the TRS sensitivities to interest rates and spreads are the same as they would be for the reference asset itself (at least if we ignore the interest payments from the TRS receiver). However, I observe that for a TRS the spread sensitivity is usually bigger than the interest rate sensitivity, whereas for a common corporate bond the x% IR sensitivities is equal to the x% spread sensitivity. Technically it is obvious but economically it's not...
Could anyone help me solving this puzzle?