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Questions tagged [trs]

A total return swap (TRS) is a contract between two parties who exchange the return from a financial asset between them.

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1 answer
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Structure of market for equity swaps (breakable vs non-breakable)

In the following answer to a question on breakable total return swaps , the answerer writes that: As a general rule you will find that dealer-to-dealer trades are locked and customer-to-dealer trades ...
Daneel Olivaw's user avatar
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0 answers
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Cs01 computation for TRS with underlying single name bond

What’s the cs01 calculation formula for TRS with underlying bond for a single corporate issuer? Thanks in advance!
Cathify's user avatar
4 votes
2 answers
333 views

Does value of a TRS only involve past price movement and not expected returns?

Is the value of a TRS just the difference between the "financing leg" (e.g. the side paying -IBOR plus spread) and "asset leg" (e.g. the side pay income and price changes), with of ...
Five9's user avatar
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Total return swap valuation of return leg

I have a question on valuing the return leg of a Total Return Swap (TRS). Consider a TRS where I receive the return of an underlying bond (let's ignore default). The TRS was traded at time $t = 0$. At ...
Walter's user avatar
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4 votes
2 answers
185 views

How is an equity TRS reflected on a balance sheet?

Suppose there is a hedge fund with with USD 50M cash and the balance sheet is below. Asset: 50M Liability: 0 Partner's Capital: 50M If the hedge fund executed a USD 100M notional TRS with 25% IA (USD ...
Tom Ho's user avatar
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1 vote
0 answers
320 views

Total Return Swap (TRS) on Convertible Bond

Is there any relevant paper/source I can look at for pricing TRS on convertible bond? Specially, how should I evaluate the asset return leg? Let's say I already have an convertible bond pricer that ...
Fail Analysis's user avatar
0 votes
1 answer
88 views

Is it possible to short publicly traded mutual funds?

I'm curious whether it's possible to short mutual funds in any way? I have given it some thought and I guess that in principle, it is possible using a total return swap. However, I'm sure that the ...
T123's user avatar
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1 vote
1 answer
424 views

Total Return Swap on Single Govt Bond Marked to Market Calculation

Looking to understand how to value a TRS on single 10y UST during the life of the trade. Here is an example of trade parameters. 10mm constant notional 1-year maturity I am performance leg payer / ...
smc22's user avatar
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3 answers
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Is Breakable TRS subject to an option in the termsheet?

Does sombody know exactly if a TRS is always breakable ? Or if breaking the TRS position is an option in the term-sheet. I need an accurate response. Thank you !
Ouissem's user avatar
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1 answer
1k views

'Optional Early Termination' clause

For market practitioners such as swap traders out there: in your experience, does the below clause when bilateral is similar to a difference between European and <...
gregV's user avatar
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0 answers
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Spread sensitivity of TRS

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 ...
CodeMonkeyAtWork's user avatar
1 vote
0 answers
173 views

Pricing a TRS using the Projected method for the financing leg and the Accrual method for the asset leg

I've been wandering if would be possible to value a TRS I have in an unusual way. I would like use the accrual method for the asset leg, since the the asset leg is a long position in an equity and it ...
richteer's user avatar
2 votes
1 answer
486 views

Callable Total Return Swap pricing

I need to price a callable Equity Return Swap by Accrual. ERS has property callable T+1 and I don't get it. Does it mean that when a call happen we fix a price that and pay Accrual the next day? Could ...
Andrew's user avatar
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3 votes
1 answer
3k views

Total Return Swap valuation: Accrual vs Projected methods

For TRS contracts on equity or bond underlying the use of projected valuation method is desirable for contracts that lack bilateral early termination clause. As they are "non-breakable," allegedly the ...
gregV's user avatar
  • 167