Questions tagged [trs]

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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 ...
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25 views

Seller of performance

In a total return swap between two parties, Who is the seller of performance in a total return swap? Is it asset owner?
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1 vote
1 answer
137 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 / ...
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  • 11
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3 answers
314 views

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 !
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1 answer
566 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 <...
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  • 117
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0 answers
80 views

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 ...
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1 vote
0 answers
84 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 ...
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2 votes
1 answer
274 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 ...
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  • 85
3 votes
1 answer
2k 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 ...
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