Questions tagged [trs]

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1answer
46 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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0answers
57 views

How to Determine the Total Return Swap Notional Value at Each Reset Period?

Say my asset leg of a quarterly reset TRS is: $$V_{asset}(t) = \sum_{\tau=0.25}^{T}\bigg(N(t,\tau) \cdot \frac{F(t,\tau)-F(t,\tau-0.25)}{F(t,\tau-0.25)} \cdot Z(t,\tau)\bigg)$$ and my funding leg is $$...
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1answer
168 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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0answers
46 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 ...
1
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0answers
27 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 ...
2
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1answer
126 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 ...
3
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1answer
884 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 ...