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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4 votes
2 answers
139 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 ...
1 vote
0 answers
256 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 ...
0 votes
3 answers
797 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 !
0 votes
1 answer
84 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 ...
2 votes
1 answer
454 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 ...
1 vote
1 answer
314 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 / ...
0 votes
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 <...
0 votes
0 answers
104 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 vote
0 answers
150 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 ...
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 ...