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4 votes

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

Yes. The value of the asset leg is just the value of the asset itself, because the TRS can be perfectly replicated by owning the asset. Alternatively, you could say that whatever the potential ...
dm63's user avatar
  • 17.2k
4 votes
Accepted

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

TRS are just financing trades. The dealer is charging you to place the asset on their balance sheet. So if you are receiving total return on stock A, you will receive appreciation and dividends over ...
AlRacoon's user avatar
  • 6,632
2 votes

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

there is a break-fee (5bps-10bps) generally associated with it. i believe it's more related to a "Sourcing" type equity swaps. Where you are long on synthetic position a basket of stocks ...
user2650102's user avatar
2 votes

'Optional Early Termination' clause

I would agree with the comment about not being able to early terminate if the documentation doesn't support it. In terms of pricing, bilateral early terminations in general have no economic value ...
David Duarte's user avatar
  • 5,825
2 votes
Accepted

Callable Total Return Swap pricing

T+1 usually refers to the settlement convention a trade will follow. In general, the settlement date is the date when a trade is final, and the buyer must make payment to the seller while the seller ...
Thomas Boyd's user avatar
2 votes

Is Breakable TRS subject to an option in the termsheet?

A TRS is an OTC trade so the terms are negotiable. Some TRS's are breakable and some are not. Some TRS trades are locked in with multi-year terms and some are daily breakable. It really depends on ...
JoshK's user avatar
  • 2,623
1 vote

How is an equity TRS reflected on a balance sheet?

In general derivatives accounting would dictate that the MTM of the swap be on the B/S. Assuming P1 = P0 shortly after trading, the B/S would show as \$25mm cash asset, \$25mm IA (on the swap ...
Philippe Hatstadt's user avatar
1 vote

Total Return Swap on Single Govt Bond Marked to Market Calculation

Act/Act for treasury note interest accruals
Edward Watson's user avatar
1 vote

Is Breakable TRS subject to an option in the termsheet?

The reason that break rights are important is because they influence how the trade can be hedged. Let's say, for example, that i sell you a swap on $100m of apple, expiring in a year. I have a few ...
will's user avatar
  • 2,581
1 vote

Total Return Swap valuation: Accrual vs Projected methods

Suppose a buy-side client buys a TRS from a dealer. Even if the contract doesn't say that the client can unwind anytime, in practice, the client can, and it would be misleading and bad accounting to ...
Dimitri Vulis's user avatar

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