Credit Derivatives: Total Return Swaps
Interactive

Credit Derivatives: Total Return Swaps

Intuition Publishing
Updated Sep 24, 2020

A TRS is a swap agreement in which the payer makes payments (including income and capital gains) based on the return of an underlying asset and the receiver makes payments based on a fixed or variable rate. The receiver bears the credit risk. Here we look at TRS value protection, Repos, and counterparty risk.