Total return swaps

A total return (or total rate of return) swap, (TRS), is a method of transferring the credit and market, risk of an asset or basket of assets from one party to another party. It is an over-the-counter, off balance-sheet transaction.

The structure of a TRS resembles a credit default swap (CDS) in many ways, which is why it is typically characterised as a credit derivative, even though it does not share all the characteristics of a typical CDS.

This guidance note describes how a TRS works, as well as who enters into a TRS and for what reasons. See Total return swaps.