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Total return swap: Difference between revisions
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A total return swap, or '''[[TRS]]''' is a [[swap]] that pays a total return on an [[underlying security]] or {{eqderivprov|basket}} of securities. All returns, such as [[dividends]] and the results of [[corporate actions]], are included. An equity TRS includes all gains and losses equivalent to holding the underlying {{eqderivprov|share}} and no part of the return is excluded. | A total return swap, or '''[[TRS]]''' is a [[swap]] that pays a total return on an [[underlying security]] or {{eqderivprov|basket}} of securities. All returns, such as [[dividends]] and the results of [[corporate actions]], are included. An equity TRS includes all gains and losses equivalent to holding the underlying {{eqderivprov|share}} and no part of the return is excluded. | ||
Defined for the purposes of [[SFTR]] as follows: | |||
:[[total return swap]] means a [[derivative]] contract as defined in point (7) of Article 2 of Regulation (EU) No 648/2012 in which one counterparty transfers the total economic performance, including income from interest and fees, gains and losses from price movements, and credit losses, of a reference obligation to another counterparty. | |||
A [[derivative contract]], in turn — and you’ll love this — is defined as | |||
{{derivativecontractdefinition}} | |||
{{anat|eqderiv}} | {{anat|eqderiv}} | ||