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Total Return Swap (TRS)

A credit derivative in which one party pays the total positive return on a bond or other financial obligation, while the other party pays a fixed or variable rate payment plus any negative total returns on the reference asset. Both parties' payments are based upon the same notional amount. The reference asset can be almost any asset, index or basket of assets. Learn more about Total Return Swap Pricing


F3 Video

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F3 Brochure

Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.