total return swap
- A credit derivative where one party receives the total return (including interest payments and capital gains or losses) from a specific asset, and the other party gets a fixed or variable cash flow not linked to the asset's creditworthiness
- In the total return swap, the bank obtained all gains and potential losses from the corporate bonds.
- To hedge his investments, he entered into a total return swap agreement.
- Under the total return swap contract, the financier was obligated to pay a fixed interest rate regardless of the fortune of the reference assets.
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