// definition
TRS
Total return swap
Short definition
A derivative that passes the total economic performance of a reference asset, including income, price movements and credit losses, to another party in return for a financing payment under the agreed terms. Economic exposure can move while legal ownership stays with the original holder. Protection depends on the promised payments being made.
risk atlas
Knowledge map
Intuition
Passing on a loan’s return introduces another payment promise whose reliability needs to be assessed.
Related analyses
Related guides
- Reading interest rate swapsBackground on derivatives, clearing and margin; TRS cash flows cover the total return.
Primary sources
- ESMA, SFTR: TRS definitionArticle 3(18): income, price movements and credit losses. The EU product definition.
- HMRC, total return swap mechanicsCFM13380: return and financing cash flows, with the performance payment reversing when value falls. Historical rate example.