Total Return Swap

What is Total Return Swap?

Total Return Swap meaning A type of credit derivative in which one counterparty receives the total return (interest payments and any capital gains or losses) from a specified reference asset and the other counterparty receives a specified fixed or floating cash flow that is not related to the creditworthiness of the reference asset. Also called total rate of return swap, or TR swap.

 

reference: U.S. COMMODITY FUTURES TRADING COMMISSION – CFTC Glossary