Total Return Swap


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Total Return Swap

A swap in which the two legs are an interest rate, whether fixed or floating, and the return on a set asset. The second party owns the asset, which is usually a set of loans, bonds, or an equity index. The advantage to a total return swap for the payer of the interest rate is that it allows him/her to benefit from the ownership of the asset without owning it. However, if the asset falls in price over the life of the swap, the payer of the interest rate is required to compensate the owner of the asset for the amount the asset has lost.
References in periodicals archive ?
With respect to a synthetic long position, the following example illustrates how a total return swap over the shares of a publicly traded stock generally would operate.
Net unrealized appreciation (depreciation) on investments and total return swap
This news release contains forward-looking information, including NOVA Chemicals' belief that amending the total return swap transaction further improves NOVA Chemicals' financial flexibility.
The Company also announced that it had renewed a total return swap with a major banking institution that supports $355 million in SIV securities that were transferred to the bank in 2007.
Quarters Ended Fiscal Years Ended millions February January February January 3, 2007 28, 2006 3, 2007 28, 2006 Interest and investment income Interest income on cash and cash equivalents $39 $34 $151 $85 Total return swap income (loss) (27) -- 74 -- Other investment income 1 7 29 42 Total $13 $41 $254 $127
The series 2007C bonds will be privately placed by JP Morgan and will include a hedged total return swap with JPMorgan and a fixed-to-floating rate swap with Goldman Sachs.
13 Weeks Ended 39 Weeks Ended October 28, October 29, October 28, October 29, millions 2006 2005 2006 2005 Interest and investment income Interest income on cash and cash equivalents $36 $16 $112 $51 Total return swap income 101 -- 101 -- Other investment income 3 24 28 35 Total $140 $40 $241 $86
Canal Point uses a total return swap to synthetically reference a diversified pool of senior-secured loans actively managed by Princeton Advisory Group Inc.
During the three months ended June 30, 2006, the Company made nine new loans, three CMBS investments and one total return swap investment aggregating $378 million, received 14 loan satisfactions totaling $140 million and recorded partial repayments totaling $29 million.
It provides a front to back office solution for change transactions counting Contracts for Difference (CFDs), Total Return Swaps (TRS) and Portfolio Swaps over a range of underlying assets including Equities, Futures, Bonds, Index/Sector Indices and Custom Baskets on a single or cross-currency basis.
Foreign investors have been able to buy Saudi shares indirectly by means of total return swaps via licensed brokers up to now.
Others included are Dr Hamid Hassan and Dr Daud Bakar, while there is a contribution from Sheikh Talal de Lorenzo in a case study on total return swaps and Shari'ah conversion strategy.