It stands for currency total return swap; a total return swap (TRS) that allows the buyer to hedge against both credit risk and currency risk. It is an over-the-counter credit derivative which entails that the buyer pays a floating return on the principal amount of the swap denominated in a foreign currency, while the seller pays a floating return on the principal amount denominated in domestic currency. In this sense, this swap is a floating-for-floating swap.
December 16, 2024
