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410140980 · 2023年07月20日

receiver of TRS

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000087

问题如下：

Regarding total revenue swaps (TRS), which of the following statements is not correct?

选项：

A.

When the TRS payer does not own the underlying asset, the cash flow of the swap can be viewed as the cash flow of short position in the underlying

B.

The receiver of TRS receives the cash flow and benefits if the value of the reference asset rises.

C.

The benefits of TRSs are similar to those of CDSs. For TRS, both credit risk and market risk are transferred, while for CDSs, only credit risk is transferred.

D.

The receiver is creating a synthetic short position in the underlying asset.

解释：

D is correct.

考点：Total return swaps

解析：receiver相当于一个合成的这个underlying asset的long方，而不是short 方所以D错。

老师receiver of TRS 收到的是credit spread一般是用LIBOR来表示吗？除此以外还会收到一个△market value的收益是吗？

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1 个答案

pzqa27 · 2023年07月20日

嗨，爱思考的PZer你好：


TRS这笔交易就是直接交换underlying的收益和一个固定收益。receiver收到underlying的收益付出固定收益，所以可以用来合成一个underlying的long的头寸。

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NO.PZ2020033003000087 问题如下 Regarng totrevenue swaps (TRS), whiof the following statements is not correct? A.When the TRS payer es not own the unrlying asset, the cash flow of the swcviewethe cash flow of short position in the unrlying B.The receiver of TRS receives the cash flow anbenefits if the value of the referenasset rises. C.The benefits of TRSs are similto those of Cs. For TRS, both cret risk anmarket risk are transferre while for Cs, only cret risk is transferre The receiver is creating a synthetic short position in the unrlying asset. is correct.考点Totreturn swaps解析receiver相当于一个合成的这个unrlying asset的long方，而不是short 方所以。 B为什么对？asset value 增加不是因为interest rate降低？降低那么receiver就会收到更少市场利率啊

2023-10-23 10:13 1 · 回答

NO.PZ2020033003000087问题如下 Regarng totrevenue swaps (TRS), whiof the following statements is not correct? A.When the TRS payer es not own the unrlying asset, the cash flow of the swcviewethe cash flow of short position in the unrlying B.The receiver of TRS receives the cash flow anbenefits if the value of the referenasset rises. C.The benefits of TRSs are similto those of Cs. For TRS, both cret risk anmarket risk are transferre while for Cs, only cret risk is transferre The receiver is creating a synthetic short position in the unrlying asset. is correct.考点Totreturn swaps解析receiver相当于一个合成的这个unrlying asset的long方，而不是short 方所以。 RT

2022-03-28 22:11 1 · 回答

NO.PZ2020033003000087 老师您好，我想问下A的前半句，Totreturn的payer 为啥不拥有 unrlying asset ?

2021-11-19 15:30 1 · 回答

NO.PZ2020033003000087 The receiver of TRS receives the cash flow anbenefits if the value of the referenasset rises. The benefits of TRSs are similto those of Cs. For TRS, both cret risk anmarket risk are transferre while for Cs, only cret risk is transferre The receiver is creating a synthetic short position in the unrlying asset. is correct. 考点Totreturn swaps 解析receiver相当于一个合成的这个unrlying asset的long方，而不是short 方所以。 实在没理解，想了半天，谢谢老师

2021-08-11 22:48 2 · 回答