TAILIEUCHUNG - Learning Curve Total Return Swaps: Credit Derivatives and Synthetic Funding Instruments

Rapid expansion in international credit bears watching because, in many boom-bust credit cycles in the past, such credit tended to grow faster than overall credit during the We illustrate this broad finding with data from several European countries that have suffered credit booms and busts since 2000. Then, we draw a parallel with countries that were caught up in the Asian financial crisis of the late 1990s. By international credit, we refer to three components of total bank credit, the first two of which are types of cross-border credit. First, non-banks in a country can borrow directly from non-resident banks (or issue bonds targeted at non-resident. | Learning Curve Total Return Swaps Credit Derivatives and Synthetic Funding Instruments Moorad Choudhry 2004 Page 1 A total return swap TRS sometimes known as a total rate of return swap or TR swap is an agreement betWeen two parties that exchanges the total return from a financial asset betWeen them. This is designed to transfer the credit risk from one party to the other. It is one of the principal instruments used by banks and other financial instruments to manage their credit risk exposure and as such is a credit derivative. They are used as credit risk management tools and also as synthetic repo instruments for funding purposes. One definition of a TRS is given in Francis etal. 1999 which states that a tRs is a swap agreement in which the total return of a bank loan or credit-sensitive security is exchanged for some other cash flow usually tied to Libor or some other loan or credit-sensitive security. The TRS trade itself can be to any maturity term - that is it need not match the maturity of the underlying or reference security. In a. TRS the total return from the underlying asset is paid over to the counterparty in return for a fixed or floating cash flow. This makes it slightly different to other credit derivatives such as credit default swaps as the payments between counterparties to a TRS are connected to changes in the market value of the underlying asset as well as changes resulting from the occurrence of a credit event. So in other words TRS cash flows are not solely linked to the occurrence of a credit event in a TRS the interest-rate risk is also transferred. The transaction enables the complete cash flows of a bond to be received without the recipient actually buying the bond which makes it a synthetic bond product and therefore a credit derivative. An investor may wish to receive such cash flows synthetically for tax accounting regulatory capital external audit or legal reasons. On the other hand it may be easier to .

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