ONTOLOGY EXPLORER
total return swap
<https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Swaps/TotalReturnSwap>
プロパティと値
| プロパティ | 値 |
|---|---|
| type | Class |
| label | "total return swap"@en |
| subClassOf | CreditDerivative |
| subClassOf | ReturnSwap |
| subClassOf | _:c14n984 |
| definition | "return swap where the seller agrees to pay the other party the difference in value of some underlying asset multiplied by an agreed-upon notional value should the asset value increase between specified periods of time"@en |
| example | "For example the parties may enter into a two year agreement where every three months they compare the value of the Barclays Capital Aggregate Bond Index to its value three months previously. If the agreed upon notional was US $10,000,000 and the value increased 0.04%, or 4 basis points (bps), the seller would pay the buyer US $4,000. If, after another three months, the value decreased by 3bps, the buyer would pay the seller US $3,000. As part of the agreement, the buyer may also make an additional payment each period to the seller based on a floating rate index multiplied by the notional value."@en |
| adaptedFrom | "CFTC Data Dictionary. See https://www.cftc.gov/MarketReports/SwapsReports/DataDictionary/index.htm"@en |
| adaptedFrom | "ISDA Disclosure Annex for Commodity Derivative Transactions. See https://globalmarkets.bnpparibas.com/gm/features/docs/dfdisclosures/ISDA_Commodity_Derivatives_Disclosure_Annex_04_2013.pdf"@en |
| explanatoryNote | "In a total return swap that is index-based, the change in the level of the index will be equal to the returns generated by the change in price of each of the contracts that comprise the index plus a return based upon interest earned on any cash collateral posted upon the purchase of the contracts comprising the index."@en |
| explanatoryNote | "In exchange, the other party, the buyer of the credit risk, agrees to pay the difference in value of the specified asset multiplied by the notional value should that value decrease between the same specified periods of time. Total return swaps often appear in asset classes other than the credit asset class; however, for the purpose of the CFTC Swaps Report, all total return swaps are counted only in the credit asset class."@en |