Definition: Total return swap

External debt - IMF

A credit derivative that swaps the total return on a financial instrument, cash flows and capital gains and losses, for a guaranteed interest rate, such as an interbank rate, plus a margin
Source:
International Monetary Fund (IMF), "External Debt Statistics: Guide for Compilers and Users; Appendix I. Specific Financial Instruments and Transactions: Classifications", Washington D.C., 2003
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