Bloomberg Total Return Swaps (BTRS)

Bloomberg Total Return Swaps (BTRS)

Total return swaps on the Bloomberg Fixed Income Indices are designed to assist portfolio managers in matching benchmark returns or to hedge risk exposure using derivative trades.

View the latest white paper:
Rise of Total Return Swaps White Paper

Total return swaps provide an alternative vehicle to trading the underlying index of cash securities, to simplify and avoid the infrastructure and maintenance associated with cash positions. These swaps are usually structured with a total return leg (on the underlying index) versus the funding leg (usually LIBOR or other funding benchmarks).

As margin, risk and post-trade capital requirements have reduced the amount of risk and large bond positions that financial institutions can carry, our standardized total return swap enables buy-side and sell-side clients to maintain effective trading strategies and supports more cost-efficient methods of trading in less-liquid credit markets. Clients will be able to add and hedge risk in credit and rates, allowing them to enhance performance and hedge existing portfolios.

Key features of the BTRS contract include:

• Standardization of the deal structure, quoting convention and pricing.
• Quarterly maturing contracts expire at the end of IMM months (March, June, September, December) to enhance liquidity.
• The ability to collapse trades. e.g., monthly deal cash flows and resets will match due to the standardized nature of the contract.
• End of month resets and payments consistent with portfolio management performance practices on the corresponding cash product portfolio.
• Transparency and pricing of the underlying indices provided by Bloomberg.
• Funding leg based on one-month Libor “flat.”
• Well positioned to become clearing-eligible.

For more information about Bloomberg Total Return Swaps (BTRS), please visit BTRS<GO> on the Bloomberg Terminal or email btrs1@bloomberg.net.