Total rate of return swap (TRORS)

What is Total rate of return swap (TRORS)?

Total rate of return swap (TRORS) meaning Contract in which one party receives interest and/or dividend payments plus any capital gains and losses over the payment period on a reference asset (or index, or portfolio of assets), while the other receives a specified fixed or floating cash flow unrelated to the credit-worthiness of the reference asset. (Payments are usually based on the same notional amount.)

 

reference: mercer.com