27.21 Valuation of trs If there were no risk of default by receiver the value of a trs would be difference between value of reference bond and value of libor bond The spread above liBOR would be zero In practice the payer loses money if the receiver defaults at a time when the bond value has declined Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 27.21 Valuation of TRS • If there were no risk of default by receiver, the value of a TRS would be difference between value of reference bond and value of LIBOR bond • The spread above LIBOR would be zero • In practice the payer loses money if the receiver defaults at a time when the bond value has declined