27.18 Total Return Swap Company a agrees to pay b the total return earned on a reference bond issued by the reference entity, C, over some period of time Total return includes all coupon payments and any change in the price of the reference bond. Usually the latter is made at the end) B pays a LIBOR plus a spread on a notional equal to the initial value of the reference bond Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 27.18 Total Return Swap • Company A agrees to pay B the total return earned on a reference bond issued by the reference entity, C, over some period of time. • Total return includes all coupon payments and any change in the price of the reference bond. (Usually the latter is made at the end) • B pays A LIBOR plus a spread on a notional equal to the initial value of the reference bond