Total return swap

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06年的一道题 notes credit risk page198 no.40

In a total return swap, the buyer of credit risk passes on any appreciation in the value of underlying asset to the seller of risk.

答案说这个不对，应该是seller passes on .... to buyer.

但我google到Assume that bank A (the protection buyer) and bank B (the protection seller) have entered a total return swap contract. According to this contract, bank A is paying all interest payments on the reference asset, plus any capital gains (positive price changes of the asset) over the payment period to bank B. Furthermore, bank B is paying LIBOR plus a spread as well as any negative price changes of the asset.

我理解的是 if underlying asset appreciates, buyer has to pay price changes of the asset to seller.
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关键词：RETURN Total swap turn WAP swap RETURN Total

题目里写的是buyer of credit risk而不是of credit swap.
对于total return swap来说，买方成功地将underlying asset的信用风险转移到了卖家一方，所以credit risk事实上的承担者是swap seller.
资产溢价发生时，swap 买方因为是支付全部收益，所以溢价部分最终支付到卖方，现金流是从买方到卖方，也就是信用风险的卖家流向信用风险的买家。
资产贴水时，反之。

是不是A enter a total return swap with B, A is a credit risk seller?而B是buyer，所以B要支付标的资产的减值？请问cpa2002ly