Are these kind of Total Return Swaps used? If so, how do you value them? Thanks

Yes, all the time. You are basically valuing a loan to the counterparty for the notional amount of the funds they are "renting".

Aren't there any specific considerations for HF return swaps, e.g. delivery risk, collateral (can shares of HF be used?), etc.?Further, do you know of any counterparty active in HF return swaps dealing in Paris or London?Thx

there can be some regulatory issues (also one of the reasons banks trade these with each other) such as bank holding company act, etc which limits the exposure a bank can have.Deliverability can be an issue (if the trades settle physically in the future), so one needs to make sure the fund administrator will accept share purchases on behalf of third parties and allows those shares to be registerd in the counterparties name in the future. We include clauses which take into account the risk of not being filled on a subscription or allowing for a physical delivery as those are settlement risks inherent with such transactions.any bank that has a fund derivatives group should trade such structures

Right on the issues; I was specifically referring to fund-of-fund TRSs.