Page 168 - PRIAA Glossary

TOTAL RETURN SWAP (TRS)
Consists of three separate components:
(i) The price return on an underlying asset. If the asset increases in value, then Party A pays Party B the magnitude difference between original and final asset prices. If the asset decreases in value, then Party B pays Party A the magnitude difference between original and final asset prices.
(ii) Dividends. If any dividends are paid on the asset, then Party A pays a cash amount to Party B equivalent to the dividend value.
(iii) A funding cost, usually LIBOR or some fixed rate, paid periodically by Party B to Party A .
TOXIC ASSETS
A low-quality asset that can generate significant losses if an investor attempts to sell it in a very illiquid market.
TRACKING ERROR
The standard deviation of active returns over a time period. Tracking error can be either predicted or actual.
TRADE DATE
The date on which the terms of a derivative or spot market transaction are agreed.
TRADE INFORMATION WAREHOUSE (TIW)
The centralised and secure global infrastructure for over- the-counter (OTC) derivatives. The TIW is a comprehensive trade database containing the legal record for all contracts eligible for electronic confirmation. The TIW also automates and standardises post-trade processes, such as payments, notional adjustments and lifecycle event processing. It is the market’s first and only centralised global repository for trade reporting and post-trade processing of OTC credit derivatives contracts.
TRADE PAIRING
A requirement of the Dodd-Frank Act and the OTC Derivatives Regulators’ Forum (ODRF) directed at paper
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