RBS 2010 Annual Report Download - page 441

Special purpose entity (SPE) - is an entity created by a sponsor, typically
amajor bank, finance company, investment bank or insurance company.
An SPE can take the form of a corporation, trust, partnership, corporation
or a limited liability company. Its operations are typically limited for
example in a securitisation to the acquisition and financing of specific
assets or liabilities.
Structured Investment Vehicle (SIV) - is a limited-purpose operating
company that undertakes arbitrage activities by purchasing highly rated
medium and long-term, fixed-income assets and funding itself with short-
term, highly rated commercial paper and medium-term notes.
Structured notes - are securities that pay a return linked to the value or
level of a specified asset or index. Structured notes can be linked to
equities, interest rates, funds, commodities and foreign currency.
Student loan related assets - are assets that are referenced to underlying
student loans.
Subordinated liabilities - are liabilities which, in the event of insolvency or
liquidation of the issuer, are subordinated to the claims of depositors and
other creditors of the issuer.
Sub-prime - sub-prime mortgage loans are designed for customers with
one or more high risk characteristics, such as: unreliable or poor payment
histories; loan-to-value ratio of greater than 80%; high debt-to-income
ratio; the loan is not secured on the borrower's primary residence; or a
history of delinquencies or late payments on the loan.
Super senior CDO - is the most senior class of instrument issued by a
CDO vehicle. They benefit from the subordination of all other instruments,
including AAA rated securities, issued by the CDO vehicle.
Tier 1 capital -core Tier 1 capital plus other Tier 1 securities in issue, less
material holdings in financial companies.
Tier 1 capital ratio - Tier 1 capital as a percentage of risk-weighted assets.
Tier 2 capital -qualifying subordinated debt and other Tier 2 securities in
issue, eligible collective impairment allowances, unrealised available-for-
sale equity gains and revaluation reserves less certain regulatory
deductions.
US Government National Mortgage Association - see Ginnie Mae.
Unaudited -unaudited financial information is information that has not
been subjected to the audit procedures undertaken by the Group's
auditors to enable them to express an opinion on the Group's financial
statements.
VaR - is a technique that produces estimates of the potential change in
the market value of a portfolio over a specified time horizon at given
confidence levels.
Wrapped security - a wrapped security is a debt security where the holder
benefits from credit protection provided by a third party, typically a
financial guarantor or monoline insurer.
Write down - a reduction in the carrying value of an asset to record a
decline in its fair value or value in use.
439RBS Group 2010
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