RBS 2011 Annual Report Download - page 485

RBS Group 2011 483
Settlement balances -payables and receivables that result from
purchases and sales of financial instruments recognised on trade date.
Asset settlement balances are amounts owed to the Group in respect of
sales and liability settlement balances are amounts owed by the Group in
respect of purchases.
Sovereign exposures - exposures to governments, ministries,
departments of governments and central banks.
Special purpose entity (SPE) - an entity created by a sponsor, typically a
major bank, finance company, investment bank or insurance company.
An SPE can take the form of a corporation, trust, partnership, 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 credit portfolio (SCP) - a portfolio of certain of the Group’s
illiquid assets - principally CDO super senior positions, negative basis
trades and monoline exposures - held within Non-Core division.
Structured Investment Vehicle (SIV) - alimited-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 - 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 - assets that are referenced to underlying
student loans.
Subordinated liabilities - 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 - mortgage loans to 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 - 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.
Tangible net asset value (TNAV) - owners’ equity attributable to ordinary
and B shareholders less intangible assets divided by the number of
ordinary and B shares in issue.
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 -financial information that has not been subjected to the audit
procedures undertaken by the Group's auditor to enable them to express
an opinion on the Group's financial statements.
US Federal Agencies - see Federal Agencies.
Value-at-risk (VaR) - atechnique that produces estimates of the potential
change in the market value of a portfolio over a specified time horizon at
given confidence levels.
Wholesale funding - wholesale funding comprises Deposits by banks,
Debt securities in issue and Subordinated liabilities.
Wrapped security - 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.
Wrong-way risk -the risk of loss when the risk factors driving the
exposure to a counterparty or customer are positively correlated with the
creditworthiness of that counterparty i.e. the size of the exposure
increases at the same time as the risk of the counterparty or customer
being unable to meet that obligation, increases.