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(1) The table above does not re[]ect any Trendpilot[] Index performance. The
Trendpilot[] Index performance is not the same as the NASDAQ-100([R]) Total
Return Index(SM) performance. The Trendpilot[] Index may underperform the
NASDAQ-100([R]) Total Return Index(SM) over various time periods, and may track
the Cash Rate for extended periods of time in a low interest rate environment.
CERTAIN RISK CONSIDERATIONS: The RBS ETNs involve risks not associated with an
investment in conventional debt securities, including a possible loss of some
or all of your investment. The level of the Index must increase by an amount
suf[]cient to offset the aggregate investor fee applicable to the RBS ETNs in
order for you to receive at least the principal amount of your investment back
at maturity or upon early repurchase or redemption. The Index may underperform
the Benchmark Index, and is expected to perform poorly in volatile markets.
Liquidity of the market for RBS ETNs may vary over time. The RBS ETNs are not
principal protected and do not pay interest. Any payment on the RBS ETNs is
subject to the ability of RBS plc, as the issuer, and RBS Group plc, as the
guarantor, to pay their respective obligations when they become due. You should
carefully consider whether the RBS ETNs are suited to your particular
circumstances before you decide to purchase them. We urge you to consult with
your investment, legal, accounting, tax and other advisors with respect to any
investment in the RBS ETNs.
The RBS ETNs are not suitable for all investors. You should carefully read the
relevant pricing supplement and prospectus, including the more detailed
explanation of the risks involved in any investment in the RBS ETNs as
described in the "Risk Factors" section of the pricing supplement, before
investing.
IMPORTANT INFORMATION: The Royal Bank of Scotland plc (RBS plc) and The Royal
Bank of Scotland Group plc (RBS Group) have []led a registration statement
(including a prospectus) with the U.S. Securities and Exchange Commission (SEC)
for the offering of RBS ETNs to which this communication relates. Before you
invest in any RBS ETNs, you should read the prospectus in that registration
statement and other documents that have been []led by RBS plc and RBS Group
with the SEC for more complete information about RBS plc and RBS Group, and the
offering. You may get these documents for free by visiting EDGAR on the SEC's
web site at www.sec.gov. Alternatively, RBS plc, RBS Securities Inc. (RBSSI) or
any dealer participating in the offering will arrange to send you the
prospectus and the pricing supplement at no charge if you request it by calling
1-855-RBS-ETPS (toll-free).
NASDAQ([R]), OMX([R]), NASDAQ OMX([R]), NASDAQ-100([R]), NASDAQ-100 Index([R])
and NASDAQ-100([R]) Total Return Index(SM) are registered trademarks and
service marks of The NASDAQ OMX Group, Inc. and are licensed for use by RBS
plc.
The Index is the property of RBS plc. RBS plc has contracted with The NASDAQ
OMX Group, Inc. (which with its af[]liates and subsidiaries is referred to as
the "Corporations") to calculate and maintain the Index, either directly or
through a third party. Currently, the Index is calculated and maintained by
Standard & Poor's ("S&P") on behalf of The NASDAQ OMX Group, Inc. S&P and the
Corporations shall have no liability for any errors or omissions in calculating
the Index. The RBS ETNs, which are based on the Index, have not been passed on
by the Corporations or S&P as to their legality or suitability and are not
sponsored, endorsed, sold or promoted by the Corporations or S&P. THE
CORPORATIONS AND S&P MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO
THE RBS ETNS.
Copyright[C] 2012 RBS Securities Inc. All rights reserved. RBS Securities Inc.,
a U.S. registered broker-dealer, member of FINRA and SIPC, is an indirect
wholly-owned subsidiary of The Royal Bank of Scotland plc and an af[]liate of
RBS NV.
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS | Not FDIC Insured. May Lose
Value.
Dated January 11, 2012
tndq_v1.indd 2
1/11/12 2:17 PM
NASDAQ-100([R]) Total Return Index(SM)
Top 10 Holdings -- as of 12/31/2011
-------------------------------------- ----------
COMPANY TICKER WEIGHT (%)
---------------------- --------------- ----------
Apple Inc. AAPL 15.047
Microsoft Corporation MSFT 8.730
Google Inc. GOOG 6.610
Oracle Corporation ORCL 5.172
Intel Corporation INTC 4.936
Cisco Systems, Inc. CSCO 3.885
QUALCOMM Incorporated QCOM 3.676
Amazon.com, Inc. AMZN 3.147
Amgen Inc. AMGN 2.250
Comcast Corporation CMCSA 1.983
Source: Bloomberg
Historical Performance and Standard Deviation (%) -- as of 12/31/2011
------------------------------------------------------------------------------------------------------------------
SINCE RBS ETN
INCEPTION STD. DEVIATION ANNUALIZED
(12/8/2011) (%) SINCE INCEPTION (%)(2)
------------------------------------------------------ --------------- -------------------------------------------
RBS NASDAQ-100([R]) Trendpilot[] ETN Daily
Redemption Value(1) -0.24 20.34
RBS NASDAQ-100([R]) Trendpilot(TM) Index -0.18 20.83
NASDAQ-100([R]) Total Return Index(SM)
(Benchmark Index) -0.18 20.83
Cash rate on 12/31/11 was 0.025% -- --
The table above presents the actual performance of the Index, the RBS ETNs and the NASDAQ-100([R])
Total Return Index(SM) (the Benchmark Index) over the speci[]ed periods. For information regarding the
performance of the Index, see pages PS-40 to PS-44 of the pricing supplement to the RBS ETNs []led
with the U.S. Securities and Exchange Commission (SEC). Past performance does not guarantee future
results.
(1) Includes the deduction of the annual investor fee, which accrues on a daily basis. The annual investor fee
will be equal to (i) 1.00% per annum when the Index is tracking the Benchmark Index, and (ii) 0.50% per
annum when the Index is tracking the Cash Rate. (2) Based on daily returns. Standard deviation is a measure
of volatility and illustrates the extent of variation (whether higher or lower) that exists from the average given
set of results. A low standard deviation indicates that the results tend to be very close to the average result (a
low degree of volatility). In contrast, a high standard deviation indicates that the results are spread out over a
large range of outcomes (a high degree of volatility).
NASDAQ-100([R]) Total Return Index(SM) Performance -- as of 12/31/2011
------------------------------------------------------------------------------------------- --- --- --- --- ---
----------------------
NASDAQ-100([R]) Total Return Index(SM)
NASDAQ-100([R]) Total Return Index(SM) 100-Index business day simple moving average
--------------------------------------------------------------------------------------- --- --- --- --- --- ---
5,000
--- ------------------------ --- --- ------------------------------------ --- --- --- --- --- ---
4,100
The graph to the
left is the
historical
performance of the
------------- --- ------------------------ --- --- ------------------------------------ --- --- --- --- --- ---
3,200 NASDAQ-100([R])
Total
Return Index(SM) and
the NASDAQ-100([R])
------------- --- ------------------------ --- --- ------------------------------------ --- --- --- --- --- ---
2,300 Total Return
Index(SM)
100-Index business
day simple moving
------------- --- ------------------------ --- --- ------------------------------------ --- --- --- --- --- ---
1,400 average. This
illustration does
not
re[]ect any
historical
Trendpilot[] Index
(500) Jul 00 01 02 03 04 05 06 07 08 09 10 11 performance.
99
NASDAQ-100([R]) Total Return Index(SM) 1-Year Annual Return Comparison (%)(1)
----------------------------------------------------------------------------- ---- ---- ----- ------ ----- ----- ----
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
--------------------------------------- ---- ------ ------ ------ ----- ----- ---- ---- ----- ------ ----- ----- ----
NASDAQ-100([R]) Total Return Index(SM) -- -36.82 -32.62 -37.52 49.49 10.75 1.89 7.28 19.24 -41.57 54.61 20.14 3.66
--------------------------------------- ---- ------ ------ ------ ----- ----- ---- ---- ----- ------ ----- ----- ----
Cash Rate (Year-End) 5.30 5.70 1.71 1.19 0.89 2.23 3.91 4.88 3.31 0.05 0.11 0.18 0.03
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