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Filed pursuant to Rule 433 | Registration Statement Nos. 333-184147 and
333-184147-01
RBS Exchange Traded Notes
RBS China Trendpilot[] ETN (TCHI)
The RBS China Trendpilot[] Exchange Traded Notes ("RBS ETNs") are unsecured and
senior obligations of The Royal Bank of Scotland plc ("RBS plc"), and are fully
and unconditionally guaranteed by The Royal Bank of Scotland Group plc ("RBS
Group"). Any payments on the RBS ETNs when they become due at maturity or upon
early repurchase or redemption are dependent on the ability of RBS plc and RBS
Group to pay, and are also subject to market risk.
RBS China Trendpilot[] ETNs track the RBS China Trendpilot[] Index (USD) which
provides:
Trend-following exposure using an objective and transparent methodology to
either the BNY Mellon China Select ADR Total Return Index(SM) or the Cash Rate;
China Exposure in positive trending markets by tracking the BNY Mellon China
Select ADR Total Return Index(SM), the level of which incorporates the
reinvestment of any cash dividends paid on its component securities. The RBS
ETNs do not pay interest or dividends; and Cash Rate Exposure in negative
trending markets by tracking a notional investment in 3 month U.S. Treasury
bills as of the most recent weekly auction.
Illustration of the Trendpilot([]) Index Methodology
A positive trend is established:
The Index will track the Benchmark Index
If the closing level of the Benchmark Index is at or above its historical
100-Index business day simple moving average for three consecutive Index
business days
A negative trend is established:
The Index will track the Cash Rate
If the closing level of the Benchmark Index is below its
historical 100-Index business day simple moving
average for three consecutive Index business days
Hypothetical Benchmark Index Level A negative trend is established
Hypothetical Benchmark Index
Hypothetical 100-Index business day simple moving average
Time
The above graph illustrates the operation of the Trendpilot[] Index
Methodology. It does not re[]ect any actual performance of the Benchmark Index
or the Index, and is not an indication of how either index may perform in the
future. The hypothetical illustration above also does not include any fees,
transaction costs or expenses.
If neither of the above conditions is satis[]ed, the trend of the Benchmark
Index will be the same as the trend of the Benchmark Index on the immediately
preceeding Index business day. The Index will implement any trend reversal at
the open of trading on the second Index business day immediately following the
Index business day on which the Benchmark Index trend switches from positive to
negative or from negative to positive, as the case may be.
(1)Benchmark Index Dividend Yield means the sum of the gross dividends paid on
the securities comprising the Benchmark Index (which is a total return index)
over the prior 12 months ending 9/30/2012 divided by the closing level of the
price return version of the Benchmark Index as of 9/30/2012.
Not FDIC Insured. May Lose Value.
RBS ETN Details
Issuer The Royal Bank of Scotland plc
Guarantor The Royal Bank of Scotland
Group plc
Ticker TCHI
Intraday TCHI.IV
Indicative Value
Ticker
CUSIP 78009P150
ISIN US78009P1509
Primary NYSE Arca
Exchange
Maturity 4/18/2042
Benchmark 2.53%
Index Dividend
Yield(1)
Index RBS China Trendpilot(TM) Index
(USD) (Bloomberg
symbol: "TPCHINUT Index"),
which tracks the Benchmark
Index or the Cash Rate
depending on the relative
performance of the Benchmark
Index on a simple historical
moving average basis.
Benchmark BNY Mellon China Select ADR
Index Total Return Index(SM) (Bloomberg
page: "BKTCNT Index")
Cash Rate Yield on a hypothetical notional
investment in 3-month U.S.
Treasury bills as of the most
recent weekly auction
Annual Investor When the Index is tracking the
Fee Benchmark Index: 1.10% per
(accrued on a annum. When the Index is
daily basis) tracking the Cash Rate: 0.50%
per annum.
Repurchase at You may offer your RBS ETNs
your option to RBS plc for repurchase on
any business day on or prior to
4/10/2042, provided that you
offer a minimum of 20,000 RBS
ETNs for any single repurchase
and follow the procedures
described in the pricing
supplement.
Early We may redeem all of the RBS
redemption at ETNs at our discretion at any
our option time on or prior to 4/16/2042.
Daily Upon early repurchase or
Redemption redemption or at maturity, you
Value will receive a cash payment
equal to the daily redemption
value per RBS ETN. The daily
redemption value on the relevant
valuation date will be published
on www.rbs.com/etnUS/TCHI*.
* Information contained on our website is not incorporated by reference in, and
should not be considered a part of, this document.
To []nd out more
Call toll free 855-RBS-ETPS or visit
www. rbs.com/etnUS
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Historical Performance (%) -- as of 09/30/2012
YEAR-TO- ANNUALIZED ANNUALIZED SINCE RBS ETN
INCEPTION
3-MONTH (%) DATE (%) 1-YEAR (%) 3-YEAR (%)
(4/13/12 (%)
----------------------------------------------------------------- ----- ----------- ----------- ---------- ---------------------
---------------
RBS China Trendpilot[] ETN Daily Redemption Value(1) 0.54 -- -- --
-4.62
RBS China Trendpilot(TM) Index 0.68 0.36 -- --
-4.34
BNY Mellon China Select Total Return Index(SM) (Benchmark Index) 1.94 3.34 6.75 -0.76
-8.57
Cash rate on 09/30/12 was 0.11% -- -- -- --
--
----------------------------------------------------------------- ----- ------- --- ----------- ---------- ---------------------
---------------
Top 10 Holdings(2) -- as of 09/30/12 Sector Weightings(3) -- as of 09/30/12
----------------------------------------------------------------- ----- --------------------------------------------------------
---------------
COMPANY (%) 3.30% 2.49% SECTOR
(%)
----------------------------------------------------------------- ----- ---------------------
---------------
China Mobile Ltd. (ADS) 10.33 4.46% Information
26.45
Baidu, Inc. (ADS) 8.07 4.88% Technology
CNOOC Ltd. (ADS) 8.05 Energy
23.71
PetroChina Co. Ltd. (ADS) 7.36 26.45% Telecommunication
18.24
7.23% Services
China Life Insurance Co. Ltd. (ADS) 6.48
Consumer
China Petroleum and Chemical Corp. (ADS) 5.57 Discretionary
9.14
9.14%
China Telecom Corp. Ltd. (ADS) 4.07 Financials
7.23
China Unicom (Hong Kong) Ltd. (ADS) 3.84 23.71% Industrials
4.88
18.24%
NetEase Inc. (ADS) 3.39 Health Care
4.46
Yanzhou Coal Mining Co. Ltd. (ADS) 2.73 Materials
3.30
Utilities
2.49
(2)Source: BNY Mellon([R])
(3)Based on standard industry classi[]cations
The Benchmark Index includes depositary receipts, which are quoted and traded
in U.S. dollars on The New York Stock Exchange (NYSE), The NYSE Amex and The
NASDAQ Stock Market (NASDAQ). Each depositary receipt generally represents an
ownership interest in shares (or fractions of a share) of an underlying stock
that may be quoted and traded in its local jurisdiction in a foreign currency.
Depositary receipts are included in the Benchmark Index based, among other
things, on their market capitalization and liquidity.
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. The
RBS ETNs involve risks associated with an investment in emerging markets, as
well as currency exchange risk. Even though the RBS ETNs are listed on the NYSE
Arca, a trading market may not develop and the liquidity of the RBS ETNs may be
limited and/or vary over time, as RBS plc is not required to maintain any
listing of the RBS ETNs. 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).
BNY Mellon is a corporate brand of The Bank of New York Mellon Corporation and
may be used as a generic term to reference the corporation as a whole or its
various subsidiaries. BNY Mellon and BNY Mellon ADR Indices and BNY Mellon DR
Indices are service marks owned by The Bank of New York Mellon Corporation.
This information is provided for general purposes only and is not investment
advice. We provide no advice nor recommendations or endorsement with respect to
any company, security or products based on any index licensed by BNY Mellon,
and we make no representation regarding the advisability of investing in the
same. BNY Mellon's Depositary Receipt business is conducted through BNY
Mellon.
BNY Mellon does not guarantee the accuracy, timeliness and/or completeness of
BNY Mellon ADR Indices and BNY Mellon DR Indices, or any associated indices, or
any data included therein, and BNY Mellon shall have no liability for any
errors, omissions, or interruptions therein. BNY Mellon makes no express or
implied warranties, and expressly disclaims all warranties of merchantability
or []tness for a particular purpose or use with respect to BNY Mellon ADR
Indices and BNY Mellon DR Indices or any associated indices, or any data
included therein, or any materials derived from such data. Without limiting any
of the foregoing, in no event shall the company have any liability for any
special, punitive, indirect, or consequential damages (including lost pro[]ts),
even if noti[]ed of the possibility of such damages. For the full disclaimer
please see the pricing supplement relating to the notes that RBS plc and RBS
Group []led with the SEC.
RBS China Trendpilot[] Index is maintained and calculated by S and P Dow Jones
Indexes ("S and P Dow Jones Indices") or one of its af[]liates. S and P([R]) is a
registered trademark of Standard and Poor's Financial Services LLC ("SPFS") and
Dow Jones([R]) is a registered trademark of Dow Jones Trademark Holdings LLC
("Dow Jones") The RBS China Trendpilot[] ETNs are not sponsored, endorsed, sold
or promoted by SPFS, Dow Jones, S and P Dow Jones Indices, their af[]liates or
their third party licensors, and SPFS, Dow Jones, S and P Dow Jones Indices, their
af[]liates and their third party licensors make no representation regarding the
availability of investing in 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.
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS | Not FDIC Insured. May Lose Value. Dated October 3, 2012
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