Filed pursuant to Rule 433. Registration Statement Nos. 333-184147 and 333-184147-01
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www.rbs.com/etnUS or 855.RBS.ETPS (855.727.3877)
RBS ETN Performance as of 03/15/13
RBS Trendpilot[] Exchange Traded Notes ("ETNs") track an RBS Trendpilot[]
Index. As described in more detail below,
RBS Trendpilot[] Indices alternate between tracking a Benchmark Index and the
yield on a hypothetical notional investment in 3-month U.S. Treasury Bills as
of the most recent weekly auction (the "Cash Rate"), depending on the
performance of the Benchmark Index relative to its 100- or 200 Index business
day simple moving average ("SMA"), as applicable.
Trendpilot[] ETN Series
Ticker TRND TRNM TBAR TWTI TNDQ TCHI
---------------- ================ ================= ================= ================= ===================== =================
RBS ETN/Index: RBS US Large RBS US Mid Cap RBS Gold RBS Oil RBS NASDAQ- RBS China
Cap Trendpilot[] Trendpilot[] ETN/ Trendpilot[] ETN/ Trendpilot[] ETN/ 100([R]) Trendpilot[] Trendpilot[] ETN/
ETN/Index Index Index Index ETN/Index Index
---------------- ---------------- ----------------- ----------------- ----------------- --------------------- -----------------
Benchmark S[AND]P 500([R]) S[AND]P MidCap Price of RBS 12- NASDAQ- BNY Mellon
Index: Total 400([R]) Total Gold Bullion Month 100([R]) Total China
Return Return Index Oil Total Return Select ADR
Index Return Index Index(SM) Total Return
Index(SM)
---------------- ---------------- ----------------- ----------------- ----------------- --------------------- -----------------
Daily
Redemption $30.3218 $27.7628 $28.0632 $22.4017 $28.2326 $24.4638
Value (NAV)(1)
---------------- ---------------- ----------------- ----------------- ----------------- --------------------- -----------------
RBS Index
Weekly Return(2) 0.66% 0.99% 0.00% 0.00% -0.16% 0.00%
---------------- ---------------- ----------------- ----------------- ----------------- --------------------- -----------------
RBS Index
Month to Date 3.14% 3.65% 0.00% -0.69% 2.25% 0.00%
Return(2)
---------------- ---------------- ----------------- ----------------- ----------------- --------------------- -----------------
RBS Index Year
to 9.96% 12.23% -2.99% -2.43% 2.91% -3.58%
Date Return(2)
================ ================ ================= ================= ================= ===================== =================
Trendpilot Indicator as of 03/15/13
If a Benchmark Index level is at or above its applicable SMA, for a specified
number of days (each as noted below)
(i.e., a "positive trend" is established), the relevant Trendpilot[] Index will
track its Benchmark Index. If the Benchmark Index level is below its applicable
SMA for the specified number of days (i.e., a "negative trend" is established),
the relevant Trendpilot[] Index will track the Cash Rate.
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TRND TRNM TBAR TWTI TNDQ TCHI
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SMA Day Count/Days to confirm Benchmark Index
trend 200 Day/5 200 Day/5 200 Day/5 100 Day/5 100 Day/5 100 Day/3
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Benchmark Index Closing Level 2,753.82 1,568.77 1,595.50 2,735.00 2,990.65 4,176.83
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Benchmark Index SMA 2,488.76 1,366.96 1,660.79 2,712.36 2,875.36 4,296.93
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Friday,
03/15/2013 ABOVE SMA ABOVE SMA BELOW SMA ABOVE SMA ABOVE SMA BELOW SMA
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Thursday,
03/14/2013 ABOVE SMA ABOVE SMA BELOW SMA ABOVE SMA ABOVE SMA BELOW SMA
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Wednesday,
03/13/2013 ABOVE SMA ABOVE SMA BELOW SMA BELOW SMA ABOVE SMA BELOW SMA
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Tuesday,
03/12/2013 ABOVE SMA ABOVE SMA BELOW SMA ABOVE SMA ABOVE SMA BELOW SMA
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Monday,
03/11/2013 ABOVE SMA ABOVE SMA BELOW SMA BELOW SMA ABOVE SMA ABOVE SMA
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Friday,
03/08/2013 ABOVE SMA ABOVE SMA BELOW SMA BELOW SMA ABOVE SMA ABOVE SMA
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Last Benchmark Index Trend switch effective as of
open of trading on:(3) 1/3/12 1/19/12 2/20/13 3/8/13 1/10/13 2/26/13
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Benchmark Index Closing Level at last Benchmark
Index trend switch 2,192.40 1,256.22 1,588.50 2,706.20 2,923.71 4,234.31
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The Trendpilot Index Return Source:(4) S[AND]P 500([R]) S[AND]P MidCap 400([R]) Cash Rate Cash Rate NASDAQ-100([R]) Cash Rate
Return Index Total Return Index Total Return Index(SM}
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The tables above present the actual performance of the respective indices and
RBS ETNs as of the specified dates and periods. For information regarding the
performance of each Index, please refer to the relevant pricing supplement
filed with the U.S. Securities and Exchange Commission ("SEC"). Past
performance does not guarantee future results.
*Information contained on our website is not incorporated by reference in, and
should not be considered a part of, this document.
(1) Includes the deduction of the annual investor fee, which accrues on a daily
basis. The annual investor fee is equal to: (i)(a) 1.00% per annum when the RBS
US Large Cap Trendpilot(TM) Index (USD), RBS US Mid Cap Trendpilot(TM) Index
(USD), RBS Gold Trendpilot(TM) Index (USD) and the RBS NASDAQ-100([R])
Trendpilot(TM) Index (USD) are tracking their respective Benchmark Indices and
(b) 1.10% per annum when the RBS Oil Trendpilot(TM) Index (USD) and RBS China
Trendpilot(TM) Index (USD) are tracking their respective Benchmark Indices; and
(ii) 0.50% per annum when any of these Trendpilot(TM) Indices are tracking the
Cash Rate.
(2) These percentages are calculated for the periods indicated based on the
levels of the respective Indices through the close of business on the date set
forth at the top of this fact sheet (the "measurement date"). More
specifically, the Index Weekly Return is calculated using the level of the
relevant Trendpilot(TM) Index at the close of business on the last Index
business day of the week prior to the measurement date through the measurement
date; the Index Month to Date Return is calculated from the last Index business
day of the month prior to the measurement date through the measurement date;
and the Index Year to Date Return is calculated from the last Index business
day of the year prior to the measurement date through the measurement date.
(3) These dates are those on which the relevant Trendpilot(TM) Index
implemented the change in the reference exposure (i.e., the Index Return
Source) following a Benchmark Index trend switch. The Trendpilot[] Index will
implement the change in the reference exposure at the open of trading on the
second Index business day immediately following the business day on which the
Benchmark Index trend switches from positive to negative or from negative to
positive, as the case may be.
(4) The "Index Return Source" is either the Benchmark Index (if the Benchmark
Index is in a positive trend) or the Cash Rate (if the Benchmark Index is in a
negative trend).
For more information: 855.727.3877
FOR REGISTERED BROKER/DEALERS AND REGISTERED INVESTMENT ADVISERS ONLY. NOT FOR
DISTRIBUTION TO INDIVIDUAL
INVESTORS.
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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 relevant Index must increase by an
amount sufficient 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 RBS Oil
Trendpilot(TM) ETNs and the RBS Oil Trendpilot(TM) Index (USD) do not provide
exposure to spot prices of crude oil and, consequently, may not be
representative of an investment that provides exposure to crude oil. Each
Trendpilot[] Index may underperform its respective Benchmark Index, and is
expected to perform poorly in volatile markets. The RBS China Trendpilot[] 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 the applicable issuer and
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 applicable 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 filed 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 filed 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).
RBS China Trendpilot[] Index, RBS US Large Cap Trendpilot[] Index (USD), RBS US
Mid Cap Trendpilot[] Index (USD) and RBS Gold Trendpilot[] Index (USD)
(collectively, the "Indices") are the property of RBS plc (the "Index Sponsor"),
which has contracted with S[AND]P Opco, LLC, a subsidiary of S[AND]P Dow Jones
Indices LLC ("S[AND]P Dow Jones Indices") to maintain and calculate the Indices.
The S[AND]P 500([R]) Index and the S[AND]P MidCap 400([R]) Index are the
exclusive property of S[AND]P Dow Jones Indices and have been licensed for use
by RBSSI and its affiliates in connection with the RBS US Large Cap Trendpilot[]
Index (USD) and the RBS US Mid Cap Trendpilot[] Index (USD), respectively.
S[AND]P Dow Jones Indices, its affiliates and their third party licensors shall
have no liability for any errors or omissions in calculating the Indices.
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"). These trademarks have been licensed to
S[AND]P Dow Jones Indices. "Standard [AND] Poor's[R]", "S[AND]P([R])", "S[AND]P
500([R])" and "S[AND]P MidCap 400([R])" are trademarks of SPFS and together with
the "Calculated by S[AND]P Dow Jones Indices Custom" and its related stylized
mark(s) have been licensed for use by RBSSI and its affiliates. The RBS China
Trendpilot[] ETNs, RBS US Large Cap Trendpilot[] ETNs, RBS US Mid Cap
Trendpilot[] ETNs and RBS Gold Trendpilot[] ETNs are not sponsored, endorsed,
sold or promoted by S[AND]P Dow Jones Indices, SPFS, Dow Jones, their affiliates
or their third party licensors, and neither S[AND]P Dow Jones Indices, SPFS, Dow
Jones, their affiliates or their third party licensors make any representation
regarding the advisability of investing in such RBS ETNs.
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 RBS
NASDAQ-100([R]) Trendpilot(TM) Index is the property of RBS plc. RBS plc has
contracted with The NASDAQ OMX Group, Inc. (which with its affiliates and
subsidiaries is referred to as the "Corporations") to calculate and maintain the
RBS NASDAQ-100([R]) Trendpilot(TM) Index, either directly or through a third
party. Currently, the RBS NASDAQ-100([R]) Trendpilot(TM) Index is calculated and
maintained by S[AND]P Opco, LLC ("S[AND]P Opco"), a subsidiary of S[AND]P Dow
Jones Indices LLC ("S[AND]P Dow Jones Indices"), on behalf of The NASDAQ OMX
Group, Inc. S[AND]P Opco and the Corporations shall have no liability for any
errors or omissions in calculating the Index. The RBS NASDAQ-100([R])
Trendpilot(TM) ETNs, which are based on the RBS NASDAQ-100([R]) Trendpilot(TM)
Index, have not been passed on by the Corporations or S[AND]P Opco as to their
legality or suitability and are not sponsored, endorsed, sold or promoted by the
Corporations or S[AND]P Opco. THE CORPORATIONS AND S[AND]P OPCO MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE RBS NASDAQ-100([R])
TRENDPILOT(TM) ETNs.
RBS Oil Trendpilot(TM) Index (USD) and RBS 12-Month Oil Total Return Index (USD)
are the property of RBS plc and are calculated by NYSE Arca, a wholly-owned
subsidiary of NYSE Euronext. The RBS Oil Trendpilot[] ETNs, which track the RBS
Oil Trendpilot(TM) Index (USD) and RBS 12-Month Oil Total Return Index (USD),
are not issued, sponsored, endorsed, sold or promoted by NYSE Arca, and NYSE
Arca makes no representation regarding the advisability of investing in such
ETNs. NYSE ARCA MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY
DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
WITH RESPECT TO THE RBS OIL TRENDPILOT[] INDEX (USD) OR RBS 12-MONTH OIL TOTAL
RETURN INDEX (USD) OR ANY DATA INCLUDED THEREIN. IN NO EVENT SHALL NYSE ARCA
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES
(INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
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
fitness 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 profits), even if
notified of the possibility of such damages. For the full disclaimer please see
the pricing supplements relating to the notes that RBS plc and RBS Group filed
with the SEC.
Copyright [C] 2013 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.
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