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effective as of open
of trading on:(3)
Benchmark Index
Closing Level at last
Benchmark Index 2,192.40 1,256.22 1,588.50 2,835.19 2,923.71 4,234.31
trend switch
The Trendpilot S and P 500([R]) S and P MidCap RBS 12-Month NASDAQ-100([R])
Index Return Total Return 400([R]) Total Cash Rate Oil Total Return Total Return Cash Rate
Source:(4) Index Return Index Index Index(SM)
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.
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
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