Filed pursuant to Rule 433. Registration Statement Nos. 333-184147 and 333-184147-01
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RBS Exchange Traded Notes
RBS US Large Cap Trendpilot[] ETN (TRND)
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RBS ETN Details
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Issuer The Royal Bank of Scotland plc
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Guarantor The Royal Bank of Scotland Group plc
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Ticker TRND
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Intraday Indicative Value Ticker TRND.IV
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CUSIP 78009L308
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ISIN US78009L3087
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Primary Exchange NYSE Arca
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Maturity 12/7/2040
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Index RBS US Large Cap
Trendpilot(TM) Index (USD) (Bloomberg symbol:
"TPLCUT (Index)") (the "Trendpilot[] Index"),
which tracks either the Benchmark Index or the
Cash Rate depending on the relative performance
of the Benchmark Index on a simple historical
moving average basis.
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Benchmark Index SandP 500([R]) Total Return Index (Bloomberg
page: "SPTR Index")
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Benchmark Index Reinvested 1.89%
Dividend Yield(1)
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Cash Rate Yield on a hypothetical notional investment
in 3-month U.S.
Treasury bills as of the most recent weekly
auction (Bloomberg
page: "USB3MTA Index")
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Annual Investor Fee When the Index is tracking the Benchmark Index:
1.00% per
(accrued on a daily basis) annum. When the Index is tracking the
Cash Rate: 0.50% per annum.
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Repurchase at your option You may offer your RBS
ETNs to RBS plc for repurchase on any business
day on or prior to 11/29/2040, provided that
you offer a minimum of 20,000 RBS ETNs for any
single repurchase and follow the procedures
described in the pricing supplement.
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Early redemption at our option We may redeem all of
the RBS ETNs at our discretion at any time on
or prior to 12/5/2040. Pursuant to our
announced plan to exit the structured retail
investor products business, the likelihood that
we will redeem the ETNs prior to maturity has
increased. See "Recent Developments" on page 4
for more information.
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Daily Redemption Value Upon early
repurchase or redemption or at maturity, you
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/trnd*.
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Ranking and Guarantee The RBS ETNs are
unsecured and senior debt obligations of RBS
plc, as the Issuer, and RBSG, as the Guarantor
of the Issuer's obligations under the RBS ETNs.
Any payment on the ETNs is subject to the
ability of the Issuer and Guarantor to pay
their respective obligations as they become
due.
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(1) Benchmark Index Reinvested 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 12/31/2013 divided by
the closing level of the price return version of the Benchmark Index as of
12/31/2013. The RBS ETNs do not pay dividends or interest. *Information
contained on our website is not incorporated by reference in, and should
not be considered a part of, this[]document.
To find out more
Call toll free 855-RBS-ETPS or visit www.rbs.com/etnUS
Not FDIC Insured. May Lose Value.
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ETN Overview:
The RBS US Large Cap Trendpilot(TM) 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 US Large Cap Trendpilot[] ETNs track the RBS US Large Cap Trendpilot[] Index
(USD) which provides:
Trend-following exposure using an objective and transparent methodology to
either the SandP 500([R]) Total Return Index or the Cash Rate;
Large Cap Exposure in positive trending markets by tracking the SandP 500([R])
Total Return Index, the level of which incorporates the reinvestment of any cash
dividends paid on its component securities;
Cash Rate Exposure in negative trending markets by tracking a hypothetical
investment in 3-month U.S. Treasury bills, with the yield determined as of the
most recent weekly auction.
Illustration of the Trendpilot([]) Index Methodology
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*An "Index business day" is a day on which the principal exchange on which the
components of the Benchmark Index trade is open for regular trading sessions for
at least three hours.
The above graph illustrates the operation of the Trendpilot[] Index Methodology.
It does not reflect 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 satisfied, the trend of the Benchmark
Index will be the same as the trend of the Benchmark Index on the immediately
preceding 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.
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Historical Performance (%) -- as of 12/31/2013
QUARTER- year-to- ANNUALIZED ANNUALIZED
TO-DATE (%) date (%) 1-Year (%) 3-Year (%)
------------------------------- ----------- -------- ---------- ----------
RBS US Large Cap Trendpilot[] 10.23 31.07 31.07 12.09
ETN Daily Redemption Value(1)
RBS US Large Cap 10.51 32.39 32.39 13.14
Trendpilot(TM) Index
SandP 500([R]) Total Return Index
(Benchmark Index) 10.51 32.39 32.39 16.18
SandP 500([R]) Index
(Price Only) 9.92 29.60 29.60 13.70
annualized since
ANNUALIZED RBS ETN
5-Year (%) inception (12/6/10) (%)
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-- 12.83
-- 13.89
17.94 16.88
15.40 14.39
Source: Bloomberg. The table above presents the actual performance of the RBS
ETNs, the Index, the SandP 500([R]) Total Return Index (the Benchmark Index),
and the SandP 500([R]) Index (Price Only) over the specified periods. It is not
possible to invest directly in an index. For information regarding the
performance of the Trendpilot Index, see pages PS-12 to PS-15 of the pricing
supplement of the RBS ETNs filed with the U.S. Securites and Exchange Commisson
(SEC). Past performance does not guarantee future results.
(1) Reflects 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. The per annum cash rate on 12/31/13
was 0.07%
SandP 500([R]) Index Performance -- as of 12/31/2013
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The graph above is the historical performance of the SandP 500([R]) Total Return
Index, SandP 500([R]) Index (Price Only) and the SandP 500([R]) Total Return
Index 200-Index business day simple moving average. This illustration does not
reflect any historical Trendpilot[] Index or RBS ETN performance.
SandP 500([R]) Index 1-Year Annual Return Comparison (%)(1)
1991 1992 1993 1994 1995 1996 1997 1998
------------------------- ----- ----- ----- ----- ----- ------ ----- -----
SandP 500([R]) Total Return
Index -- 7.62 10.08 1.32 37.58 22.96 33.36 28.58
SandP 500([R]) Index
(Price Only) -- 4.46 7.06 -1.54 34.11 20.26 31.01 26.67
Cash Rate
(Year-End) 3.91 3.24 3.06 5.57 4.91 5.08 5.43 4.52
2003 2004 2005 2006 2007 2008 2009 2010
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SandP 500([R]) Total Return
Index 28.68 10.88 4.91 15.79 5.49 -37.00 26.46 15.06
SandP 500([R]) Index
(Price Only) 26.38 8.99 3.00 13.62 3.53 -38.49 23.45 12.78
Cash Rate
(Year-End) 0.89 2.23 3.91 4.88 3.31 0.05 0.11 0.18
1999 2000 2001 2002
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21.04 -9.10 -11.89 -22.10
19.53 -10.14 -13.04 -23.37
5.30 5.70 1.71 1.19
2011 2012 2013
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2.11 16.00 32.39
0.00 13.41 29.60
0.03 0.09 0.07
(1) The table above does not reflect any Trendpilot[] Index performance. The
Trendpilot[] Index performance is not the same as the SandP 500([R]) Index
performance. The Trendpilot[] Index may underperform the SandP 500([R])
Index over various time periods, and may track the Cash Rate for extended
periods of time in a low interest rate environment.
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Selected RisK Considerations
Investing in the RBS ETNs involves a number of risks. Some of the risks relating
to the RBS ETNs are summarized here, but we urge you to read the more detailed
explanation of risks described under "Risk Factors" in the applicable pricing
supplement.
You may lose all or a significant portion of your investment: The RBS ETNs are
not principal protected. If the level of the Index decreases, or does not
increase by an amount sufficient to offset the investor fee, you will receive
less, and possibly significantly less, at maturity or upon early repurchase or
redemption than your original investment in the RBS ETNs. The RBS ETNs involve
risks not associated with an investment in conventional debt securities.
Credit risk of RBS plc and RBS Group: The RBS ETNs are unsecured and
unsubordinated obligations of RBS plc, as issuer, and are guaranteed by RBS
Group. You are dependent on RBS plc's ability to pay all amounts due on the RBS
ETNs, and therefore you are subject to the credit risk of RBS plc and to changes
in the market's view of RBS plc's creditworthiness. In addition, because the RBS
ETNs are guaranteed by RBS Group, you are also dependent on the credit risk of
RBS Group in the event that RBS plc fails to make any payment or delivery
required by the terms of the RBS ETNs.
Issuer redemption: RBS plc has the right to redeem or "call" the RBS ETNs, in
whole but not in part, at its sole discretion at any time from the initial
settlement date to and including 12/4/2040. In addition, the implementation of
the RBS Retail Investor Products Exit Plan (as described below under "Recent
Developments") increases the likelihood of our calling the RBS ETNs prior to
maturity.
Strategy Risk: The RBS Trendpilot[] Index uses a trend-following strategy that
seeks to capitalize on trends in the Benchmark Index based on its closing level
relative to its 200-Index business day moving average. This strategy differs
from one that seeks continuous long-only exposure to a single asset. The RBS
Trendpilot[] Index is expected to perform poorly in non-trending volatile
markets. Movements in the Benchmark Index or the Cash Rate may have a material
and adverse impact on the RBS Trendpilot[] Index's performance. There is no
assurance that the strategy will be successful or that it will outperform the
Benchmark Index or the Cash Rate.
Market Risk: The return on the RBS ETNs will depend on the performance of the
Trendpilot[] Index (which in turn will depend on the performance of the
Benchmark Index and the Cash Rate) and other market conditions. In particular,
the RBS ETNs are subject to the risk that large-capitalization U.S equities may
underperform other segments of the equity market or the equity market in
general.
A trading market for the RBS ETNs may not develop: Although the RBS ETNs are
listed on NYSE Arca, Inc., there is no guarantee that the listing will be
maintained or that a secondary market will develop. RBS plc is not required to
maintain any listing of the RBS ETNs.
No Interest Payments: You will not receive any interest payments on the RBS
ETNs. Restrictions on your ability to offer RBS ETNs for repurchase by us: You
must offer at least 20,000 RBS ETNs to us for any single repurchase and satisfy
the other requirements described in the applicable pricing supplement for your
repurchase offer to be considered.
Actual trading price or market price may vary significantly from indicative
value and daily redemption value: The indicative value is meant to approximate
the intrinsic economic value of the RBS ETNs from time to time. Any payment on
the RBS ETNs at maturity or upon early repurchase or redemption is based on the
daily redemption value, which is determined by the calculation agent. If you
purchase or sell RBS ETNs in the secondary market, you will pay or receive the
market price of an RBS ETN. Factors that may influence the market price of the
RBS ETNs include: the level of the Index; the performance of, and volatility in,
the Benchmark Index; supply and demand for the RBS ETNs; economic, financial,
political, regulatory or judicial events that affect the level of the Index; and
the actual or perceived creditworthiness of RBS plc and RBS Group.
The Index has limited actual history and may perform in unexpected ways: The RBS
Trendpilot[] ETN Index was created by RBS plc, as Index Sponsor, and established
on November 16, 2010. As such, it has limited actual history and may perform in
unexpected ways. The historical performance of the Index should not be taken as
indication of future performance.
Uncertain Tax Treatment: Significant aspects of the tax treatment of the RBS
ETNs are uncertain. You should consult your own tax adviser about your own
situation.
The RBS ETNs are complex and 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 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).
RECENT DEVELOPMENTS: On June 13, 2013, we announced that we would be exiting the
structured retail investor products business that is responsible for issuing and
maintaining the RBS ETNs, and that we expect to move such business into a runoff
organization which will go through a process of restructuring and / or business
sales (the "RBS Retail Investor Products Exit Plan"). The implementation of the
RBS Retail Investor Products Exit Plan increases the likelihood that the RBS
ETNs will be redeemed by us prior to maturity. We plan to continue to maintain
and issue the RBS ETNs, but our plans could change. We cannot give you any
assurances as to any minimum period of time that you may hold the RBS ETNs
before we redeem them at our option.
RBS US Large Cap Trendpilot[] Index (USD), is the property of The Royal Bank of
Scotland plc, which has contracted with SandP Opco, LLC (a subsidiary of SandP
Dow Jones Indices LLC) ("SandP Dow Jones Indices") to maintain and calculate the
Index. The SandP 500([R]) Index is the exclusive property of SandP Dow Jones
Indices and has been licensed for use by RBSSI and its affiliates in connection
with the RBS US Large Cap Trendpilot[] Index (USD). SandP Dow Jones Indices
shall have no liability for any errors or omissions in calculating the Index.
SandP([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 SandP Dow
Jones Indices. "Standard and Poor's([R])", "SandP([R])" and "SandP 500([R])" are
registered trademarks of SPFS and together with "Calculated by SandP Dow Jones
Indices" and its related stylized mark(s) have been licensed for use by RBSSI
and its affiliates. The RBS US Large Cap Trendpilot[] ETNs are not sponsored,
endorsed, sold or promoted by SandP Dow Jones Indices, SPFS, Dow Jones, their
affiliates or their third party licensors, and neither SandP 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.
Copyright [C] RBS Securities Inc. All rights reserved.
RBS Securities Inc., is a U.S. registered broker-dealer, member of FINRA and
SIPC, and an indirect wholly-owned subsidiary of The Royal Bank of Scotland plc
and The Royal Bank of Scotland Group plc.
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS | Not FDIC Insured. May Lose Value.
Dated January 15, 2014
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