Filed pursuant to Rule 433. Registration Statement Nos. 333-184147 and 333-184147-01
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The RBS ETN Series Notebook
Trendpilot
[] Indices
[] Trend-following Strategies Rebalance Strategy RICI Enhanced(SM)Commodity
Indices
[H] Designed in cooperation with Jim Rogersand RBS
FOR USE WITH INSTITUTIONS ONLY, NOT FOR USE WITH RETAIL INVESTORS.
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IMPORTANT INFORMATION: The Royal Bank of Scotland plc ("RBS plc") and The Royal
Bank of Scotland Group plc ("RBS Group") (collectively, the "RBS Entities")
have filed a registration statement (including a prospectus) with the
Securities and Exchange Commission (SEC) for the offering of RBS ETNs to which
this communication may relate. Before you invest in any RBS ETNs, you should
read the relevant prospectus in such registration statement and other documents
that have been filed with the SEC for more complete information about the
relevant RBS Entities and offerings. You may get these documents for free by
visiting EDGAR on the SEC website at www.sec.gov. Alternatively, RBS plc, RBS
Securities Inc. or any dealer participating in the relevant offering will
arrange to send you the relevant prospectus and pricing supplements if you
request by calling 1-855-RBS-ETPS (toll-free).
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.
**The pricing supplements, including a description of the applicable index
methodology, can be found here: www.rbs.com/etnus and we can provide them to
you upon request. The RBS ETNs are relatively new products and any performance
prior to the live date of the index which the RBS ETN tracks is hypothetical
and does not reflect actual returns. No actual investment which allowed
tracking of the performance of any RBS index was possible before its live date.
The retrospectively calculated index performance contained herein is based on
criteria applied retroactively with the benefit of hindsight and knowledge of
factors that may have positively affected its performance, and cannot account
for all financial risk that may affect the actual performance of the RBS ETNs.
The actual performance of the RBS ETNs may vary significantly from the
retroactively calculated index performance data contained herein. Neither the
retrospectively calculated nor the historical index performance should be taken
as any indication of future performance of any index or any related RBS ETNs.
An investment in the RBS ETNs involves significant risks. The applicable
pricing supplement and prospectus for the RBS ETNs will describe material risks
related to an investment in RBS ETNs. These risks include the following:
RISK CONSIDERATIONS
Credit risk of the issuer and guarantor
RBS ETNs are unsecured and unsubordinated obligations of RBS plc and are fully
and unconditionally guaranteed by RBS Group(1). If RBS plc fails to make any
required payments on the RBS ETNs, your receipt of such payment will depend on
the ability of RBS Group to pay its obligations as they become due.
In addition, unlike ordinary debt securities, the RBS ETNs are not principal
protected and do not pay interest. The RBS ETNs are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation, the
Deposit Insurance Fund or any other government agency.
Market risk
The return on an RBS ETN will depend on the performance of the underlying
market measure(s) to which the RBS ETNs is linked. You may lose all or a
significant amount of your investment in the RBS ETNs if the level(s) of the
underlying market measure(s) were to decrease substantially.
Investor fees
The daily redemption value is the amount payable at maturity or upon early
repurchase or redemption of your RBS ETNs and is reduced by the aggregate
investor fee applicable to your RBS ETNs. As a result, the level of the
underlying market measure(s) to which your RBS ETNs are linked must increase by
an amount sufficient to offset the aggregate investor fee in order for you to
receive at least the face amount of your investment at maturity or upon early
repurchase or redemption. If the level(s) of the underlying market measure(s)
were to decrease or not increase sufficiently, you would receive less, and
possibly significantly less, than your initial investment at maturity or upon
early repurchase or redemption.
Liquidity risk
Even though RBS ETNs are expected to be listed on a US securities exchange,
there is no guarantee that the listing will be maintained or that a secondary
market will develop. The liquidity of the RBS ETNs may therefore be limited
and/or vary over time. RBS plc is not required to maintain any listing of RBS
ETNs on any securities exchange.
Restrictions on your ability to offer RBS ETNs for repurchase by RBS plc.
Through your broker, you may offer RBS ETNs for repurchase by RBS plc subject
to certain restrictions and procedures described in the applicable pricing
supplement.
Call risk
RBS plc also has the right to redeem your RBS ETNs, in its sole discretion. If
RBS plc elects to redeem your RBS ETNs, you may not be able to reinvest your
proceeds in a comparable investment. 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" for
more information.
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.
DEFINITIONS OF CERTAIN DEFINED TERMS USED HEREIN
Annualized Average represents the calculated hypothetical rate of return that,
if cumulatively applied to each relevant annual period during the time period
indicated, would result in the actual cumulative rate of return for the entire
period.
Maximum Drawdown represents the maximum percentage loss that the relevant index
incurred from its peak level to its lowest level during the time period
indicated. Maximum Performance represents the highest one-year returns, as
measured from 12/31 to 12/31 of each year during the period indicated.
Minimum Performance represents the lowest one-year returns, as measured from
12/31 to 12/31 of each year during the period indicated.
5-Year Volatility: Based on monthly returns over the last five years unless
stated otherwise (from most recent date indicated on slide) and expressed as
standard deviation percentage. 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).
Because the standard deviation is based on historical data, it may not predict
variability in annualized performance of the RBS ETNs in the future.
(1)Certain RBS ETNs were originally issued by The Royal Bank of Scotland N.V.
("RBS N.V."); however, as of December 10, 2012, RBS plc assumed the obligations
of RBS N.V. under those RBS ETNs and became the issuer of them.
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The RBS ETN Lineup:
ETN ANNUAL
INTRADAY mOVING AVG
ETN INcEpTION INVESTOR
INDIcATIVE (MA)/DAYS TO
Trend-following Strategies TIcKER DATE bENcHmARK INDEX cASH RATE FEE(2)
VALUE TIcKER CUSIP CONFIRm TREND
------------------------------------ ------ --------- -------------------------------------------------- -----------------
RBS Trendpilot[] ETNs
------------------------------------ ------ --------- -------------------------------------------------- -----------------
----------- ------------ --------- -------------
RBS US Large Cap Trendpilot[] ETN TRND 12/6/10 SandP 500([R]) Total Return Index 3-Month U.S. 1.00%
Index TRND.IV 78009L308 200 Day MA
Treasury Bills(1) 0.50%
Cash 5-Day Confirm
------------------------------------ ------ --------- -------------------------------------------------- -----------------
----------- ------------ --------- -------------
RBS US Mid Cap Trendpilot[] ETN TRNM 1/25/11 SandP MidCap 400([R]) Total Return Index 3-Month U.S. 1.00%
Index TRNM.IV 78009L209 200 Day MA
Treasury Bills(1) 0.50%
Cash 5-Day Confirm
------------------------------------ ------ --------- -------------------------------------------------- -----------------
----------- ------------ --------- -------------
RBS NASDAQ-100([R]) Trendpilot[] ETN TNDQ 12/8/11 NASDAQ-100([R]) Total Return Index(SM) 3-Month U.S. 1.00%
Index TNDQ.IV 78009P143 100 Day MA
Treasury Bills(1) 0.50%
Cash 5-Day Confirm
------------------------------------ ------ --------- -------------------------------------------------- -----------------
----------- ------------ --------- -------------
RBS China Trendpilot[] ETN TCHI 4/13/12 BNY Mellon China Select ADR Total Return Index(SM) 3-Month U.S. 1.10%
Index TCHI.IV 78009P150 100 Day MA
Treasury Bills(1) 0.50%
Cash 3-Day Confirm
------------------------------------ ------ --------- -------------------------------------------------- -----------------
----------- ------------ --------- -------------
3-Month U.S. 1.00%
Index 200 Day MA
RBS Gold Trendpilot[] ETN TBAR 2/17/11 Price of Gold Bullion Treasury Bills(1) 0.50%
Cash TBAR.IV 78009L407 5-Day Confirm
------------------------------------ ------ --------- -------------------------------------------------- -----------------
----------- ------------ --------- -------------
3-Month U.S. 1.10%
Index 100 Day MA
RBS Oil Trendpilot[] ETN TWTI 9/13/11 RBS 12-Month Oil Total Return Index Treasury Bills(1) 0.50%
Cash TWTI.IV 78009P127 5-Day Confirm
-----------------
ETN ANNUAL INTRADAY
ETN INcEpTION INVESTOR INDIcATIVE
Rebalance Strategy TIcKER DATE UNDERLYING INDIcES FEE(2) VALUE TIcKER CUSIP
REbALANcED
--------------------------------- ------ --------- ---------------------------------------------- -------- ------------ ---------
SandP 500([R]) Total Return Index
RBS US Large Cap Alternator ETN[] ALTL 8/30/12 SandP 500([R]) Equal Weight Total Return Index 1.00% ALTL.IV 78009P168
Monthly
SandP 500([R]) Low Volatility Total Return Index
--------------------------------- ------ --------- ---------------------------------------------- -------- ------------ ---------
ETN ANNUAL INTRADAY
REbALANcED
ETN INcEpTION INVESTOR INDIcATIVE
TO TARGET
Commodities Strategies TIcKER DATE UNDERLYING INDEX FEE(2) VALUE TIcKER CUSIP
WEIGHTS
------------------------------- ------ --------- ------------------------------------------------------ -------- ------------
--------- -------------
RBS Rogers Enhanced ETNs
------------------------------- ------ --------- ------------------------------------------------------ -------- ------------
--------- -------------
RBS Rogers Enhanced Commodity RGRC 10/25/12 RICI Enhanced(SM) Commodity Total Return Index 0.95% RGRC.IV
78009P176 Semi-Annually
Index ETN
------------------------------- ------ --------- ------------------------------------------------------ -------- ------------
--------- -------------
RBS Rogers Enhanced Energy RGRE 10/25/12 RICI Enhanced(SM) Energy Total Return Index 0.95% RGRE.IV
78009P192 Semi-Annually
ETN
------------------------------- ------ --------- ------------------------------------------------------ -------- ------------
--------- -------------
RBS Rogers Enhanced Agriculture RGRA 10/25/12 RICI Enhanced(SM) Agriculture Total Return Index 0.95% RGRA.IV
78009P184 Semi-Annually
ETN
------------------------------- ------ --------- ------------------------------------------------------ -------- ------------
--------- -------------
RBS Rogers Enhanced Precious RGRP 10/25/12 RICI Enhanced(SM) Precious Metals Total Return Index 0.95% RGRP.IV
78009P200 Semi-Annually
Metals ETN
------------------------------- ------ --------- ------------------------------------------------------ -------- ------------
--------- -------------
RBS Rogers Enhanced Industrial RGRI 10/25/12 RICI Enhanced(SM) Industrial Metals Total Return Index 0.95% RGRI.IV
78009P218 Semi-Annually
Metals ETN
-------------------------------
(1)Determined as of the most recent weekly auction.
(2)With respect to RBS Trendpilot[] ETNs, the fees are either 1.10% or 1.00%
per annum (as set forth above) when tracking the Benchmark Index, and 0.50% per
annum when tracking the Cash Rate. All fees are per annum.
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Trend-Following Strategies
INTRADAY
ETN ANNUAL
INDIcATIVE mOVING AVG
ETN INcEpTION
INVESTOR VALUE (MA)/DAYS TO
TIcKER DATE bENcHmARK INDEX cASH RATE FEE(2)
TIcKER CUSIP CONFIRm TREND
--------------------------------------- ------ --------- -------------------------------------------------- -----------------
----------- ---------- --------- -------------
RBS Trendpilot[] ETNs
--------------------------------------- ------ --------- -------------------------------------------------- -----------------
----------- ---------- --------- -------------
1. RBS US Large Cap Trendpilot[] ETN TRND 12/6/10 SandP 500([R]) Total Return Index 3-Month U.S. 1.00%
Index TRND.IV 78009L308 200 Day MA
Treasury Bills(1) 0.50%
Cash 5-Day Confirm
--------------------------------------- ------ --------- -------------------------------------------------- -----------------
----------- ---------- --------- -------------
2. RBS US Mid Cap Trendpilot[] ETN TRNM 1/25/11 SandP MidCap 400([R]) Total Return Index 3-Month U.S. 1.00%
Index TRNM.IV 78009L209 200 Day MA
Treasury Bills(1) 0.50%
Cash 5-Day Confirm
--------------------------------------- ------ --------- -------------------------------------------------- -----------------
----------- ---------- --------- -------------
3. RBS NASDAQ-100([R]) Trendpilot[] ETN TNDQ 12/8/11 NASDAQ-100([R]) Total Return Index(SM) 3-Month U.S. 1.00%
Index TNDQ.IV 78009P143 100 Day MA
Treasury Bills(1) 0.50%
Cash 5-Day Confirm
--------------------------------------- ------ --------- -------------------------------------------------- -----------------
----------- ---------- --------- -------------
4. RBS China Trendpilot[] ETN TCHI 4/13/12 BNY Mellon China Select ADR Total Return Index(SM) 3-Month U.S. 1.10%
Index TCHI.IV 78009P150 100 Day MA
Treasury Bills(1) 0.50%
Cash 3-Day Confirm
--------------------------------------- ------ --------- -------------------------------------------------- -----------------
----------- ---------- --------- -------------
3-Month U.S. 1.00%
Index 200 Day MA
5. RBS Gold Trendpilot[] ETN TBAR 2/17/11 Price of Gold Bullion Treasury Bills(1) 0.50%
Cash TBAR.IV 78009L407 5-Day Confirm
--------------------------------------- ------ --------- -------------------------------------------------- -----------------
----------- ---------- --------- -------------
3-Month U.S. 1.10%
Index 100 Day MA
6. RBS Oil Trendpilot[] ETN TWTI 9/13/11 RBS 12-Month Oil Total Return Index Treasury Bills(1) 0.50%
Cash TWTI.IV 78009P127 5-Day Confirm
-----------------
----------- -------------
Our trend-following strategies:
[] Track the return of a specific benchmark index or cash rate
[] Use a 100- or 200-Index business day simple moving average
[] Use a 3- or 5-Index business day period for trend confirmation
This graph illustrates the Trendpilot[] methodology based on hypothetical
movements in a Benchmark Index and its 100- or 200-Index business day simple
moving average. This slide does not demonstrate historical data, and is not an
indication of how any Index or Trendpilot[] methodology will perform in the
future. If neither of the conditions mentioned in the graph 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.
(1) Determined as of the most recent weekly auction.
(2) With respect to RBS Trendpilot[] ETNs, the fees are either 1.10%
or 1.00% per annum (as set forth above) when tracking the
Benchmark Index, and 0.50% per annum when tracking the Cash Rate.
A negative trend is established:
The Index will track the Cash Rate
If the closing level of the relevant Benchmark Index is below its historical
100- or 200-Index business day simple moving average for three or five
consecutive Index business days, as applicable
Hypothetical 100- or 200-Index Business Day Moving Average
Level of Hypothetical Benchmark Index
A positive trend is established:
The Index will track the relevant Benchmark Index
If the closing level of the relevant Benchmark Index is at or above its
historical 100- or 200-Index business day simple moving average for three or
five consecutive Index business days, as applicable
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RBS US Large Cap Trendpilot[] Index -- as of December 31, 2013
RBS US Large Cap Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons: May 22, 1991 to December 31, 2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS US Large Cap Trendpilot[] Index (Net of Fees) SandP 500[R] Total Return
Index
SandP 500[R] Total Return Index - 200-Index Business Day Simple Moving Average
SandP 500[R] Price Only Index
RBS US Large Cap
Trendpilot[] Index
Live Date:
November 16, 2010
5/22/1991 5/22/1994 5/22/1997 5/22/2000 5/22/2003
Rolling 1-Year Performance and Historical Volatility Comparison
December 31, 1991 - December 31, 2013
RBS US Large Cap
Trendpilot[] Index (Net of Fees) SandP 500([R]) Total Return Index
------------------- -------------------------------- -------------------------------
Minimum Performance -6.45% -37.00%
------------------- -------------------------------- -------------------------------
Maximum Performance 36.21% 37.58%
------------------- -------------------------------- -------------------------------
Annualized Average 9.76% 9.19%
------------------- -------------------------------- -------------------------------
5-Year Volatility 11.41% 15.81%
------------------- -------------------------------- -------------------------------
FOR MORE INFORMATION PLEASE SEE THE RBS US LARGE CAP TRENDPILOT[] PRICING
SUPPLEMENT. Source: Bloomberg. The above, with respect to the RBS US Large Cap
Trendpilot[] Index, reflects the deduction of the annual investor fee for the
RBS US Large Cap Trendpilot[] ETNs, which is equal to 1.00% per annum when the
RBS US Large Cap Trendpilot[] Index tracks the SandP 500 [R] Total Return Index
and 0.50% per annum when the RBS US Large Cap Trendpilot[] Index[] tracks the
Cash Rate. The RBS US Large Cap Trendpilot[] Index was created on November 16,
2010. Therefore, the graph reflects actual RBS US Large Cap Trendpilot[] Index
performance from November 16, 2010 through December 31, 2013 and reflects a
retrospectively calculated RBS US Large Cap Trendpilot[] Index performance from
May 22, 1991 through November 15, 2010 which is based on the index methodology
published by the index sponsor and described in the applicable pricing
supplement. See also Slide 1 **.
PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS
NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX.
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RBS US Large Cap Trendpilot[] Index
Index Returns: 1-, 5- and 10-Year Annualized Rolling Returns as of December 31,
2013
1-Year
Annual Returns (Dec. 31, 1993 - Dec. 31, 2013)
5-Year
Annualized Returns (Dec. 31, 1997 - Dec. 31, 2013)
10-Year
Annualized Returns (Dec. 31, 2002 - Dec. 31, 2013)
Source: Bloomberg. The graphs, with respect to the RBS US Large Cap
Trendpilot[] Index, reflect the deduction of the annual investor fee for the
RBS US Large Cap Trendpilot[] ETNs, which is equal to 1.00% per annum when the
RBS US Large Cap Trendpilot[] Index tracks the SandP 500[R] Total Return Index
and 0.50% per annum when the RBS US Large Cap Trendpilot[] Index[] tracks the
Cash Rate.
The 1-year Annual Returns above illustrate the retrospectively calculated
annual returns (and historical annual returns for the annual periods after the
index live date) of the RBS US Large Cap Trendpilot[] Index less investor fees,
and historical returns of the SandP 500[R] Total Return Index for the period
presented. Annualized Returns in the graphs above illustrate the geometric
average annualized return of each of the RBS US Large Cap Trendpilot[] Index
and the SandP 500[R] Total Return Index, based on the cumulative returns of the
applicable index over the relevant period. Geometric average annualized return
is the calculated hypothetical rate of return that, if cumulatively applied to
each relevant annual period would result in the actual cumulative rate of
return for the entire 5- or 10-year period, as applicable. For example in the
5-Year graph, 12/31/13 data reflects the annual return required to be received
in each annual period from 12/31/08 - 12/31/13 in order to provide the total
return that hypothetically could have resulted from an investment bought on
12/31/08 and sold on 12/31/13, assuming annual compounding. Please note that
because the RBS US Large Cap Trendpilot[] Index did not exist until 11/16/2010,
an investment in such Index was not possible prior to that date. The SandP 500[R]
data presented above is based on actual historical returns. See also Slide 1
**.
PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS
NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX.
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RBS US Mid Cap Trendpilot[] Index -- as of December 31, 2013
RBS US Mid Cap Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons October 20, 2000 to December 31, 2013
Rolling 1-Year Performance and Historical Volatility Comparison
December 31, 2001 - December 31, 2013
RBS US Mid Cap SandP MidCap 400([R])
Trendpilot[] Index (Net of Fees) Total Return Index
Minimum Performance -9.15% -36.23%
Maximum Performance 34.89% 37.38%
Annualized Average 9.45% 9.91%
5-Year Volatility 13.95% 18.43%
FOR MORE INFORMATION PLEASE SEE THE RBS US MID CAP TRENDPILOT[] PRICING
SUPPLEMENT. Source: Bloomberg. The above, with respect to the RBS US Mid Cap
Trendpilot[] Index, reflects the deduction of the annual investor fee for the
RBS US Mid Cap Trendpilot[] ETNs, which is equal to 1.00% per annum when the
RBS US Mid Cap Trendpilot[] Index tracks the SandP MidCap 400 [R] Total Return
Index and 0.50% per annum when the RBS US Mid Cap Trendpilot Index[] tracks the
Cash Rate. The RBS US Mid Cap Trendpilot[] Index was created on January 24,
2011. Therefore, the graph reflects actual RBS US Mid Cap Trendpilot[] Index
performance from January 24, 2011 through December 31, 2013 and reflects a
retrospectively calculated RBS US Mid Cap Trendpilot[] Index performance from
October 20, 2000 through January 21, 2011 which is based on the index
methodology published by the index sponsor and described in the applicable
pricing supplement. See also Slide 1 **.
PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS
NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX.
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RBS US Mid Cap Trendpilot[] Index
Index Returns: 1-, 5- and 10-Year Annualized Rolling Returns as of December 31,
2013
RBS US Mid Cap Trendpilot[] Index (Net of Fees) SandP MidCap 400[R] Index
Total Return Index
1-Year
Annual Returns (Dec. 31, 2002 - Dec. 31, 2013)
5-Year
Annualized Returns (Dec. 31, 2006 - Dec. 31, 2013)
10-Year
Annualized Returns (Dec. 31, 2011 - Dec. 31, 2013)
Source: Bloomberg. The graphs, with respect to the RBS US Mid Cap Trendpilot[]
Index, reflect the deduction of the annual investor fee for the RBS US Mid Cap
Trendpilot[] ETNs, which is equal to 1.00% per annum when the RBS US Mid Cap
Trendpilot[] Index tracks the SandP MidCap 400[R] Total Return Index and 0.50%
per annum when the RBS US Mid Cap Trendpilot[] Index tracks the Cash Rate. The
1-year Annual Returns above illustrate the retrospectively calculated annual
returns (and historical annual returns for the annual periods after the index
live date) of the RBS US Mid Cap Trendpilot[] Index less investor fees, and
historical returns of the SandP MidCap 400[R] Total Return Index for the period
presented. Annualized Returns in the graphs above illustrate the geometric
average annualized return of each of the RBS US Mid Cap Trendpilot[] Index and
the SandP MidCap 400[R] Total Return Index, based on the cumulative returns of
the applicable index over the relevant period. Geometric average annualized
return is the calculated hypothetical rate of return that, if cumulatively
applied to each relevant annual period would result in the actual cumulative
rate of return for the entire 5- or 10-year period, as applicable. For example
in the 5-Year graph, 12/31/13 data reflects the annual return required to be
received in each annual period from 12/31/08 - 12/31/13 in order to provide the
total return that hypothetically could have resulted from an investment bought
on 12/31/08 and sold on 12/31/13, assuming annual compounding. Please note that
because the RBS US Mid Cap Trendpilot[] Index did not exist until 01/24/2011,
an investment in such Index was not possible prior to that date. The SandP MidCap
400[R] data presented above is based on actual historical returns. See also
Slide 1 **.
PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS
NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX.
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RBS NASDAQ-100([R]) and China Trendpilot[] Indexes -- as of December 31, 2013
RBS NASDAQ-100([R]) Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons. July 27, 1999 to December 31, 2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS NASDAQ-100 [R] Trendpilot[] Index (Net of Fees) NASDAQ-100 [R]
Total Return Index(SM)
NASDAQ-100 [R] Total Return Index(SM) 100-Day Moving Average
RBS China Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons. September 10, 2002 to December 31, 2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS China Trendpilot[] Index (Net of Fees) BNY Mellon China Select ADR
Total Return Index(SM)
BNY Mellon China Select ADR Total Return Index(SM) 100-Day Moving Average
RBS NASDAQ-100[R] Trendpilot[] Index
Live Date: November 28, 2011
RBS China Trendpilot[] Index Live Date: February 27, 2012
7/27/1999 7/27/2001 7/27/2003 7/27/2005 7/27/2007 7/27/2009 7/27/2011
Rolling 1-Year Performance and Historical Volatility Comparison
December 31, 2000 - December 31, 2013
RBS NASDAQ-100([R])
Trendpilot[] Index NASDAQ-100([R])
(Net of Fees) Total Return Index(SM)
------------------- ------------------- ----------------------
Minimum Performance -22.14% -41.57%
------------------- ------------------- ----------------------
Maximum Performance 51.87% 54.61%
------------------- ------------------- ----------------------
Annualized Average 3.65% 0.32%
------------------- ------------------- ----------------------
5-Year Volatility 14.89% 16.88%
------------------- ------------------- ----------------------
Rolling 1-Year Performance and Historical Volatility Comparison
December 31, 2003 - December 31, 2013
RBS China
Trendpilot[] Index BNY Mellon China Select
(Net of Fees) ADR Total Return Index(SM)
------------------- ------------------ --------------------------
Minimum Performance -26.48% -53.81%
------------------- ------------------ --------------------------
Maximum Performance 93.22% 110.01%
------------------- ------------------ --------------------------
Annualized Average 18.71% 17.28%
------------------- ------------------ --------------------------
5-Year Volatility 15.60% 24.13%
------------------- ------------------ --------------------------
FOR MORE INFORMATION PLEASE SEE THE RBS NASDAQ-100 TRENDPILOT[] PRICING
SUPPLEMENT OR RBS CHINA TRENDPILOT[] PRICING SUPPLEMENT, AS APPROPRIATE.
Source: Bloomberg. The above, with respect to the RBS NASDAQ-100 Trendpilot[]
Index and the RBS China Trendpilot[] Index, reflects the deduction of the
annual investor fee for the related RBS ETNs which is equal to 1.00% or 1.10%,
respectively, per annum when the RBS NASDAQ -100[R] Trendpilot[] ETN and RBS
China Trendpilot[] ETN track, respectively, the NASDAQ-100[R] Total Return
Index(SM) and BNY Mellon China Select ADR Total Return Index(SM), and 0.50% per
annum when such ETNs track the Cash Rate. The RBS NASDAQ-100[R] Trendpilot[]
Index (USD) was created on November 28, 2011. Therefore, the graph reflects the
actual RBS NASDAQ-100[R] Trendpilot[] Index performance from November 28, 2011
through December 31, 2013 and reflects the retrospectively calculated RBS
NASDAQ-100[R] Trendpilot[] Index performance from July 27, 1999 through
November 27, 2011, based on the index methodology published by the index
sponsor and described in the applicable pricing supplement. The RBS China
Trendpilot[] Index (USD) (the "Index") was created on February 27, 2012.
Therefore, for that Index, the graph reflects the actual Index closing levels
from February 27, 2012 through December 31, 2013 and reflects the
retrospectively calculated Index performance from September 10, 2002 through
February 26, 2012, based on the index methodology published by the index
sponsor and described in the applicable pricing supplement. The graph starts at
September 10, 2002 because that was the inception date for the BNY Mellon China
Select ADR Total Return Index(SM). See also Slide 1 **.
PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS
NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST IN AN INDEX.
9
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 |
RBS Gold and Oil Trendpilot[] Indexes -- as of December 31, 2013
RBS Gold Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons October 20, 1975 to December 31, 2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS Gold Trendpilot[] Index (Net of Fees) Price of Gold Bullion Price of
Gold Bullion 200-Index business day simple moving average
RBS Oil Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical and Retrospective Comparisons July 13, 1989 to December 31,
2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS Oil Trendpilot[] Index (Net of Fees) RBS 12-Month Oil Total Return
Index RBS 12-Month Oil Index 100-Day Moving Average
RBS Gold Trendpilot[] Index Live Date: January 24, 2011
RBS Oil Trendpilot[] Index Live Date: September 13, 2011
Rolling 1-Year Performance and Historical Volatility Comparison
December 31, 1976 - December 31, 2013
Trendpilot[] Index Price of
(Net of Fees) Gold Bullion
------------------- ------------------ ------------
Minimum Performance -20.78% -32.60%
------------------- ------------------ ------------
Maximum Performance 124.30% 126.55%
------------------- ------------------ ------------
Annualized Average 8.52% 6.10%
------------------- ------------------ ------------
5-Year Volatility 17.98% 20.85%
------------------- ------------------ ------------
Rolling 1-Year Performance and Historical Volatility Comparison
December 31, 1989 - December 31, 2013
RBS Oil
Trendpilot[] Index RBS 12-Month Oil Total
(Net of Fees) Return Index
------------------- ------------------ ----------------------
Minimum Performance -21.05% -43.01%
------------------- ------------------ ----------------------
Maximum Performance 77.12% 94.38%
------------------- ------------------ ----------------------
Annualized Average 13.43% 13.18%
------------------- ------------------ ----------------------
5-Year Volatility 18.78% 23.49%
------------------- ------------------ ----------------------
FOR MORE INFORMATION PLEASE SEE THE RBS GOLD TRENDPILOT[] PRICING SUPPLEMENT OR
RBS OIL TRENDPILOT[] PRICING SUPPLEMENT, AS APPROPRIATE. Source: Bloomberg. The
above, with respect to the RBS Gold Trendpilot[] Index and the RBS Oil
Trendpilot[] Index, reflects the deduction of the annual investor fee for the
related RBS ETNs, which is equal to 1.00% or 1.10%, respectively, per annum
when the RBS Gold Trendpilot[] ETN and RBS Oil Trendpilot[] ETN track,
respectively, the Price of Gold Bullion and RBS 12-Month Oil Total Return
Index, and 0.50% per annum when such ETNs track the Cash Rate. The RBS Gold
Trendpilot[] Index (USD) was created on January 24, 2011. Therefore, the graph
reflects the actual RBS Gold Trendpilot[] Index performance from January 24,
2011 through December 31, 2013 and reflects the retrospectively calculated RBS
Gold Trendpilot[] Index performance from October 20, 1975 through January 23,
2011, based on the index methodology published by the index sponsor and
described in the applicable pricing supplement. The RBS Oil Trendpilot[] Index
(USD) (the "Index") was created on September 13, 2011. Therefore, the graph
reflects the actual Index closing levels from September 13, 2011 through
December 31, 2013 and reflects the retrospectively calculated Index performance
from July 13, 1989 through September 12, 2011, based on the index methodology
published by the index sponsor and described in the applicable pricing
supplement. Similarly, the RBS 12-Month Oil Total Return Index was created on
September 8, 2011. Therefore, for the RBS 12-Month Oil Total Return Index, the
graph above reflects the actual RBS 12-Month Oil Total Return Index closing
levels from September 8, 2011 through December 31, 2013 and reflects the
retrospectively calculated RBS 12-Month Oil Total Return Index performance from
July 13, 1989 through September 7, 2011, based on the index methodology
published by the index sponsor and described in the applicable pricing
supplement. See also Slide 1 **. PAST PERFORMANCE (WHETHER RETROSPECTIVELY
CALCULATED OR ACTUAL HISTORICAL) IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN
NOT INVEST IN AN INDEX.
10
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 |
RBS Trendpilot[] ETN Performance
Performance (%) as of December 31, 2013 ANNUALIZED
Daily Redemption Values(1) (Net of Fees) TIcKER ETN INcEpTION 1-MONTH 3-MONTH YEAR-TO-DATE 1-YEAR SINcE RBS ETN
DATE (%) (%) (%) (%) INcEpTION (%)
---------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS US Large Cap Trendpilot[] ETN trnd 12/6/10 2.44 10.23 31.07 31.07 12.83
---------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS US Mid Cap Trendpilot[] ETN trnm 1/25/11 3.00 8.06 32.17 32.17 9.65
---------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS NASDAQ-100([R]) Trendpilot[] ETN tndq 12/8/11 2.94 11.75 32.26 32.26 19.87
---------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS China Trendpilot[] ETN tchi 4/13/12 -0.62 4.75 15.61 15.61 9.88
---------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS Gold Trendpilot[] ETN tbar 2/17/11 -0.04 -0.11 -3.51 -3.51 3.98
---------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS Oil Trendpilot[] ETN twti 9/13/11 -0.04 -2.27 -13.80 -13.80 -9.58
---------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
Cash Rate on 12/31/13 was 0.065%
------ ------------- ------- ------- ------------ ------ -------------
Source: Bloomberg. The table above presents the actual historical performance
of the RBS ETNs over the specified 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").
(1)Includes the deduction of the annual investor fee, which accrues on a daily
basis. The annual investor fee will be equal to: (i) (a) 1.00% per annum when
the applicable Trendpilot[] Indices that are tracked by the RBS US Large Cap
Trendpilot[] ETNs, RBS US Mid Cap Trendpilot[] ETNs, RBS Gold Trendpilot[] ETNs
and the RBS NASDAQ-100[R] Trendpilot[] ETNs are tracking, respectively, the SandP
500[R] Total Return Index, the SandP MidCap 400[R] Total Return Index, the Price
of Gold Bullion and the NASDAQ-100[R] Total Return Index(SM) and (b) 1.10% per
annum when the applicable Trendpilot[] Indices that are tracked by the RBS Oil
Trendpilot[] ETNs and RBS China Trendpilot[] ETNs are tracking, respectively,
the RBS 12-Month Oil Total Return Index and the BNY Mellon China Select ADR
Total Return Index(SM); and (ii) 0.50% per annum when any of the Trendpilot[]
Indices that are the Cash Rate.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST IN AN
INDEX.
11
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 |
RBS Trendpilot[] Index Backtested Performance
START DATE FOR
bAcKTESTED
Hypothetical Backtested Trendpilot[] Index TRENDpILOT[] SINcE
INDEX 1-YEAR ANNUALIZED ANNUALIZED bAcKTESTED 5-YEAR
MAXImUm
Performance (%) as of December 31, 2013 cALcULATIONS (%) 5-YEAR (%) 10-YEAR (%) START DATE (%) VOLATILITY (%)
DRAWDOWN (%)
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
RBS US Large Cap Trendpilot[] Index (Net of Fees)(1) 5/22/91 31.07 11.49 7.71 10.04 11.41
-19.29
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
SandP 500[R] Total Return Index 5/22/91 32.39 17.94 7.41 9.51 15.81
-55.25
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
RBS US Mid Cap Trendpilot[] Index (Net of Fees)(1) 10/20/00 32.17 12.82 8.63 8.32 13.95
-24.52
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
SandP MidCap 400[R] Total Return Index 10/20/00 33.50 21.89 10.36 8.95 18.43
-55.15
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
RBS NASDAQ-100([R]) Trendpilot[] Index (Net of Fees)(1) 7/27/99 32.26 14.05 5.15 6.96 14.89
-44.87
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
NASDAQ-100[R] Total Return Index(SM) 7/27/99 36.92 25.56 10.16 3.66 16.88
-82.87
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
RBS China Trendpilot[] Index (Net of Fees)(1) 9/10/02 15.61 14.22 13.07 17.95 15.60
-38.39
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
BNY Mellon Select ADR Total Return Index(SM) 9/10/02 27.19 14.11 10.64 16.45 24.13
-70.28
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
RBS Gold Trendpilot[] Index (Net of Fees)(1) 10/20/75 -3.51 12.62 9.88 8.30 17.98
-43.44
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
Price of Gold Bullion 10/20/75 -27.33 6.73 11.21 5.70 20.85
-70.26
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
RBS Oil Trendpilot[] Index (Net of Fees)(1) 7/13/89 -13.80 -5.56 12.00 13.95 18.78
-43.53
------------------------------------------------------- -------------- ------ ---------- ----------- -------------- --------------
------------
RBS 12-Month Oil Total Return Index 7/13/89 8.60 7.33 11.45 13.67 23.49
-72.99
Source: Bloomberg. The data in the above chart reflects actual historical
performance for each Trendpilot[] Index from such index's live date and
retrospectively calculated performance from the "Start Date for Backtested
Trendpilot[] Index Calculations" to the live date of such index. The live dates
of each Trendpilot[] Index are provided on previous slides. The 1-Year returns
above all reflect actual historical performance, whereas the 5-Year and 10-Year
returns reflect both actual historical performance and retrospectively
calculated performance. The Trendpilot[] Indices have very limited performance
history and no actual investment which allowed tracking of the performance of
the Index was possible before its live date. returns. Neither the
retrospectively calculated nor the historical index performance should be taken
as any indication of future performance of any index or any related RBS ETNs.
The "Start Date for Backtested Trendpilot[] Index Calculations" was selected
for each set of indices based on the live date for the related Benchmark Index.
(1)The Trendpilot[] Includes the deduction of the annual investor fee for the
applicable RBS ETN, which accrues on a daily basis. The annual investor fee is
equal to: (i) (a) 1.00% per annum when the applicable Trendpilot[] Indices that
are tracked by the RBS US Large Cap Trendpilot[] ETNs, RBS US Mid Cap
Trendpilot[] ETNs, RBS Gold Trendpilot[] ETNs and the RBS NASDAQ-100[R]
Trendpilot[] ETNs are tracking, respectively, the SandP 500[R] Total Return
Index, the SandP MidCap 400[R] Total Return Index, the Price of Gold Bullion and
the NASDAQ-100[R] Total Return Index(SM) and (b) 1.10% per annum when the
applicable Trendpilot[] Indices that are tracked by the RBS Oil Trendpilot[]
ETNs and RBS China Trendpilot[] ETNs are tracking, respectively, the RBS
12-Month Oil Total Return Index and the BNY Mellon China Select ADR Total
Return Index(SM); and (ii) 0.50% per annum when any of the Trendpilot[] Indices
that are tracked by the RBS ETNs are tracking Cash Rate.
PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS
NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST IN AN INDEX.
12
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 |
Rebalance Strategy
Alternator Strategy
Each month, the RBS US Large Cap Alternator Index[] will track the return of
the Underlying Index with the highest relative strength score at the end of the
prior month. score is a simple average of the 1-, 3-, 6-, 9- and 12-month
returns of each of the Underlying Indices, calculated with respect to the last
business day of each month.
ETN ANNUAL INTRADAY
ETN INcEpTION INVESTOR INDIcATIVE
TIcKER DATE UNDERLYING INDIcES FEE VALUE TIcKER CUSIP
REbALANcED
------------------------------------ ------ --------- ---------------------------------------------- -------- ------------ ---------
----------
SandP 500([R]) Total Return Index
1. RBS US Large Cap Alternator ETN[] ALTL 8/30/12 SandP 500([R]) Equal Weight Total Return Index 1.00% ALTL.IV 78009P168
Monthly
SandP 500([R]) Low Volatility Total Return Index
------------------------------------ ------ --------- ---------------------------------------------- -------- ------------ ---------
Hypothetical Market Cycle:(1)
MC: SandP 500([R]) Total LV: SandP 500([R]) Low EW: SandP 500([R]) Equal
Return Index Volatility Total Weight Total
(Market Cap Weighted) Return Index Return Index
Exchange Traded Note
Portfolios may rotate based on relative strength
RBS US Large Cap Alternator[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Index Performance and
Comparison January 2, 1992 to December 31, 2013.
Low Volatility Exposure RBS US Large Cap Alternator Index[]
Equal Weight Exposure Live Date: August 28, 2012
Total Return Exposure
RBS US Large Cap Alternator Index[] (Net of Fees)
SandP 500[R] Total Return Index
SandP 500[R] Low Volatility Index
SandP 500[R] Equal Weighted Total Return Index
RBS US
Large Cap SandP 500([R]) Equal SandP 500([R]) Low
Alternator Index[] SandP 500([R]) Total Weight Total Volatility Total
(Net of Fees) Return Index Return Index Return Index
Minimum
Performance -26.07% -37.00% -39.72% -21.41%
Maximum
Performance 38.47% 37.58% 46.31% 38.17%
Annualized
Average 12.25% 9.26% 11.34% 10.51%
5-Year
Volatility 13.71% 15.81% 18.87% 10.71%
(1)The above does not reflect an actual market cycle and is not an indication
of how a market cycle may develop, the length of any market cycle, which
Underlying Index will be tracked during any part of a market cycle or whether
any Underlying Index will be tracked at all or in any particular order.
FOR MORE INFORMATION PLEASE SEE THE RBS US LARGE CAP ALTERNATOR PRICING
SUPPLEMENT.
Source: Bloomberg. The above, with respect to the RBS US Large Cap Alternator
Index[], reflects the deduction of the annual investor fee for the RBS US Large
Cap Alternator ETNs[], which is equal to 1.00% per annum. The live dates of the
RBS US Large Cap Alternator Index[], SandP 500[R] Low Volatility Total Return
Index, the SandP 500[R] Equal Weight Total Return Index and the SandP 500[R] Total
Return Index
are 08/28/2012, 04/20/2011, 01/08/2003 and 01/04/1988, respectively. Any index
data presented before those dates is retrospectively calculated, and any index
data presented after those dates reflects actual historical performance. The
Index has very limited performance history and no actual investment which
allowed tracking of the performance of the Index was possible before its live
date. Accordingly, the results shown before the live date are hypothetical and
do not reflect actual returns. See also Slide 1 **.
PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS
NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST IN AN INDEX.
13
|
 |
RBS Rebalance Strategy Performance
Performance (%) as of December 31, 2013
cUmULATIVE
Daily Redemption Values(1) (Net of Fees) TIcKER ETN INcEpTION 1-MONTH 3-MONTH YEAR-TO-DATE 1-YEAR
SINcE RBS ETN
DATE (%) (%) (%) (%)
INcEpTION (%)
------------------------------------------------- -------------- ------------- ---------- ---------- -------------- --------------
-------------
RBS US Large Cap Alternator ETN[] ALTL 8/30/12 2.84 9.57 26.62 26.62
22.97
------------------------------------------------- -------------- ------------- ---------- ---------- -------------- --------------
-------------
START DATE FOR
Hypothetical Backtested Index Performance (%) bAcKTESTED ANNUALIZED ANNUALIZED SINcE
INDEX 1-YEAR 5-YEAR 10-YEAR bAcKTESTED 5-YEAR
mAXImUm
as of December 31, 2013 cALcULATIONS (%) (%) (%) START DATE (%) VOLATILITY (%)
DRAWDOWN (%)
------------------------------------------------- -------------- ------------- ---------- ---------- -------------- --------------
-------------
RBS US Large Cap Alternator[] Index (Net of Fees) 1/2/92 26.61 17.93 9.07 12.28 13.71
-44.15
------------------------------------------------- -------------- ------------- ---------- ---------- -------------- --------------
-------------
SandP 500([R]) Total Return Index 1/2/92 32.39 17.94 7.41 9.18 15.81
-55.25
------------------------------------------------- -------------- ------------- ---------- ---------- -------------- --------------
-------------
SandP 500([R]) Equal Weight Total Return Index 1/2/92 36.16 23.34 9.84 11.53 18.87
-59.47
------------------------------------------------- -------------- ------------- ---------- ---------- -------------- --------------
-------------
SandP 500([R]) Low Volatility Total Return Index 1/2/92 23.59 16.16 9.18 10.48 10.71
-40.40
Source: Bloomberg.
(1)Includes the deduction of the annual investor fee, which accrues on a daily
basis, and is equal to 1.00% per annum with respect to the RBS US Large Cap
Alternator Index[] . The live date for the RBS US Large Cap Alternator Index[]
is August 28, 2012. The RBS US Large Cap Alternator Index[] results
incorporating data prior to its live date are hypothetical and do not reflect
actual index returns. No actual investment which allowed tracking of the
performance of such index was possible before its live date. indication of
future performance of any RBS index or any related RBS ETNs. See also Slide 1
**.
PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS
NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX.
14
|
 |
Rogers Enhanced Commodity Indices
ETN ANNUAL
INTRADAY REbALANcED
ETN INcEpTION INVESTOR
INDIcATIVE TO TARGET
TIcKER DATE UNDERLYING INDEX FEE VALUE
TIcKER CUSIP WEIGHTS
---------------------------------- ------ --------- --------------------------------------------------------------- --------
RBS Rogers Enhanced Commodity ETNs
---------------------------------- ------ --------- --------------------------------------------------------------- --------
1. RBS Rogers Enhanced RGRC 10/25/12 RICI Enhanced(SM) Commodity Total Return Index (Composite) 0.95% RGRC.IV
78009P176 Semi-Annually
Commodity Index ETN
---------------------------------- ------ --------- --------------------------------------------------------------- --------
2. RBS Rogers Enhanced RGRE 10/25/12 RICI Enhanced(SM) Energy Total Return Index (Sector) 0.95% RGRE.IV
78009P192 Semi-Annually
Energy ETN
---------------------------------- ------ --------- --------------------------------------------------------------- --------
3. RBS Rogers Enhanced RGRA 10/25/12 RICI Enhanced(SM) Agriculture Total Return Index (Sector) 0.95% RGRA.IV
78009P184 Semi-Annually
Agriculture ETN
---------------------------------- ------ --------- --------------------------------------------------------------- --------
4. RBS Rogers Enhanced RGRP 10/25/12 RICI Enhanced(SM) Precious Metals Total Return Index (Sector) 0.95% RGRP.IV
78009P200 Semi-Annually
Precious Metals ETN
---------------------------------- ------ --------- --------------------------------------------------------------- --------
5. RBS Rogers Enhanced RGRI 10/25/12 RICI Enhanced(SM) Industrial Metals Total Return Index (Sector) 0.95% RGRI.IV
78009P218 Semi-Annually
Industrial Metals ETN
----------------------------------
Features and Benefits: Simple
[] Broad index provides exposure to 36 different commodities
[] Sector indices for targeted exposure
[] Trades daily
[] Highly liquid
Enhanced Design
[] Reset to target weights annually based on expected economic global demand
[] Rebalances semi-annually
[] Roll-strategy
Expected U. S. Federal Income Tax Treatment
[] Holders of these ETNs should, assuming they are treated for
U. S. federal income tax purposes as prepaid financial contracts,
generally not be required to include amounts in incomeprior to sale,
redemption or maturity.
IRS and U. S. Treasury are actively considering the tax treatment of
instruments such as these ETNs, which could change. See the pricing
supplement for more information.
Low Cost
[] Annual investor fee of 95 basis points
Determining the rollover calendar for individual commodities(1):
All available futures contracts
Filtering criteria applied based on seasonal patterns and cycles
(only for energy and grains)
Liquidity
(except for precious metals, rubber and palm oil)
Contracts are selected according to the individual rollover calendar for each
commodity. Rollover based on liquidity and futures curves.
(term structure)
(1)Target weights determined annually in February
15
|
 |
Rogers Enhanced Commodity Indices
Commodity Breakdown - as of December 31, 2013:
RICI
Composite Sector
Index Index
Target Target
Commodities Weight Weight
----------------- --------- -------
WTI Crude Oil 13.00% 31.71%
----------------- --------- -------
Brent Crude Oil 10.00% 24.39%
----------------- --------- -------
Natural Gas 7.00% 17.07%
----------------- --------- -------
RBOB Gasoline 4.00% 9.76%
----------------- --------- -------
Heating Oil 4.00% 9.76%
----------------- --------- -------
Gas Oil 3.00% 7.32%
----------------- --------- -------
Energy 41.00% 100.00%
----------------- --------- -------
Aluminum 4.00% 30.77%
----------------- --------- -------
Copper 4.00% 30.77%
----------------- --------- -------
Zinc 2.00% 15.38%
----------------- --------- -------
Lead 1.50% 11.54%
----------------- --------- -------
Nickel 0.50% 7.69%
----------------- --------- -------
Tin 0.50% 3.85%
----------------- --------- -------
Industrial Metals 13.00% 100.00%
----------------- --------- -------
Gold 4.00% 50.00%
----------------- --------- -------
Silver 2.00% 25.00%
----------------- --------- -------
Platinum 1.00% 12.50%
----------------- --------- -------
Palladium 1.00% 12.50%
----------------- --------- -------
Precious Metals 8.00% 100.00%
================= ========= =======
Overall Total
RICI
Composite Sector
Index Index
Target Target
Commodities Weight Weight
----------------- --------- -------
Corn 7.00% 18.42%
----------------- --------- -------
Sugar 3.25% 8.55%
----------------- --------- -------
Soybeans 3.00% 7.89%
----------------- --------- -------
Coffee 3.00% 7.89%
----------------- --------- -------
Wheat 3.00% 7.89%
----------------- --------- -------
Live Cattle 2.50% 6.58%
----------------- --------- -------
Lean Hogs 2.00% 5.26%
----------------- --------- -------
Cotton 2.00% 5.26%
----------------- --------- -------
Soybean Oil 2.00% 5.26%
----------------- --------- -------
Kansas City Wheat 2.00% 5.26%
----------------- --------- -------
Cocoa 1.50% 3.95%
----------------- --------- -------
Soymeal 1.25% 3.29%
----------------- --------- -------
Palm Oil 1.00% 2.63%
----------------- --------- -------
Coffee Robusta 1.00% 2.63%
----------------- --------- -------
Rubber 1.00% 2.63%
----------------- --------- -------
Oats 0.50% 1.32%
----------------- --------- -------
Orange Juice 0.50% 1.32%
----------------- --------- -------
Lumber 0.50% 1.32%
----------------- --------- -------
Rice 0.50% 1.32%
----------------- --------- -------
Minneapolis Wheat 0.50% 1.32%
----------------- --------- -------
Agriculture 38.00% 100.00%
----------------- --------- -------
100.00%
----------------- --------- -------
RBS Rogers Enhanced Commodity Index ETN
Target Weight
8% Precious Metals (RGRP)
13% Industrial Metals (RGRI)
38% Agriculture (RGRA)
41% Energy (RGRE)
RBS Rogers Enhanced Subsector Index ETNs
Want to set your own commodity sector weightings?
You can purchase one or more of the individual commodity sectors.
For example:
Precious Metals (RGRP) + Agriculture (RGRA).
RGRE, RGRA, RGRI and RGRP
16
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 |
Rogers Enhanced Commodity Index -- as of December 31, 2013
RBS Rogers Enhanced Commodity Index -- Hypothetical Growth of $10,000 (Net of
Fees)
Actual Historical Index Performance and Historical Comparisons October 31,
2008 to December 31, 2013
RICI Enhanced(SM) Commodity Total Return Index
Rogers International Commodity Index ("RICI Index") -- Total Return (SM) SandP
GSCI[R] Total Return Index DBIQ Optimum Yield Commodity Total Return Index Dow
Jones-UBS Commodity Index (SM) Total Return
RBS Rogers Enhanced Commodity Index
Live Date: October 25, 2012
$11,224 $10,833 $10,007 $9,215 $8,583
FOR MORE INFORMATION PLEASE SEE THE RBS ROGERS ENHANCED COMMODITY INDEX ETN
PRICING SUPPLEMENT.
Source: Bloomberg
*The performance of the RICI Enhanced(SM) Commodity Total Return Index
illustrated in the graph above reflects the investor fee that will be deducted
in calculating the daily redemption value of the ETNs. For comparison purposes,
the historical closing levels of each index represented in the graph above were
based to a value of 10,000 on October 31, 2008. The RICI Enhanced(SM)
Commodity Total Return Index, RICI Index, SandP GSCI[R] Total Return Index, DBIQ
Optimum Yield Commodity Total Return Index and Dow Jones-UBS Commodity
Index(SM) Total Return reflect the deduction of an annual investor fee, in the
amount of 0.95%, 0.75%, 0.75%, 0.93%, and 0.75%, respectively. (SM) Commodity
Total Return Index has been live since October 31, 2008. Therefore, the closing
levels used to create the graph above reflect actual Index closing levels. The
historical performance of the RICI Enhanced(SM) Commodity Total Return Index
illustrated in the graph above should not be taken as an indication of future
performance.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST
DIRECTLY IN AN INDEX.
17
|
 |
RBS Rogers Enhanced Commodity Indices Performance
Performance as of December 31, 2013 (%) cUmULATIVE
ETN INcEpTION 1-MONTH 3-MONTH YEAR-TO-DATE 1-YEAR SINcE RBS ETN
Daily Redemption Values TIcKER DATE (%) (%) (%) (%) INcEpTION (%)
----------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS Rogers Enhanced Commodity Index ETN RGRC 10/25/12 0.39 -0.97 -7.38 -7.38 -6.85
----------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS Rogers Enhanced Energy ETN RGRE 10/25/12 2.11 2.90 4.99 4.99 4.46
----------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS Rogers Enhanced Agriculture ETN RGRA 10/25/12 -1.86 -3.53 -14.28 -14.28 -15.24
----------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS Rogers Enhanced Precious Metals ETN RGRP 10/25/12 -2.70 -8.24 -25.85 -25.85 -23.05
----------------------------------------- ------ ------------- ------- ------- ------------ ------ -------------
RBS Rogers Enhanced Industrial Metals ETN RGRI 10/25/12 3.35 -1.29 -12.27 -12.27 -5.40
Historical Index Performance (%) STANDARD DEVIATION
INDEX INcEpTION 1-YEAR ANNUALIZED SINcE INDEX SINcE INDEX
as of December 31, 2013 (Net of Fees) DATE (%) 3-YEAR (%) INcEpTION (%) INcEpTION (%)
------------------------------------------------------ --------------- ------ ----------- ------------- ------------------
RICI Enhanced(SM) Commodity Total Return Index 10/31/08 -7.38 -3.67 2.26 15.61
------------------------------------------------------ --------------- ------ ----------- ------------- ------------------
RICI Enhanced(SM) Energy Total Return Index 10/31/08 4.99 2.10 -2.21 18.17
------------------------------------------------------ --------------- ------ ----------- ------------- ------------------
RICI Enhanced(SM) Agriculture Total Return Index 10/31/08 -14.28 -7.12 2.77 17.67
------------------------------------------------------ --------------- ------ ----------- ------------- ------------------
RICI Enhanced(SM) Precious Metals Total Return Index 10/31/08 -25.85 -8.28 12.75 22.60
------------------------------------------------------ --------------- ------ ----------- ------------- ------------------
RICI Enhanced(SM) Industrial Metals Total Return Index 10/31/08 -12.27 -9.29 2.67 21.42
The table above presents the actual performance of the RBS ETNs and the
indices, over the specified periods, in each case, less investor fees of 0.95%
per annum.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST
DIRECTLY IN AN INDEX.
18
|
 |
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, the RBS Rogers Enhanced ETNs and the respective indices
that those ETNs track do not provide exposure to spot prices of the relevant
commodities and, consequently, may not be representative of an investment that
provides exposure to the relevant commodities or buying and holding the
relevant commodities. The prices of commodities are volatile and are affected
by numerous factors. 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. The RBS US Large Cap Alternator
Index(TM) may underperform the SandP 500[R] Index or any Underlying Index. 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
intraday indicative value and the daily redemption value are not the same as
the trading price or market price of the RBS ETNs in the secondary market. 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 and RBS Group 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 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 applicable pricing
supplement, before investing. The intraday indicative value and the daily
redemption value are not the same as the trading price or market price of the
RBS ETNs in the secondary market.
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(TM) Index, RBS US Large Cap Trendpilot(TM) Index (USD),
RBS US Mid Cap Trendpilot(TM) Index (USD), RBS Gold Trendpilot(TM) Index (USD)
and RBS US Large Cap Alternator(TM) Index (USD) are the property of RBS plc,
which has contracted with SandP Opco, LLC (a subsidiary of SandP Dow Jones Indices
LLC) ("SandP Dow Jones Indices") to maintain and calculate these indices. [R]
Index, the SandP MidCap 400[R], SandP 500 Low Volatility Index and SandP 500([R])
Equal Weight Index (including the total return versions) are the exclusive
property of SandP Dow Jones Indices and have been licensed for use by RBS plc in
connection with certain of these indices. liability for any errors or omissions
in calculating these indices. 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],
SandP[R] 500, SandP MidCap 400[R], SandP 500 Low Volatility Index[R], SandP 500[R]
Equal Weight Index(TM) and SandP 500[R] EWI(TM) are trademarks of SPFS and
together with the "Calculated by SandP Dow Jones Indices Custom" and its related
stylized mark(s) have been licensed for use by RBS plc. The RBS China
Trendpilot(TM) ETNs, RBS US Large Cap Trendpilot(TM) ETNs, RBS US Mid Cap
Trendpilot(TM) ETNs, RBS Gold Trendpilot(TM) ETNs and RBS US Large Cap
Alternator 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.
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 SandP Opco, LLC, a subsidiary of SandP Dow Jones
Indices LLC ("SandP Dow Jones Indices") on behalf of the Corporations. [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"). trademarks have been licensed to SandP Dow Jones Indices.
-100([R]) Trendpilot(TM) 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 SandP Dow Jones Indices as to their legality or
suitability and are not sponsored, endorsed, sold or promoted by the
Corporations or SandP Dow Jones Indices and its affiliates. THE CORPORATIONS, SandP
DOW JONES INDICES AND ITS AFFILIATES 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.
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. -QUENTIAL
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.
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 supplement relating to the notes that RBS plc and RBS
Group filed with the SEC.
The RBS ETNs are not sponsored, endorsed, sold or promoted by Beeland Interests
Inc. ("Beeland Interests"), James B. Rogers, Jr. or Diapason Commodities
Management SA ("Diapason").[] Neither Beeland Interests, James B. Rogers, Jr.
nor Diapason makes any representation or warranty, express or implied, nor
accepts any responsibility, regarding the accuracy or completeness of this
document, or the advisability of investing in securities or commodities
generally, or in the RBS ETNs or in futures particularly. "Jim Rogers", "James
Beeland Rogers, Jr.", "Rogers", "Rogers International Commodity Index", "RICI",
"RICI Enhanced", and the names of all other RICI Enhanced(SM) Indices mentioned
herein are trademarks, service marks and/or registered marks of Beeland
Interests, Inc., which is owned and controlled by James Beeland Rogers, Jr.,
and are used subject to license.[] The personal names and likeness of Jim
Rogers/James Beeland Rogers, Jr. are owned and licensed by James Beeland
Rogers, Jr.
NEITHER BEELAND INTERESTS NOR DIAPASON, NOR ANY OF THEIR RESPECTIVE AFFILIATES
OR AGENTS, GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE ROGERS
INTERNATIONAL COMMODITY INDEX ("RICI"), THE RICI ENHANCED INDEX, ANY SUB-INDEX
THEREOF, OR ANY DATA INCLUDED THEREIN.[] SUCH PERSON SHALL NOT HAVE ANY
LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN AND MAKES NO
WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF THE RBS
ETNS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RICI, THE RICI ENHANCED
INDEX, ANY SUB-INDEX THEREOF, ANY DATA INCLUDED THEREIN OR THE RBS ETNS.[]
NEITHER BEELAND INTERESTS NOR DIAPASON, NOR ANY OF THEIR RESPECTIVE AFFILIATES
OR AGENTS, MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH EXPRESSLY
DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE WITH RESPECT TO THE RICI, THE RICI ENHANCED INDEX, ANY SUB INDEX
THEREOF, OR ANY DATA INCLUDED THEREIN.[] WITHOUT LIMITING ANY OF THE FOREGOING,
IN NO EVENT SHALL BEELAND INTERESTS, DIAPASON OR ANY OF THEIR RESPECTIVE
AFFILIATES OR AGENTS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT,
PUNITIVE, SPECIAL, OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE
POSSIBILITY THEREOF.
NEITHER THE INDICATION THAT SECURITIES OR OTHER FINANCIAL PRODUCTS OFFERED
HEREIN ARE BASED ON DATA PROVIDED BY ICE DATA LLP, NOR THE USE OF THE
TRADEMARKS OF ICE DATA LLP IN CONNECTION WITH SECURITIES OR OTHER FINANCIAL
PRODUCTS DERIVED FROM SUCH DATA IN ANY WAY SUGGESTS OR IMPLIES A REPRESENTATION
OR OPINION BY ICE DATA OR ANY OF ITS AFFILIATES AS TO THE ATTRACTIVENESS OF
INVESTMENT IN ANY SECURITIES OR OTHER FINANCIAL PRODUCTS BASED UPON OR DERIVED
FROM SUCH DATA. ICE DATA IS NOT THE ISSUER OF ANY SUCH SECURITIES OR OTHER
FINANCIAL PRODUCTS AND MAKES NO EXPRESS OR IMPLIED WARRANTIES WHATSOEVER,
INCLUDING BUT NOT LIMITED TO, WARRANTIES OF MERCHANTABILITY OR FITNESS FOR ANY
PARTICULAR PURPOSE WITH RESPECT TO SUCH DATA INCLUDED OR REFLECTED THEREIN, NOR
AS TO RESULTS TO BE OBTAINED BY ANY PERSON OR ANY ENTITY FROM THE USE OF THE
DATA INCLUDED OR REFLECTED THEREIN.
The indices that the RBS Rogers Enhanced ETNs track are calculated by NYSE
Arca, Inc. ("NYSE Arca"), a wholly-owned subsidiary of NYSE Euronext. The RBS
ETNs, which are based on such indices, are not issued, sponsored, endorsed,
sold or promoted by NYSE Arca, and NYSE Arca makes no representation regarding
the advisability of investing in such products. 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 SUCH
indICES 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.
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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