Filed pursuant to Rule 433. Registration Statement Nos. 333-184147 and 333-184147-01.
The Trendpilot (TM) Series Notebook
Trendpilot(TM) Series ETNs
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rbs.com/etnus
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Important notice
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).
We have derived all information contained herein regarding indices, including,
without limitation, their make-up, from publicly available information. Such
information reflects the policies of, and is subject to change by, the relevant
index developer. We have not participated in the preparation of, or
independently verified, such publicly available information.
The RBS ETNs are not suitable for all investors. You should carefully read the
relevant pricing supplement and prospectus, including the more detailed
explanation of the risks involved in any investment in the RBS ETNs as
described in the 'Risk Factors' section of the pricing supplement, before
investing.
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Risk considerations
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:
Credit risk of the relevant issuer and guarantor
[] RBS ETNs are unsecured and unsubordinated obligations of RBS plc and are
fully and unconditionally guaranteed by RBS Group(1). If the issuer fails to
make any required payments on the RBS ETNs, your receipt of such payment will
depend on the ability of the guarantor 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. The issuer 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 the issuer
[] Through your broker, you may offer RBS ETNs for repurchase by the issuer,
subject to certain restrictions and procedures described in the applicable
pricing supplement.
Call risk
[] The issuer also has the right to redeem your RBS ETNs, in its sole
discretion. If the issuer elects to redeem your RBS ETNs, you may not be able
to reinvest your proceeds in a comparable investment.
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(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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S & P 500([R]) Total Return Index May 31, 1991 to December 31, 2012
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S & P 500([R]) Total Return Index
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Source: Bloomberg
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The Trendpilot[TM] Methodology
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The Trendpilot[TM] Methodology uses a benchmark index simple moving average to
determine when to get in and out of the market
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Notes: (1) Some Trendpilot[TM] Indices may use a 100-Index business day simple
moving average.
(2) Some Trendpilot[TM] Indices may use a three-day confirmation trigger.
This slide illustrates the Trendpilot[TM] methodology based on hypothetical
movements in a hypothetical Benchmark Index and its 100 or 200-Index business
day simple moving average. It does not reflect any actual performance of any
Benchmark Index or any Trendpilot[TM] Index. This slide does not demonstrate
historical data, and is not an indication of how any index will 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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S & P 500 ([R]) Total Return Index
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Historical index performance comparison -- May 22, 1991 to December 31, 2012
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Past performance is not indicative of future results. It is not possible to
invest directly in an index.
Source: Bloomberg. Refer to the RBS US Large Cap Trendpilot[TM] ETN pricing
supplement for additional information.
The graph above is the historical performance of the S & P 500([R]) Total Return
Index, S & P 500([R]) (Price Only) Index and the S & P 500([R]) Total Return Index
200-Day Moving Average. This illustration does not reflect any historical
Trendpilot[TM] Index performance. The RBS US Large Cap Trendpilot[TM] Index (USD)
was created on November 16, 2010.
Note: (1) Index Dividend Yield means the sum of the gross dividends paid on the
securities comprising the S & P 500([R]) Total Return Index (which is a total
return index) over the prior 12 months ending 12/31/2012 divided by the closing
level of the price return version of the S & P 500([R]) Total Return Index as of
12/31/2012.
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S & P MidCap 400 ([R]) Total Return Index
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Historical index performance comparison -- October 20, 2000 to December 31,
2012
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Past performance is not indicative of future results. It is not possible to
invest directly in an index. Source: Bloomberg. Refer to the RBS Mid Cap
Trendpilot[TM] ETN pricing supplement for additional information.
The graph above is the historical performance of the S & P MidCap 400([R]) Total
Return Index, S & P MidCap 400([R]) (Price Only) Index and the S & P MidCap
400([R]) Total Return Index 200-Day Moving average. This illustration does not
reflect any historical Trendpilot[TM] Index performance. The RBS US Mid Cap
Trendpilot[TM] Index (USD) was created on January 24, 2011.
Note: (1) Index Dividend Yield means the sum of the gross dividends paid on the
securities comprising the S & P MidCap 400([R]) Total Return Index (which is a
total return index) over the prior 12 months ending 12/31/2012 divided by the
closing level of the price return version of the S & P MidCap 400([R]) Total
Return Index as of 12/31/2012.
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NASDAQ-100 ([R]) Total Return Index SM
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Historical index performance -- July 27, 1999 to December 31, 2012
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Past performance is not indicative of future results. It is not possible to
invest directly in an index.
Source: Bloomberg. Refer to the RBS NASDAQ-100 Trendpilot[TM] ETN pricing
supplement for additional information.
The graph above is the historical performance of the NASDAQ-100([R]) Total
Return Index(SM) and the NASDAQ-100([R]) Total Return Index(SM) 100-Day Moving
Average. This illustration does not reflect any historical Trendpilot[TM] Index
performance. The RBS NASDAQ-100([R]) Trendpilot[TM] Index (USD) was created on
November 28, 2011.
Note: (1) Index Dividend Yield means the sum of the gross dividends paid on the
securities comprising the NASDAQ-100([R]) Total Return Index(SM) (which is a
total return index) over the prior 12 months ending 12/31/2012 divided by the
closing level of the price return version of the NASDAQ-100([R]) Total Return
Index(SM) as of 12/31/2012.
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BNY Mellon China Select ADR Total Return Index SM
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Historical index performance comparison -- September 10, 2002 to December 31,
2012
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Past performance is not indicative of future results. It is not possible to
invest directly in an index. Source: Bloomberg. Refer to the RBS China
Trendpilot[TM] ETN pricing supplement for additional information.
The graph above is the historical performance of the BNY Mellon China Select
ADR Total Return Index(SM) and the BNY Mellon China Select ADR Total Return
Index(SM) 100-Day Moving Average. This illustration does not reflect any
historical Trendpilot[TM] Index performance. The RBS China Trendpilot[TM] Index
(USD) was created on February 27, 2012.
Note: (1) Index Dividend Yield means the sum of the gross dividends paid on the
securities comprising the BNY Mellon China Select ADR Total Return Index(SM)
(which is a total return index) over the prior 12 months ending 12/31/2012
divided by the closing level of the price return version of the BNY Mellon
China Select ADR Total Return Index(SM) as of 12/31/2012.
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Price of Gold Bullion
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Historical index performance -- October 20, 1975 to December 31, 2012
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Past performance is not indicative of future results. It is not possible to
invest directly in an index. Source: Bloomberg. Refer to the RBS Gold
Trendpilot[TM] ETN pricing supplement for additional information.
The graph is the historical performance of the Price of Gold Bullion and the
Price of Gold Bullion 200-Day Moving Average. This illustration does not
reflect any historical Trendpilot[TM] Index performance. The RBS Gold
Trendpilot[TM] Index (USD) was created on January 24, 2011.
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Exchange Traded Note (ETN) performance
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RBS Trendpilot[TM] ETNs daily redemption value historical performance as of
12/31/2012 (%)
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Daily redemption values(1) Ticker Inception date 1-Month 3-Month 1-Year Year-to Since RBS ETN
(%) (%) (%) date (%) inception (%)
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RBS US Large Cap Trendpilot[TM] ETN TRND 12/6/10 0.83 -0.63 14.84 14.84 10.53
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RBS US Mid Cap Trendpilot[TM] ETN TRNM 1/25/11 2.10 3.34 11.03 11.03 -0.85
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RBS NASDAQ-100([R]) Trendpilot[TM] ETN TNDQ 12/8/11 -0.04 -4.09 10.21 10.21 9.94
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RBS China Trendpilot[TM] ETN TCHI 4/13/12 5.59 6.61 - - 1.68
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RBS Gold Trendpilot[TM] ETN TBAR 2/17/11 -4.04 -6.90 5.32 5.32 15.92
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RBS Oil Trendpilot[TM] ETN TWTI 9/13/11 -0.04 -5.81 -11.53 -11.53 -7.98
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Note: Cash Rate on 12/31/12 was 0.09%
The tables above present the actual performance of the RBS ETNs over the
specified periods. Note that the daily redemption value at any given time may
be more or less than the stated face amount of the RBS ETN or the price that
was paid for the RBS ETN. For information regarding the performance of the
relevant index that each RBS ETN tracks, please refer to the relevant pricing
supplement filed with the US Securities and Exchange Commission ('SEC'). Past
performance does not guarantee future results.
Note: (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[TM] Indices that are tracked by the RBS US Large
Cap Trendpilot[TM] ETNs, RBS US Mid Cap Trendpilot[TM] ETNs, RBS Gold Trendpilot[TM]
ETNs and the RBS NASDAQ-100([R]) Trendpilot[TM] ETNs are tracking, respectively,
the S & P 500([R]) Total Return Index, the S & P 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[TM] Indices that
are tracked by the RBS Oil Trendpilot[TM] ETNs and RBS China Trendpilot[TM] 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[TM] Indices that are tracked by the RBS ETNs are tracking
the yield on a hypothetical notional investment in three-month US Treasury
bills as of the most recent weekly auction (the 'Cash Rate').
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Disclaimer
RBS China Trendpilot[TM] Index, RBS US Large Cap Trendpilot[TM] Index (USD), RBS US
Mid Cap Trendpilot[TM] Index (USD) and RBS Gold Trendpilot[TM] Index (USD) are the
property of The Royal Bank of Scotland plc, which has contracted with S & P Opco,
LLC (a subsidiary of S & P Dow Jones Indices LLC) ("S & P Dow Jones Indices") to
maintain and calculate these Trendpilot Indices. The S & P 500([R]) Index and the
S & P MidCap 400([R]) Index are the exclusive property of S & P Dow Jones Indices
and have been licensed for use by RBSSI and its affiliates in connection with
the RBS US Large Cap Trendpilot[TM] Index (USD) and the RBS US Mid Cap
Trendpilot[TM] Index (USD), respectively. S & P Dow Jones Indices shall have no
liability for any errors or omissions in calculating these Trendpilot[TM]
Indices. S & P([R]) is a registered trademark of SPFS Standard & 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 & P Dow Jones Indices. "Standard & Poor's([R])", "S & P([R])", "S & P 500([R])" and
"S & P MidCap 400([R])" are registered trademarks of SPFS and together with the
"Calculated by S & 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[TM] ETNs, RBS US Large Cap Trendpilot[TM] ETNs, RBS US Mid Cap
Trendpilot[TM] ETNs and RBS Gold Trendpilot[TM] ETNs are not sponsored, endorsed,
sold or promoted by S & P Dow Jones Indices, SPFS, Dow Jones, their affiliates or
their third party licensors, and neither S & 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 & P Opco, LLC, a subsidiary of S & P Dow Jones
Indices LLC ("S & P Dow Jones Indices") on behalf of the Corporations. S & P([R])
is a registered trademark of Standard & 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 & P Dow Jones
Indices. S & P Dow Jones Indices, its affiliates and the Corporations shall have
no liability for any errors or omissions in calculating the RBS NASDAQ
-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 S & P Dow Jones Indices as to their legality or
suitability and are not sponsored, endorsed, sold or promoted by the
Corporations or S & P Dow Jones Indices. S & P DOW JONES INDICES, ITS AFFILIATES
AND THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO
THE RBS NASDAQ-100([R]) Trendpilot[TM] ETNs.
RBS Oil Trendpilot[TM] Index (USD) and RBS 12-Month Oil Total Return Index (USD)
are the property of RBS plc and are calculated by NYSE Arca, a wholly-owned
subsidiary of NYSE Euronext. The RBS Oil Trendpilot[TM] ETNs, which track the RBS
Oil Trendpilot[TM] Index (USD) and RBS 12-Month Oil Total Return Index (USD), are
not issued, sponsored, endorsed, sold or promoted by NYSE Arca, and NYSE Arca
makes no representation regarding the advisability of investing in such ETNs.
NYSE ARCA MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY
DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
WITH RESPECT TO THE RBS OIL Trendpilot[TM] INDEX (USD) OR RBS 12-MONTH OIL TOTAL
RETURN INDEX (USD) OR ANY DATA INCLUDED THEREIN. IN NO EVENT SHALL NYSE ARCA
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL
DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH
DAMAGES.
BNY Mellon is a corporate brand of The Bank of New York Mellon Corporation and
may be used as a generic term to reference the corporation as a whole or its
various subsidiaries. BNY Mellon and BNY Mellon ADR Indices and BNY Mellon DR
Indices are service marks owned by The Bank of New York Mellon Corporation.
This information is provided for general purposes only and is not investment
advice. We provide no advice nor recommendations or endorsement with respect to
any company, security or products based on any index licensed by BNY Mellon,
and we make no representation regarding the advisability of investing in the
same. BNY Mellon's Depositary Receipt business is conducted through BNY Mellon.
BNY Mellon does not guarantee the accuracy, timeliness and/or completeness of
BNY Mellon ADR Indices and BNY Mellon DR Indices, or any associated indices, or
any data included therein, and BNY Mellon shall have no liability for any
errors, omissions, or interruptions therein. BNY Mellon makes no express or
implied warranties, and expressly disclaims all warranties of merchantability
or fitness for a particular purpose or use with respect to BNY Mellon ADR
Indices and BNY Mellon DR Indices or any associated indices, or any data
included therein, or any materials derived from such data. Without limiting any
of the foregoing, in no event shall the company have any liability for any
special, punitive, indirect, or consequential damages (including lost profits),
even if notified of the possibility of such damages. For the full disclaimer
please see the pricing supplement relating to the notes that RBS plc and RBS
Group filed with the SEC.
Copyright [C] 2013 RBS Securities Inc. All rights reserved. RBS Securities
Inc., a U.S. registered broker-dealer, member of FINRA and SIPC, is an indirect
wholly-owned subsidiary of The Royal Bank of Scotland plc.
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