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Historical Performance (%) -- as of 6/30/2013
QUARTER-TO- year-to- ANNUALIZED ANNUALIZED ANNUALIZED annualized since RBS ETN
DATE (%) date (%) 1-year (%) 3-year (%) 5-year (%) inception (1/25/11) (%)
----------------------------------------- ----------- -------- ---------- ---------- ---------- -------------------------
RBS US Mid Cap Trendpilot[] ETN Daily
Redemption Value(1) 0.75 14.03 23.94 -- -- 5.19
RBS US Mid Cap Trendpilot(TM) Index 1.00 14.59 25.18 -- -- 6.15
SandP MidCap 400([R]) Total Return
Index (Benchmark Index) 1.00 14.59 25.18 19.54 8.91 11.56
SandP MidCap 400([R]) Index (Price Only) 0.62 13.76 23.28 17.71 7.23 9.90
Cash rate on 6/30/13 was 0.06% -- -- -- -- -- --
----------------------------------------- ----------- -------- ---------- ---------- ---------- -------------------------
Source: Bloomberg. The table above presents the actual performance of the
Index, the RBS ETNs, the SandP 400([R]) Total Return Index (the Benchmark Index)
and the SandP 400([R]) Index (Price Return) over the specified periods. It is not
possible to invest directly in an index. For information regarding the
performance of the Index, see pages PS-12 to PS-15 of the pricing supplement to
the RBS ETNs filed with the U.S. Securities and Exchange Commission (SEC). Past
performance does not guarantee future results.
(1) Includes the deduction of the annual investor fee, which accrues on a daily
basis. The annual investor fee will be equal to (i) 1.00% per annum when the
Index is tracking the Benchmark Index, and (ii) 0.50% per annum when the Index
is tracking the Cash Rate.
SandP MidCap 400([R]) Index Performance -- as of 6/30/2013
SandP MidCap 400([R]) Total Return Index
SandP MidCap 400([R]) Total Return Index 200-Index business day simple moving
average SandP MidCap 400([R]) Index (Price Only)
[GRAPHIC OMITTED]
The graph to the left is the historical performance of the SandP MidCap 400([R])
Total Return Index, SandP MidCap 400([R]) Index (Price Only) and the SandP MidCap
400([R]) Total Return Index 200-Index business day simple moving average. This
illustration does not reflect any historical Trendpilot Index performance.
(1) The table below does not reflect any Trendpilot[] Index performance. The
Trendpilot[] Index performance is not the same as the SandP MidCap 400([R]) Index
performance. The Trendpilot[] Index may underperform the SandP MidCap 400([R])
Index over various time periods, and may track the Cash Rate for extended
periods of time in a low interest rate envionment.
SandP MidCap 400([R]) 1-Year Annual Return Comparison (%)(1)
2000 2001 2002 2003 2004 2005 2006
-------------------------------------- ----- ------ ------ ----- ----- ----- -------
SandP MidCap 400([R]) Total Return Index 17.51 -0.60 -14.51 35.62 16.48 12.56 10.32
SandP MidCap 400([R]) Index (Price Only) 16.21 -1.64 -15.44 34.02 15.16 11.27 8.99
Cash Rate (Year-End) 5.70 1.71 1.19 0.89 2.23 3.91 4.88
2007 2008 2009 2010 2011 2012 2013 Q2
-------------------------------------- ----- ------ ------ ----- ----- ----- -------
SandP MidCap 400([R]) Total Return Index 7.98 -36.23 37.38 26.64 -1.73 17.88 14.59
SandP MidCap 400([R]) Index (Price Only) 6.69 -37.28 35.00 24.85 -3.10 16.07 13.76
Cash Rate (Year-End) 3.31 0.05 0.11 0.18 0.03 0.09 0.06
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 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 Index may underperform
the Benchmark Index, and is expected to perform poorly in volatile markets.
Even though the RBS ETNs are listed on the NYSE Arca, a trading market may not
develop and the liquidity of the RBS ETNs may be limited and/or vary over time,
as RBS plc is not required to maintain any listing of the RBS ETNs. The RBS
ETNs are not principal protected and do not pay interest. 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. Any payment on
the RBS ETNs is subject to the ability of RBS plc, as the issuer, and RBS Group
plc, as the guarantor, to pay their respective obligations when they become
due. You should carefully consider whether the RBS ETNs are suited to your
particular circumstances before you decide to purchase them. We urge you to
consult with your investment, legal, accounting, tax and other advisors with
respect to any investment in the RBS ETNs. The RBS ETNs are not suitable for
all investors. You should carefully read the relevant pricing supplement and
prospectus, including the more detailed explanation of the risks involved in
any investment in the RBS ETNs as described in the "Risk Factors" section of
the pricing supplement, before investing. IMPORTANT INFORMATION: The Royal Bank
of Scotland plc (RBS plc) and The Royal Bank of Scotland Group plc (RBS Group)
have filed a registration statement (including a prospectus) with the U.S.
Securities and Exchange Commission (SEC) for the offering of RBS ETNs to which
this communication relates. Before you invest in any RBS ETNs, you should read
the prospectus in that registration statement and other documents that have
been filed by RBS plc and RBS Group with the SEC for more complete information
about RBS plc and RBS Group, and the offering. You may get these documents for
free by visiting EDGAR on the SEC's web site at www.sec.gov. Alternatively, RBS
plc, RBS Securities Inc. (RBSSI) or any dealer participating in the offering
will arrange to send you the prospectus and the pricing supplement at no charge
if you request it by calling 1-855-RBS-ETPS (toll-free). RECENT DEVELOPMENTS:
On June 13, 2013, we announced that we would be exiting the structured retail
investor products business that is responsible for issuing and maintaining the
RBS ETNs, and that we expect to move such business into a runoff organization
which will go through a process of restructuring and / or business sales (the
"RBS Retail Investor Products Exit Plan"). The implementation of the RBS Retail
Investor Products Exit Plan increases the likelihood that the RBS ETNs will be
redeemed by us prior to maturity. We plan to continue to maintain and issue the
RBS ETNs, but our plans could change. We cannot give you any assurances as to
any minimum period of time that you may hold the RBS ETNs before we redeem them
at our option.
US Mid Cap Trendpilot[] Index (USD) is the property of The Royal Bank of
Scotland plc, which has contracted with SandP Opco, LLC (a subsidiary of SandP Dow
Jones Indices LLC) ("SandP Dow Jones Indices") to maintain and calculate the
Index. The SandP MidCap 400([R]) Index is the exclusive property of SandP Dow Jones
Indices and have been licensed for use by RBSSI and its affiliates in
connection with the RBS US Mid Cap Trendpilot[] Index (USD). SandP Dow Jones
Indices shall have no liability for any errors or omissions in calculating the
Index. SandP([R]) is a registered trademark of Standard and Poor's Financial
Services LLC ("SPFS") and Dow Jones([R]) is a registered trademark of Dow Jones
Trademark Holdings LLC ("Dow Jones"). These trademarks have been licensed to
SandP Dow Jones Indices. "Standard and Poor's([R])", "SandP([R])" and "SandP MidCap
400([R])" are registered 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 RBSSI and its C A L C U L ATED BY affiliates. The RBS US
Mid Cap Trendpilot[] ETNs are not sponsored, endorsed, sold or promoted by SandP
Dow Jones Indices, SPFS, Dow Jones, their affiliates or their third party
licensors, and neither SandP Dow Jones Indices, SPFS, Dow Jones, their affiliates
or their third party licensors make any representation regarding the
advisability of investing in such RBS ETNs.
Copyright [C] 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.
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS | Not FDIC Insured. May Lose
Value.
Dated July 16, 2013
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