Filed pursuant to Rule 433. Registration Statement Nos. 333-184147 and 333-184147-01
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RBS Exchange Traded Notes
RBS US Mid Cap Trendpilot[] ETN (TRNM)
RBS ETN Details
Issuer The Royal Bank of Scotland plc
Guarantor The Royal Bank of Scotland Group plc
Ticker TRNM
Intraday Indicative Value Ticker TRNM.IV
CUSIP 78009L209
ISIN US78009L2097
Primary Exchange NYSE Arca
Maturity 1/25/2041
Index RBS US Mid Cap Trendpilot[] Index (USD) (Bloomberg page:
"TPMCUT [Index]") (the "Trendpilot[] Index"), which tracks either
the Benchmark Index or the Cash Rate depending on the relative
performance of the Benchmark Index on a simple historical
moving average basis
Benchmark Index S[AND]P MidCap 400([R]) Total Return Index (Bloomberg symbol:
"SPTRMDCP Index")
Benchmark Index Reinvested 1.59%
Dividend Yield(1)
Cash Rate Yield on a hypothetical notional investment in 3-month U.S.
Treasury bills as of the most recent weekly auction (Bloomberg
page: "USB3MTA Index")
Annual Investor Fee When the Index is tracking the Benchmark Index: 1.00% per
(accrued on a daily basis) annum. When the Index is tracking the Cash Rate: 0.50% per
annum.
Repurchase at your option You may offer your RBS ETNs to RBS plc for repurchase on any
business day on or prior to 1/16/2041, provided that you offer a
minimum of 20,000 RBS ETNs for any single repurchase and
follow the procedures described in the pricing supplement.
Early redemption at our option We may redeem all of the RBS ETNs at our discretion at any time
on or prior to 1/23/2041. Pursuant to our announced plan to exit
the structured retail investor products business, the likelihood
that we will redeem the ETNs prior to maturity has increased.
See "Recent Developments" on page 4 for more information.
Daily Redemption Value Upon early repurchase or redemption or at maturity, you will
receive a cash payment equal to the daily redemption value per
RBS ETN. The daily redemption value on the relevant valuation
date will be published on www.rbs.com/etnus/trnm*.
Ranking and Guarantee The RBS ETNs are unsecured and senior debt obligations of RBS
plc, as the Issuer, and RBSG, as the Guarantor of the Issuer's
obligations under the RBS ETNs. Any payment on the ETNs is
subject to the ability of the Issuer and Guarantor to pay their
respective obligations as they become due.
(1)Benchmark Index Reinvested Dividend Yield means the sum of the gross
dividends paid on the securities comprising the Benchmark Index (which is a
total return index) over the prior 12 months ending 9/30/2013 divided by the
closing level of the price return version of the Benchmark Index as of
9/30/2013. The RBS ETNs do not pay dividends or interest.
*Information contained on our website is not incorporated by reference in, and
should not be considered a part of, this[]document.
To find out more
Call toll free 855-RBS-ETPS or visit www.rbs.com/etnUS
Not FDIC Insured. May Lose Value.
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ETN Overview:
The RBS US Mid Cap Trendpilot[] Exchange Traded Notes ("RBS ETNs") are
unsecured and senior obligations of The Royal Bank of Scotland plc ("RBS plc"),
and are fully and unconditionally guaranteed by The Royal Bank of Scotland
Group plc ("RBS Group"). Any payments on the RBS ETNs when they become due at
maturity or upon early repurchase or redemption are dependent on the ability of
RBS plc and RBS Group to pay, and are also subject to market risk.
RBS US Mid Cap Trendpilot[] ETNs track the RBS US Mid Cap Trendpilot[] Index
(USD) which provides:
Trend-following exposure using an objective and transparent methodology to
either the S[AND]P MidCap 400([R]) Total Return Index or the Cash Rate;
Mid Cap Exposure in positive trending markets by tracking the S[AND]P MidCap
400([R]) Total Return Index, the level of which incorporates the reinvestment
of any cash dividends paid on its component securities;
Cash Rate Exposure in negative trending markets by tracking a hypothetical
investment in 3-month U.S. Treasury bills, with the yield determined as of the
most recent weekly auction.
Illustration of the Trendpilot([]) Index Methodology
*An "Index business day" is a day on which the principal exchange on which the
components of the Benchmark Index trade is open for regular trading sessions
for at least three hours.
The above graph illustrates the operation of the Trendpilot[] Index
Methodology. It does not reflect any actual performance of the Benchmark Index
or the Index, and is not an indication of how either index may perform in the
future. The hypothetical illustration above also does not include any fees,
transaction costs or expenses.
If neither of the above conditions is satisfied, the trend of the Benchmark
Index will be the same as the trend of the Benchmark Index on the immediately
preceding Index business day. The Index will implement any trend reversal at
the open of trading on the second Index business day immediately following the
Index business day on which the Benchmark Index trend switches from positive to
negative or from negative to positive, as the case may be.
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Historical Performance (%) -- as of 9/30/2013
annualized since
QUARTER- year-to- ANNUALIZED ANNUALIZED ANNUALIZED RBS ETN
TO-DATE (%) date (%) 1-year (%) 3-year (%) 5-year (%) inception (1/25/11) (%)
-------------------------------------- ----------- -------- ---------- ---------- ---------- -----------------------
RBS US Mid Cap Trendpilot[] ETN Daily 7.27 22.31 26.40 -- -- 7.46
Redemption Value(1)
RBS US Mid Cap Trendpilot(TM) Index 7.54 23.23 27.68 -- -- 8.45
S[AND]P MidCap 400([R]) Total Return Index
(Benchmark Index) 7.54 23.23 27.68 17.45 13.08 13.43
S[AND]P MidCap 400([R]) Index (Price Only) 7.15 21.89 25.77 15.75 11.33 11.75
Source: Bloomberg. The table above presents the actual performance of the
Index, the RBS ETNs, the S[AND]P 400([R]) Total Return Index (the Benchmark Index)
and the S[AND]P 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) Reflects the deduction of the annual investor fee, which accrues on a daily
basis. The annual investor fee will be equal to (i) 1.00% per annum when the
Index is tracking the Benchmark Index, and (ii) 0.50% per annum when the Index
is tracking the Cash Rate. The per annum cash rate on 9/30/13 was 0.01%
S[AND]P MidCap 400([R]) Index Performance -- as of 9/30/2013
The graph above is the historical performance of the S[AND]P MidCap 400([R]) Total
Return Index, S[AND]P MidCap 400([R]) Index (Price Only) and the S[AND]P MidCap
400([R]) Total Return Index 200-Index business day simple moving average. This
illustration does not reflect any historical Trendpilot[] Index performance.
S[AND]P MidCap 400([R]) 1-Year Annual Return Comparison (%)(1)
---------------------------------------------------------- ------ ----- ----- ----- -------
2000 2001 2002 2003 2004 2005 2006
--------------------------------------- ----- ------------ ------ ----- ----- ----- -------
S[AND]P MidCap 400([R]) Total Return Index 17.51 -0.60 -14.51 35.62 16.48 12.56 10.32
S[AND]P 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 Q3
--------------------------------------- ----- ------------ ------ ----- ----- ----- -------
S[AND]P MidCap 400([R]) Total Return Index 7.98 -36.23 37.38 26.64 -1.73 17.88 23.23
S[AND]P MidCap 400([R]) Index (Price Only) 6.69 -37.28 35.00 24.85 -3.10 16.07 21.89
Cash Rate (Year-End) 3.31 0.05 0.11 0.18 0.03 0.09 0.01
(1)The table above does not reflect any Trendpilot[] Index performance. The
Trendpilot[] Index performance is not the same as the S[AND]P MidCap 400([R]) Index
performance. The Trendpilot[] Index may underperform the S[AND]P 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.
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Selected RisK Considerations
Investing in the RBS ETNs involves a number of risks. Some of the risks
relating to the RBS ETNs are summarized here, but we urge you to read the more
detailed explanation of risks described under "Risk Factors" in the applicable
pricing supplement.
You may lose all or a significant portion of your investment: The RBS ETNs are
not principal protected. If the level of the Index decreases, or does not
increase by an amount sufficient to offset the investor fee, you will receive
less, and possibly significantly less, at maturity or upon early repurchase or
redemption than your original investment in the RBS ETNs.
The RBS ETNs involve risks not associated with an investment in conventional
debt securities.
Credit risk of RBS plc and RBS Group: The RBS ETNs are unsecured and
unsubordinated obligations of RBS plc, as issuer, and are guaranteed by RBS
Group. You are dependent on RBS plc's ability to pay all amounts due on the RBS
ETNs, and therefore you are subject to the credit risk of RBS plc and to
changes in the market's view of RBS plc's creditworthiness. In addition,
because the RBS ETNs are guaranteed by RBS Group, you are also dependent on the
credit risk of RBS Group in the event that RBS plc fails to make any payment or
delivery required by the terms of the RBS ETNs.
Issuer redemption: RBS plc has the right to redeem or "call" the RBS ETNs, in
whole but not in part, at its sole discretion at any time from the initial
settlement date to and including 12/4/2040. In addition, the implementation of
the RBS Retail Investor Products Exit Plan (as described below under "Recent
Developments") increases the likelihood of our calling the RBS ETNs prior to
maturity.
Strategy Risk: The Trendpilot[] Index uses a trend-following strategy that
seeks to capitalize on trends in the Benchmark Index based on its closing level
relative to its 200-Index business day moving average. This strategy differs
from one that seeks continuous long-only exposure to a single asset. The
Trendpilot[] Index is expected to perform poorly in non-trending volatile
markets. Movements in the Benchmark Index or the Cash Rate may have a material
and adverse impact on the Trendpilot[] Index's performance. There is no
assurance that the strategy will be successful or that it will outperform the
Benchmark Index or the Cash Rate.
Market Risk: The return on the RBS ETNs will depend on the performance of the
Index (which in turn will depend on the performance of the Benchmark Index and
the Cash Rate) and other market conditions. In particular, the RBS ETNs are
subject to the risk that large-capitalization U.S equities may underperform
other segments of the equity market or the equity market in general.
A trading market for the RBS ETNs may not develop: Although the RBS ETNs are
listed on NYSE Arca, Inc., there is no guarantee that the listing will be
maintained or that a secondary market will develop. RBS plc is not required to
maintain any listing of the RBS ETNs.
No Interest Payments: You will not receive any interest payments on the RBS
ETNs.
Restrictions on your ability to offer RBS ETNs for repurchase by us: You must
offer at least 20,000 RBS ETNs to us for any single repurchase and satisfy the
other requirements described in the applicable pricing supplement for your
repurchase offer to be considered.
Actual trading price or market price may vary significantly from indicative
value and daily redemption value: The indicative value is meant to approximate
the intrinsic economic value of the RBS ETNs from time to time. Any payment on
the RBS ETNs at maturity or upon early repurchase or redemption is based on the
daily redemption value, which is determined by the calculation agent. If you
purchase or sell RBS ETNs in the secondary market, you will pay or receive the
market price of an RBS ETN. Factors that may influence the market price of the
RBS ETNs include: the level of the Index; the performance of, and volatility
in, the Benchmark Index; supply and demand for the RBS ETNs; economic,
financial, political, regulatory or judicial events that affect the level of
the Index; and the actual or perceived creditworthiness of RBS plc and RBS
Group.
The Index has limited actual history and may perform in unexpected ways: The
Trendpilot[] Index was created by RBS plc, as Index Sponsor, and established on
November 16, 2010. As such, it has limited actual history and may perform in
unexpected ways. The historical performance of the Index should not be taken as
indication of future performance.
Uncertain Tax Treatment: Significant aspects of the tax treatment of the RBS
ETNs are uncertain. You should consult your own tax adviser about your own
situation.
The RBS ETNs are not suitable for all investors. You should carefully read the
relevant pricing supplement and prospectus, including the more detailed
explanation of the risks involved in any investment in the RBS ETNs as
described in the "Risk Factors" section of the pricing supplement, before
investing. IMPORTANT INFORMATION: The Royal Bank of Scotland plc (RBS plc) and
The Royal Bank of Scotland Group plc (RBS Group) have filed a registration
statement (including a prospectus) with the U.S. Securities and Exchange
Commission (SEC) for the offering of RBS ETNs to which this communication
relates. Before you invest in any RBS ETNs, you should read the prospectus in
that registration statement and other documents that have been filed by RBS plc
and RBS Group with the SEC for more complete information about RBS plc and RBS
Group, and the offering. You may get these documents for free by visiting EDGAR
on the SEC's web site at www.sec.gov. Alternatively, RBS plc, RBS Securities
Inc. (RBSSI) or any dealer participating in the offering will arrange to send
you the prospectus and the pricing supplement at no charge if you request it by
calling 1-855-RBS-ETPS (toll-free).
RECENT DEVELOPMENTS: On June 13, 2013, we announced that we would be exiting
the structured retail investor products business that is responsible for
issuing and maintaining the RBS ETNs, and that we expect to move such business
into a runoff organization which will go through a process of restructuring and
/ or business sales (the "RBS Retail Investor Products Exit Plan"). The
implementation of the RBS Retail Investor Products Exit Plan increases the
likelihood that the RBS ETNs will be redeemed by us prior to maturity. We plan
to continue to maintain and issue the RBS ETNs, but our plans could change. We
cannot give you any assurances as to any minimum period of time that you may
hold the RBS ETNs before we redeem them at our option.
RBS US Mid Cap Trendpilot[] Index (USD), is the property of The Royal Bank of
Scotland plc, which has contracted with S[AND]P Opco, LLC (a subsidiary of S[AND]P Dow
Jones Indices LLC) ("S[AND]P Dow Jones Indices") to maintain and calculate the
Index. The S[AND]P MidCap 400([R]) Index is the exclusive property of S[AND]P Dow Jones
Indices and has been licensed for use by RBSSI and its affiliates in connection
with the RBS US Mid Cap Trendpilot[] Index (USD). S[AND]P Dow Jones Indices shall
have no liability for any errors or omissions in calculating the Index.
S[AND]P([R]) is a registered trademark of Standard [AND] Poor's Financial Services LLC
("SPFS") and Dow Jones([R]) is a registered trademark of Dow Jones Trademark
Holdings LLC ("Dow Jones"). These trademarks have been licensed to S[AND]P Dow
Jones Indices. "Standard [AND] Poor's([R])", "S[AND]P([R])" and "S[AND]P MidCap 400([R])"
are registered trademarks of SPFS and together with "Calculated by S[AND]P Dow
Jones Indices" and its related stylized mark(s) have been licensed for use by
RBSSI and its affiliates. The RBS US Mid Cap Trendpilot[] ETNs are not
sponsored, endorsed, sold or promoted by S[AND]P Dow Jones Indices, SPFS, Dow
Jones, their affiliates or their third party licensors, and neither S[AND]P Dow
Jones Indices, SPFS, Dow Jones, their affiliates or their third party licensors
make any representation regarding the advisability of investing in such RBS
ETNs.
Copyright [C] RBS Securities Inc. All rights reserved.
RBS Securities Inc., is a U.S. registered broker-dealer, member of FINRA and
SIPC, and an indirect wholly-owned subsidiary of The Royal Bank of Scotland plc
and The Royal Bank of Scotland Group plc.
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS | Not FDIC Insured. May Lose Value. Dated October 31, 2013
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