Filed pursuant to Rule 433. Registration Statement Nos. 333-184147 and 333-184147-01
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tHIS FREE WRITING PROSPECTUS AMENDS AND RESTATES IN ITS ENTIRETY THE FREE
WRITING PROSPECTUS FILED BY US ON APRIL 22, 2014, WITH THE HEADING "RBS US LARGE
CAP ALTERNATOR ETN[] (ALTL)".
RBS Exchange Traded Notes
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RBS US Large Cap Alternator ETN[] (ALTL)
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RBS ETN Details
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Ticker ALTL
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Intraday Indicative Value Ticker ALTL.IV
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CUSIP 78009P168
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ISIN US78009P1681
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Primary NYSE Arca
Exchange
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Annual Investor Fee 1.00% per annum
(accrued on a daily basis)
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Inception Date 8/30/2012
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Maturity 9/5/2042
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Issuer The Royal Bank of Scotland plc ("RBS plc")
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Guarantor The Royal Bank of Scotland Group plc ("RBSG")
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Underlying Indices SandP 500([R]) Total Return Index (SPTR),
SandP 500([R]) Equal Weight Total
Return Index (SPXEWTR), SandP 500([R])
Low Volatility Total Return Index (SP5LVIT)
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Repurchase at your option You may offer your RBS
ETNs to RBS plc for repurchase on any business
day on or prior to 8/27/2042, provided that you
offer a minimum of 20,000 RBS ETNs for any
single repurchase and follow the procedures
described in the pricing supplement.
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Early redemption at our option We may redeem all of
the RBS ETNs at our discretion at any time on
or prior to 9/3/2042. Pursuant to our announced
plan to exit the structured retail investor
products business, the likelihood that we will
redeem the RBS ETNs prior to maturity has
increased. See "Recent Developments" on page 4
for more information.
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Daily Redemption Value Upon early
repurchase or redemption or at maturity, you
will receive a cash payment equal to the daily
redemption value per RBS ETN. The daily
redemption value on the relevant valuation date
will be published on www.rbs.com/etnus/altl*.
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Ranking The RBS ETNs are
unsecured and senior debt obligations of the
Issuer, guaranteed by the Guarantor. and any
payment on the RBS ETNs is subject to the
ability of RBS plc, as the issuer, and RBS
Group, as the guarantor, to pay their
respective obligations when they become due.
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* Information contained on our website is not incorporated by reference in, and
should not be considered a part of, this[]document.
To find out more
Call toll free 855-RBS-ETPS or visit www.rbs.com/etnUS
Not FDIC Insured. May Lose Value.
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ETN Overview:
The RBS US Large Cap Alternator Exchange Traded Notes[] (the "RBS ETNs") track
the RBS US Large Cap Alternator Index[] (USD) (the "Index") which is designed to
provide exposure to the US large cap equity market by alternating between three
popular indices, the SandP 500([R]) Total Return Index (MC), the SandP 500([R])
Low Volatility Total Return Index (LV) and the SandP 500([R]) Equal Weight Total
Return Index (EW) (each, an "Underlying Index"). Each month, the Index will
track the return of the Underlying Index with the highest relative strength
score, which is based on average historical returns.
RBS US Large Cap Alternator Index[] Features
Strategy: Each month, the Index will track the return of the Underlying Index
with the highest relative strength score at the end of the prior month.
Relative strength score: Simple average of the 1-month, 3-month, 6-month,
9-month and 12-month trailing returns of each of the Underlying Indices.
Rebalanced monthly: Relative strength score is calculated with respect to the
last business day of each month. The Index is rebalanced at the close of the
first business day of the next month.
Hypothetical Market Cycle
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The graph above illustrates a hypothetical market cycle and which Underlying
Index the relative strength score-based Index methodology may select in a given
stage of the hypothetical market cycle. The illustrations above do not reflect
an actual market cycle and they are not an indication of how a market cycle may
develop, how long a stage of the market cycle could last in the future, 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.
SandP 500([R]) Total Return Index
[] Tracks the 500 largest U.S. stocks weighted by market capitalization.
[] Expected to outperform the other Underlying Indices during the last stage
of a bull market.
[] May underperform low volatility indices in falling and choppy markets.
SandP 500([R]) Low Volatility Total Return Index
[] Consists of the 100 stocks from the SandP 500([R]) Index with the lowest
historical volatility over the past 12 months. The least volatile stocks
have the largest weighting in the index.
[] Expected to outperform the other Underlying Indices in choppy markets and
tracks the historically least volatile stocks of the SandP 500([R]) Index.
[] May underperform the other Underlying Indices in a rising market.
SandP 500([R]) Equal Weight Total Return Index
[] All 500 stocks rebalance to the same weight in the index on a quarterly
basis.
[] Expected to outperform the other Underlying Indices at the beginning and
middle of bull markets because the equal weighting creates a higher
exposure to the smaller companies within the index.
[] May underperform the other Underlying Indices in falling markets.
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Illustration of a Hypothetical $100,000 Investment 8/30/2012 -- 3/31/2014
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Historical Performance (%) -- as of 3/31/2014
1-month 3-month 1-year ANNUALIZED Since rbs
(%) (%) (%) etn inception (8/30/12) (%)
----------------------------------------------- ------- ------- ------ ---------------------------
RBS US Large Cap Alternator ETN[](1) -0.53 1.89 15.79 20.41
RBS US Large Cap Alternator Index[] 0.67 2.96 17.02 22.32
SandP 500([R]) Total Return Index 0.84 1.81 21.86 22.80
SandP 500([R]) Low Volatility Total Return Index 2.11 3.28 12.79 17.38
SandP 500([R]) Equal Weight Total Return Index 0.67 2.96 24.59 28.39
Source: Bloomberg
(1)Reflects the deduction of the annual investor fee, which accrues on a daily
basis. The annual investor fee will be equal to 1.00% per annum.
Index Statistics -- as of 3/31/2014
SandP 500([R]) Low SandP 500([R])
SandP 500([R]) Volatility EQual
Total total Weight total
return indeX return indeX return indeX
---------------------- ------------- ---------------- ------------
Top 10 Holdings (%) 3.29 9.90 1.99
Median Market
Capitalization 17.11 24.18 17.11
Average Weighted
Market Capitalization 119,367 mil. 55,146 mil. 35,495 mil.
Average Reinvested 1.67 2.49 1.67
Dividend Yield(1) (%)
Average Price to 26.53 17.97 26.53
Earnings(2)
Beta(3) 1.00 0.606 1.096
(1) Each Underlying Index is a total return index, which reflects changes in
both movements in stock prices of its underlying stocks and reinvestment of
the dividend income from its underlying stocks. You will not receive any
periodic interest payment on the RBS ETNs. Dividend yield means the sum of
the gross dividends paid on the stocks comprising the relevent underlying
Index over the prior 12 months ending 3/31/2014 divided by the closing
level of the price return version of relevent underlying the Index as of
3/31/2014.
(2) A valuation of a company's current share price compared to its earnings per
share. Earnings per share is measured on a twelve month trailing basis.
(3) A number describing the volatility of an index in relation to the
volatility of the price return version of the SandP 500([R]) Index that is
calculated using trailing 12 month weekly returns. Source: Bloomberg
Sector Weightings Comparison(4) -- as of 3/31/2014
SandP 500([R]) Low SandP 500([R])
Volatility EQual Weight
SandP 500([R])Total total total return
return indeX (%) Return indeX (%) indeX (%)
----------------- ------ ---------------- ------ ------------- ------
Info Tech 18.63 Utilities 24.46 Financials 16.48
Financials 16.44 Cons. Staples 17.20 Cons. Disc. 16.47
Health Care 13.37 Financials 15.31 Info Tech 13.10
Cons. Disc. 12.05 Industrials 13.33 Industrials 12.85
Industrials 10.65 Health Care 11.76 Health Care 10.64
Energy 10.15 Materials 4.98 Energy 8.98
Cons. Staples 9.66 Info Tech 4.72 Cons. Staples 8.17
Materials 3.52 Cons. Disc. 3.96 Materials 6.24
Utilities 3.07 Energy 3.27 Utilities 6.03
Telecom Telecom Telecom
2.45 1.03 1.05
Services Services Services
Total 100.00 Total 100.00 Total 100.00
(4) Based on standard industry classifications. Source: SandP Dow Jones Indices
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THIS FREE WRITING PROSPECTUS AMENDS AND RESTATES IN ITS ENTIRETY THE FREE
WRITING PROSPECTUS FILED BY US ON APRIL 22, 2014, WITH THE HEADING "RBS US LARGE
CAP ALTERNATOR ETN[] (ALTL)".
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 9/3/2042. In addition, the implementation of
the RBS Retail Investor Products Exit Plan increases the likelihood of our
calling the RBS ETNs prior to maturity.
Strategy Risk: The Index uses a systematic relative strength strategy to select
which of the three Underlying Indices it will track for a given calendar month.
Because the relative strength score takes into account the performance of each
Underlying Index over certain past periods, it may not capture the short-term
trends of any Underlying Index or successfully select the best-performing
Underlying Index in the following month. There is no assurance that the strategy
will be successful or that the Index will outperform any Underlying Index. The
relative strength score is not predictive of superior relative performance in
the following month.
Market Risk: The return on the ETNs will depend on the performance of the Index
(which in turn will depend on the performance of the Underlying Indices) and
other market conditions. In particular, the 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. 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 ETN. Factors that may influence the market price
of the RBS ETNs include: the level of the Index; the index components in the
Underlying 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
very limited actual history and may perform in unexpected ways: The Index was
created by RBS plc, as Index Sponsor, and established on August 28, 2012. As
such, it has very limited actual history. The historical performance of the
Index should not be taken as indication of future performance.
Uncertain Tax Treatment: Significant aspects of the tax treatment of the RBS
ETNs are uncertain. You should consult your own tax adviser about your own
situation.
The RBS ETNs are complex and not suitable for all investors. You should
carefully read the relevant pricing supplement and prospectus, including the
more detailed explanation of the risks involved in any investment in the RBS
ETNs as described in the "Risk Factors" section of the pricing supplement,
before investing.
IMPORTANT INFORMATION: RBS plc and RBS Group have filed a registration statement
(including a prospectus) with the U.S. Securities and Exchange Commission (SEC)
for the offering of RBS ETNs to which this communication relates. Before you
invest in any RBS ETNs, you should read the prospectus in that registration
statement and other documents that have been filed by RBS plc and RBS Group with
the SEC for more complete information about RBS plc and RBS Group, and the
offering. You may get these documents for free by visiting EDGAR on the SEC's
web site at www.sec.gov. Alternatively, RBS plc, RBS Securities Inc. (RBSSI) or
any dealer participating in the offering will arrange to send you the prospectus
and the pricing supplement at no charge if you request it by calling
1-855-RBS-ETPS (toll-free).
RECENT DEVELOPMENTS: On June 13, 2013, we announced that we would be exiting the
structured retail investor products business that is responsible for issuing and
maintaining the RBS ETNs, and that we expect to move such business into a runoff
organization which will go through a process of restructuring and / or business
sales (the "RBS Retail Investor Products Exit Plan"). The implementation of the
RBS Retail Investor Products Exit Plan increases the likelihood that the RBS
ETNs will be redeemed by us prior to maturity. We plan to continue to maintain
and issue the RBS ETNs, but our plans could change. We cannot give you any
assurances as to any minimum period of time that you may hold the RBS ETNs
before we redeem them at our option.
RBS US Large Cap Alternator Index[] (USD), is the property of The Royal Bank of
Scotland plc, which has contracted with SandP Opco, LLC (a subsidiary of SandP
Dow Jones Indices LLC) ("SandP Dow Jones Indices") to maintain and calculate the
Index. The SandP 500([R]) Index, SandP 500 Low Volatility Index([R]) 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
SandP Dow Jones Indices in connection with the Index. SandP Dow Jones Indices,
its affiliates and their third party licensors 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.
SandP([R]), SandP 500([R]), SandP 500 Low Volatility Index([R]), SandP 500([R])
Equal Weight Index[], SandP 500 Equal Weight Index[]and SandP 500[R] EWI[] are
trademarks of SPFS and together with "Calculated by SandP Dow Jones Indices" and
its related stylized mark(s) have been licensed for use by RBSSI and its
affiliates. The RBS US Large Cap 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.
Copyright [C] RBS Securities Inc.
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 May 1, 2014
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