|
|
Home Product List Learn about RBS ETNs Contact US About Us
Search:
CUSIP, Text
Products
Learn About RBS ETNs
About Us
RBS Oil Trendpilot ETN
TWTI
Product Detail
The RBS Oil Trendpilot(TM) ETNs are designed for investors who seek exposure to
the RBS Oil Trendpilot[TM] Index (USD) (the "Index"). The Index utilizes a
systematic trend-following strategy to provide exposure to either the RBS
12-Month Oil Total Return Index (USD) (the "Benchmark Index", as described
below) or the yield on a hypothetical notional investment in 3-month U.S.
Treasury bills (the "Cash Rate"), depending on the relative performance of the
Benchmark Index on a simple historical moving average basis. If the closing
level of the Benchmark Index is at or above its historical 100-Index business
day simple moving average for five consecutive Index business days (i.e., a
"positive trend" is established), the Index will track the return on the
Benchmark Index, and will have no exposure to the Cash Rate until two Index
business days after a negative trend occurs. Conversely, if the closing level of
the Benchmark Index is below such average for five consecutive Index business
days (i.e., a "negative trend" is established) then the Index will track the
Cash Rate and will have no exposure to the Benchmark Index until two Index
business days after the next positive trend occurs.
The Benchmark Index utilizes a rules-based methodology to provide exposure to a
hypothetical notional investment in a series of twelve (12) light sweet crude
oil (WTI) futures contracts that are traded on the New York Mercantile Exchange
("NYMEX"). The twelve (12) futures contracts comprising the Benchmark Index on
any given day will be the futures contract scheduled to expire in the
immediately following calendar month and futures contracts scheduled to expire
in each of the eleven months thereafter. The Benchmark Index is rebalanced on a
monthly basis so that each of the twelve (12) futures contracts is equally
weighted upon each rebalancing.
Product Facts Codes
Exchange ISIN US78009P1277
Product type Traded Note Download Prospectus (992
(ETN) CUSIP 78009P127 KB)
Current RBS Trendpilot Cash Rate Ticker TWTI
Indicator Download Factsheet (285 KB)
Underlying RBS Oil Trendpilot
Exchange name NYSE Arca Index
Shares Outstanding 160,000 Intraday Indicative
Value Ticker TWTI.IV
Issue Size (USD 000's) $ 4,000
Annual Investor Fee
when Tracking Cash 0.50 %
Rate
Annual Investor Fee
when Tracking 1.10 %
Benchmark Index
Inception Date 09/15/11
Maturity 09/10/41
"The Annual Investor Fee" accrues on a daily basis.
"Daily Redemption Value" refers to the price per ETN at which The Royal Bank of
Scotland plc shall repurchase any ETNs offered by investors for repurchase
(provided that at least 20,000 ETNs are offered for repurchase) or shall redeem
any ETNs called by it for redemption at its option, in each case, subject to the
terms and conditions described in the pricing supplement and prospectus. The
amount reflects the Daily Redemption Value at the close of the market on the
prior trading day in the United States.
"Shares Outstanding" means to the number of ETN units outstanding at the close
of market on the prior trading day in the United States. "Issue Size (USD
000's)" means an amount equal to the Daily Redemption Value multiplied by Shares
Outstanding.
"refers to the trend of the Index. The Index will track the Benchmark Index when
it is in a positive trend, and will track the Cash Rate when it is in a negative
trend.
"Index" refers to the percentage change in the closing level of the Index from
the month end of the relevant period (e.g., closing level of the Index from
month-end, 1 mo., 3 mos., 6 mos. prior, as the case may be) through the market
close at the end of the previous calendar month.
"Redemption Value" refers to the percentage change in the Daily Redemption Value
of the RBS ETN from the month end of the relevant period (e.g., the Daily
Redemption Value at month-end, 1 mo., 3 mos., 6 mos. prior, as the case may be)
through the market close at the end of the previous calendar month.
"ETN Market Return" refers to the percentage change in the closing price of the
RBS ETNs as reported on NYSE Arca from the month end of the relevant period
(e.g., 1 mo., 3 mos., 6 mos. prior, as the case may be) through the market close
at the end of the previous calendar month.
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 RBS ETNs and the Index
do not provide exposure to spot prices of crude oil and, consequently, may not
be representative of an investment that provides exposure to crude oil. The
Index may underperform the Benchmark Index, and is expected to perform poorly in
volatile markets. Liquidity of the market for RBS ETNs may vary over time. The
RBS ETNs are not principal protected and do not
|
