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RBS 12-Month Oil Total Return Index (USD) (the "Benchmark Index")
The Benchmark Index utilizes a rules-based methodology to provide exposure to a
hypothetical notional investment in a series of 12 light sweet crude oil (WTI)
futures contracts that are traded on the New York Mercantile Exchange. The 12
futures contracts comprising the Benchmark Index on any given day will be the
futures contracts 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 12 contracts is equally weighted upon each rebalancing. For more
information regarding the RBS 12-Month Oil Total Return Index (USD) methodology
please see the RBS Oil Trendpilot ETN pricing supplement.
Historical Performance (%) -- as of 12/31/2011
------------------------------------------------------ ----------- ----------- ----------------------- -------------------------
SINCE RBS ETN INCEPTION STD. DEVIATION ANNUALIZED
1-MONTH (%) 3-MONTH (%) (9/13/2011) %) SINCE INCEPTION (%)(2)
------------------------------------------------------ ----------- ----------- ----------------------- -------------------------
RBS Oil Trendpilot[] ETN Daily Redemption Value(1) -0.89 4.03 4.01 17.98
RBS Oil Trendpilot[] Index (USD) -0.81 4.23 4.23 17.73
RBS 12-Month Oil Total Return Index (Benchmark Index) -0.81 23.25 8.58 32.77
Source: Bloomberg. The table above presents the actual historical performance
of the RBS ETNs, the Index and the RBS 12-Month Oil Total Return Index over the
speci[]ed periods. For information regarding the performance of the Index, see
pages PS-43 to PS-48 of the pricing supplement of the RBS ETNs []led with the
U.S. Securites and Exchange Commisson (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) 1.10% per annum when the
Index is tracking the Benchmark Index, and (ii) 0.50% per annum when the Index
is tracking the Cash Rate. (2) Based on daily returns. Standard deviation is a
measure of volatility, and illustrates the extent of variation (whether higher
or lower) that exists from the average given set of results. A low standard
deviation indicates that the results tend to be very close to the average
result (a low degree of volatility). In contrast, a high standard deviation
indicates that the results are spread out over a large range of outcomes (a
high degree of volatility).
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
suf[]cient 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 pay interest. 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. 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: RBS plc and RBS Group have []led 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 []led 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).
RBS Oil Trendpilot[] Index (USD) and RBS 12-Month Oil Total Return Index (USD)
are the property of RBS plc. The Index and the Benchmark Index are calculated
by NYSE Arca, a wholly-owned subsidiary of NYSE Euronext. The RBS ETNs, which
track the Index and may track the Benchmark Index, are not issued, sponsored,
endorsed, sold or promoted by NYSE Arca, and NYSE Arca makes no representation
regarding the advisability of investing in the securities.
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 INDEX OR BENCHMARK INDEX OR ANY DATA INCLUDED THEREIN. IN
NO EVENT SHALL NYSE ARCA
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR TWTI CONSEQUENTIAL
DAMAGES (INCLUDING LOST PROFITS), EVEN IF
NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
Copyright[C] 2012 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 January 10, 2012
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