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NASDAQ-100([R]) Total Return Index(SM) Historical Performance (%) -- as of 09/30/2012
-------------------------------------------------- -------- ----------
---------------
Top 10 Holdings -- as of 09/30/2012 SINCE RBS
ETN
-------------------------------------- ----------
3-MONTH YEAR-TO- ANNUALIZED INCEPTION
COMPANY TICKER WEIGHT (%) (%) DATE (%) 1-YEAR (%) (12/8/2011)
(%)
-------- ----------------------------- ---------- -------------------------------------------------- -------- ----------
---------------
Apple, Inc. AAPL
Microsoft Corporation MSFT
Google, Inc. GOOG
Oracle Corporation ORCL
Amazon.com, Inc. AMZN
Intel Corporation INTC
QUALCOMM, Inc. QCOM
Cisco Systems, Inc. CSCO
Comcast Corporation CMCSA
Kraft Foods, Inc. KFT
Source: Bloomberg
19.72 RBS NASDAQ-100([R]) Trendpilot[] ETN Daily
Redemption Value(1) 2.76 14.90 -- 14.63
7.87
RBS NASDAQ-100([R]) Trendpilot(TM) Index 2.96 15.64 -- 15.43
6.23
NASDAQ-100([R]) Total Return Index(SM)
4.85 (Benchmark Index) 7.36 23.93 32.37 23.71
3.62 Cash rate on 09/30/12 was 0.11% -- -- -- --
3.58
3.36 The table above presents the actual performance of the Index, the RBS ETNs
and the NASDAQ-100([R])
Total Return Index(SM) (the Benchmark Index) over the speci[]ed periods. For
information regarding the
3.22 performance of the Index, see pages PS-40 to PS-44 of the pricing
supplement to the RBS ETNs []led
2.38 with the U.S. Securities and Exchange Commission (SEC). Past performance
does not guarantee future results.
2.31 (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.
NASDAQ-100([R]) Total Return Index(SM) Performance -- as of 09/30/2012
-------------------------------------------------------------------------------------------- ---- ---- ----- ------ ------- ----
----------------------
NASDAQ-100([R]) Total Return Index(SM)
NASDAQ-100([R]) Total Return Index(SM) 100-Index business day simple moving average
--------------------------------------------------------------------------------------- ---- ---- ---- ----- ------ ------- ----
5,000
--- ------------------------ ---- --- ---- ----- ------------------------ ---- ---- ---- ----- ------ ------- ----
4,100
The
graph to the
left is the historical
performance of the
------------- --- ------------------------ ---- --- ---- ----- ------------------------ ---- ---- ---- ----- ------ ------- ----
3,200
NASDAQ-100([R]) Total
Return Index(SM) and
the
NASDAQ-100([R])
------------- --- ------------------------ ---- --- ---- ----- ------------------------ ---- ---- ---- ----- ------ ------- ----
2,300
Total Return Index(SM)
100-Index business
day
simple moving
------------- --- ------------------------ ---- --- ---- ----- ------------------------ ---- ---- ---- ----- ------ ------- ----
1,400
average. This
illustration does not
re[]ect any historical
Trendpilot[] Index
(500) Jul 00 01 02 03 04 05 06 07 08 09 10 11 12
performance.
99
------------- --- ------------------------ ---- --- ---- ----- ------------------------ ---- ---- ---- ----- ------ ------- ----
----------------------
NASDAQ-100([R]) Total Return Index(SM) 1-Year Annual Return Comparison (%)(1)
------------------------------------------------------------------------------------------------- ---- ----- ------ ------- ----
----------------------
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
2011 2012-Q3
------------- --- ------------------------ ---- --- ---- ----- ------------------------ ---- ---- ---- ----- ------ ------- ----
----------------------
NASDAQ-100([R]) Total Return Index(SM) -36.82 -32.62 -37.52 49.49 10.75 1.89 7.28 19.24 -41.57 54.61 20.14 3.66 23.93
Cash Rate (Year-End) 5.70 1.71 1.19 0.89 2.23 3.91 4.88 3.31 0.05 0.11 0.18 0.03 0.11
(1) The table above does not re[]ect any Trendpilot[] Index performance. The
Trendpilot[] Index performance is not the same as the NASDAQ-100([R]) Total
Return Index(SM) performance. The Trendpilot[] Index may underperform the
NASDAQ-100([R]) Total Return Index(SM) over various time periods, and may track
the Cash Rate for extended periods of time in a low interest rate environment.
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 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. 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 []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).
NASDAQ([R]), OMX([R]), NASDAQ OMX([R]), NASDAQ-100([R]), NASDAQ-100 Index([R])
and NASDAQ-100([R]) Total Return Index(SM) are registered trademarks and
service marks of The NASDAQ OMX Group, Inc. and are licensed for use by RBS
plc.
The Index is the property of RBS plc. RBS plc has contracted with The NASDAQ
OMX Group, Inc. (which with its af[]liates and subsidiaries is referred to as
the "Corporations") to calculate and maintain the Index, either directly or
through a third party. Currently, the Index is calculated and maintained by S and P
Opco, LLC, a subsidiary of S and P Dow Jones Indices LLC, ("S and P Dow Jones Indices")
on behalf of the Corporations. S and P([R]) is a registered trademark of SPFS
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. S and P Dow Jones
Indices, its af[]liates and the Corporations shall have no liability for any
errors or omissions in calculating the RBS NASDAQ-100([R]) Trendpilot[] Index.
The RBS NASDAQ-100([R]) Trendpilot[] Exchange Traded Notes, which are based on
the RBS NASDAQ-100([R]) Trendpilot[] Index, have not been passed on by the
Corporations or S and P Dow Jones Indices and its af[]liates as to their legality
or suitability and are not sponsored, endorsed, sold or promoted by the
Corporations or S and P Dow Jones Indices and its af[]liates. S and P DOW JONES
INDICES, ITS AFFILIATES AND THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO
LIABILITY WITH RESPECT TO THE RBS NASDAQ-100([R]) TRENDPILOT[] EXCHANGE TRADED
NOTES.
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 October 3, 2012
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