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Historical Performance (%) -- as of 6/30/2013
QUARTER-TO- year-to- ANNUALIZED ANNUALIZED ANNUALIZED annualized since
RBS ETN
DATE (%) date (%) 1-Year (%) 3-Year (%) 5-Year (%) inception
(12/6/10) (%)
----------------------------------------------------------- ----------- -------- ---------- ---------- ----------
-------------------------
RBS US Large Cap Trendpilot[] ETN Daily Redemption Value(1) 2.65 13.27 19.40 -- -- 9.17
RBS US Large Cap Trendpilot(TM) Index 2.91 13.82 20.60 -- -- 10.18
SandP 500([R]) Total Return Index (Benchmark Index) 2.91 13.82 20.60 18.45 7.01 13.65
SandP 500([R]) Index (Price Only) 2.36 12.63 17.92 15.94 4.65 11.22
Cash rate on 6/30/13 was 0.06% -- -- -- -- -- --
Source: Bloomberg. The table above presents the actual performance of the
Index, the RBS ETNs, the SandP 500([R]) Total Return Index (the Benchmark Index),
and the SandP 500([R]) Index (Price Only) over the specified periods. It is not
possible to invest directly in an index. For information regarding the
performance of the Trendpilot Index, see pages PS-12 to PS-15 of the pricing
supplement of the RBS ETNs filed 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) 1.00% per annum when the
Index is tracking the Benchmark Index, and (ii) 0.50% per annum when the Index
is tracking the Cash Rate.
SandP 500([R]) Index Performance -- as of 6/30/2013
The graph to the left is the historical performance of the SandP 500([R]) Total
Return Index, SandP 500([R]) Index (Price Only) and the SandP 500([R]) Total Return
Index 200-Index business day simple moving average. This illustration does not
reflect any historical Trendpilot Index performance.
SandP 500([R]) Index 1-Year Annual Return Comparison (%)(1)
1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002
------------------------------- ----- ----- ----- ----- ----- ------ ----- ----- ----- ------ ------- ------
SandP 500([R]) Total Return Index -- 7.62 10.08 1.32 37.58 22.96 33.36 28.58 21.04 -9.10 -11.89 -22.10
SandP 500([R]) Index (Price Only) -- 4.46 7.06 -1.54 34.11 20.26 31.01 26.67 19.53 -10.14 -13.04 -23.37
Cash Rate (Year-End) 3.91 3.24 3.06 5.57 4.91 5.08 5.43 4.52 5.30 5.70 1.71 1.19
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Q2
------------------------------- ----- ----- ----- ----- ----- ------ ----- ----- ----- ------ ------- ------
SandP 500([R]) Total Return Index 28.68 10.88 4.91 15.79 5.49 -37.00 26.46 15.06 2.11 16.00 13.82
SandP 500([R]) Index (Price Only) 26.38 8.99 3.00 13.62 3.53 -38.49 23.45 12.78 0.00 13.41 12.63
Cash Rate (Year-End) 0.89 2.23 3.91 4.88 3.31 0.05 0.11 0.18 0.03 0.09 0.06
(1) The table above does not reflect any Trendpilot[] Index performance. The
Trendpilot[] Index performance is not the same as the SandP 500([R]) Index
performance. The Trendpilot[] Index may underperform the SandP 500([R]) Index
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
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 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. The intraday
indicative value and the daily redemption value are not the same as the trading
price or market price of the RBS ETNs in the secondary market. 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 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 Trendpilot[] 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 is the exclusive property of SandP Dow Jones
Indices and have been licensed for use by RBSSI and its affiliates in
connection with the RBS US Large Cap Trendpilot[] Index (USD). SandP Dow Jones
Indices 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. "Standard and Poor's([R])", "SandP([R])" and "SandP 500([R])" are
registered trademarks of SPFS and together with the "Calculated by C A L C U L
ATED BY SandP Dow Jones Indices Custom" and its related stylized mark(s) have
been licensed for use by RBSSI and its affiliates. The RBS US Large Cap
Trendpilot[] 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] 2013 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.
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