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RBS US Mid Cap Trendpilot™ ETN
TRNM

 

The RBS US Mid Cap TrendpilotTMETNs are designed for investors who seek exposure to the RBS US Mid Cap TrendpilotTM Index (USD) (the “Index”). The Index utilizes a systematic trend-following strategy to provide exposure to either the S&P MidCap 400® Total Return Index (the “Benchmark Index”) 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 level of the Benchmark Index is at or above its historical 200-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 a negative trend occurs. Conversely, if the 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 instead of the return on the Benchmark Index and will have no exposure to the Benchmark Index until the next positive trend.
Product Facts
Product typeExchange Traded Note (ETN)
Current RBS Trendpilot IndicatorBenchmark Index
Exchange nameNYSE Arca
Daily Redemption Value$ 33.3423
Shares Outstanding3,250,000
Issue Size (USD 000's)$ 105,695
Annual Investor Fee when Tracking Cash Rate0.50 %
Annual Investor Fees1.00*
Annual Investor Fee when Tracking Benchmark Index1.00 %
Inception Date01/25/11
Maturity01/25/41
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Codes
ISINUS78009L2097
CUSIP78009L209
TickerTRNM
UnderlyingRBS US Mid Cap Trendpilot Index
Intraday Indicative Value TickerTRNM.IV
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.
“Current RBS Trendpilot Indicator” 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.
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. 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).RBS US Mid Cap TrendpilotTM Index (USD) (Index) is the property of The Royal Bank of Scotland plc, which has contracted with Standard & Poor’s Financial Services LLC (S&P) to maintain and calculate the Index. The S&P MidCap 400® Index is the exclusive property of S&P and has been licensed for use by RBSSI and its affiliates in connection with the Index. S&P shall have no liability for any errors or omissions in calculating the Index. “Standard & Poor’s®,” “S&P®” and “S&P MidCap 400®” are registered trademarks of S&P. “Calculated by S&P Custom Indices” and its related stylized mark are service marks of S&P and have been licensed for use by RBSSI and its affiliates.

The RBS ETNs are not sponsored, endorsed, sold or promoted by S&P or its affiliates, and neither S&P nor its affiliates make any representation regarding the advisability of investing in the RBS ETNs.