Cookies: We use cookies to help provide you with the best possible online experience. By using this site, you agree that we may store and access cookies on your device.

Accept | Find out more and set your own preferences here

Search:

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™ 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
Product type	Exchange Traded Note (ETN)
Current RBS Trendpilot Indicator	Benchmark Index
Exchange name	NYSE Arca
Daily Redemption Value	$ 20.4633
Shares Outstanding	320,000
Issue Size (USD 000's)	$ 6,452
Annual Investor Fee when Tracking Cash Rate	0.50 %
Annual Investor Fees	1.10%**
Annual Investor Fee when Tracking Benchmark Index	1.10 %
Inception Date	09/13/11
Maturity	09/13/41
Last Update	5/20/2013 2:00:00 AM

Codes
ISIN	US78009P1277
CUSIP	78009P127
Ticker	TWTI
Underlying	RBS Oil Trendpilot Index
Intraday Indicative Value Ticker	TWTI.IV

Disclaimer

*If you are an individual investor and would like additional information about the current offerings above, please contact your broker-dealer or financial advisor. You should consult your financial and tax advisor to determine whether a structured product is suitable for you and your investment needs and objectives. You must make your own independent decisions regarding any securities or financial instruments mentioned herein. You should consider whether an investment strategy or the purchase or sale of any structured product is appropriate for you in the light of your particular investment needs, objectives and financial circumstances.

If you are a registered representative or a financial professional and would like additional information about the offerings above, please contact Private Investor Products North America at 866-PIP-IDEA (866-747-4332).

The Royal Bank of Scotland N.V. (“RBS N.V.”) and its affiliates have each filed a registration statement (including a prospectus) with the United States Securities and Exchange Commission (the “SEC”) for the offering of each of the individual securities that are issued by RBS N.V. and guaranteed by RBS Holdings N.V. (“RBS Holdings”) or issued and guaranteed by any affiliates of RBS N.V. Before you invest in any such securities referenced on this website, you should read the prospectus in the relevant registration statement and other documents that have been filed with the SEC for more complete information about RBS N.V. or any of its affiliates, RBS Holdings and the offering of the securities. You may get these documents for free by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively, RBS N.V. or any of its affiliates, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll free (888) 644-2048.

SEC LEGEND

RISKS

Transactions and securities of the type described in this website may involve a high degree of risk, and the value of such transactions and securities may be highly volatile. Such risks include, without limitation, risk of adverse or unanticipated market developments, risk of issuer default and liquidity. In certain transactions investors may lose their entire investment or incur an unlimited loss. This brief statement does not disclose all of the risks and other significant aspects in connection with transactions and securities of the type described in this website, and you should ensure that you fully understand the terms of any transaction or security, including the relevant risk factors, and any legal, tax and accounting considerations applicable to such transaction or security, prior to transacting or investing. Investors should carefully review “Certain Risk Considerations” on this website and the specific risks contained under the heading “Risk Factors” in the applicable pricing supplement posted on this website as well as under “Risk Factors” in the product or underlying supplement and the prospectus supplement which accompany the pricing supplement. The transactions and securities of the type described in this website are not suitable for all investors. The securities described on this website are not available for sale in all jurisdictions, including those jurisdictions in which an offer or sale of such securities is unlawful. To the extent any offering document or other materials on this website displays a credit rating, that credit rating reflects the creditworthiness of the particular issuer or any guarantor and is not a recommendation to buy, sell or hold securities, and such credit rating may be subject to revision or withdrawal at any time by the assigning rating organization. Each rating should be evaluated independently of any other rating. The creditworthiness of the issuer or any guarantor does not affect or enhance the likely performance of the investment other than the ability of the issuer or any guarantor to meet its obligations.

Certain Risk Considerations

** From close of business yesterday

Download Prospectus (867 KB)

Download Factsheet (154 KB)

“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.

Returns (as of market close 4/30/2013)

The returns indicated below reflect the percentage change through the end of the previous calendar month in the closing level of the index, the daily redemption value or the ETN market price, as applicable, from the beginning of the relevant period (e.g., 1 mo., 3 mos., 6 mos. prior, as the case may be).The Index performance information below does not include the annual investor fee or any transaction costs or expenses. None of the information below should be taken as any indication of the future performance of the Index or the ETNs.

	1 mo.	3 mo.	6 mo.	YTD	1 Yr.	Since Inception
Index	-9.13%	-14.74%	-11.32%	-11.33%	-25.67%	-17.53%
Redemption Value	-9.19%	-14.92%	-11.56%	-11.59%	-26.27%	-18.64%
ETN Market Return	-8.27%	-15.09%	-11.75%	-11.66%	-26.23%	-18.76%

Source: Bloomberg

All Return information presented above is updated once a month and is presented as of the end of previous calendar month.

“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 pay interest. Any payment on the RBS ETNs is subject to the ability of The Royal Bank of Scotland plc (RBS plc), as the issuer, and The Royal Bank of Scotland Group plc (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 each 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 relevant prospectus in that registration statement and other documents that have been filed 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 website at www.sec.gov. Alternatively, RBS plc, RBS Securities Inc. or any dealer participating in the offering will arrange to send you the prospectus and pricing supplement at no charge if you request it by calling 1-855-RBS-ETPS (toll free).

The Index and the Benchmark Index 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 CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

RBS Oil Trendpilot™ ETNTWTI

Disclaimer

Returns (as of market close 4/30/2013)

RBS Oil Trendpilot™ ETN
TWTI