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RBS US Large Cap Alternator ETN™

The RBS US Large Cap Alternator ETNs™ are designed for investors who seek exposure to the RBS US Large Cap Alternator Index™ (USD) (the “Index”). The Index utilizes a systematic relative strength strategy to provide exposure to either the S&P 500® Total Return Index, the S&P 500® Low Volatility Total Return Index or the S&P 500® Equal Weight Total Return Index (each, an “Underlying Index”), depending at any given time on the relative performance of the Underlying Indices as measured by their Relative Strength Scores. A “Relative Strength Score” is assigned to each Underlying Index on the last Index business day of each calendar month that is not a disrupted day (a “determination date”) and is the simple average of the returns of that Underlying Index for the prior one-month, three-month, six-month, nine-month and twelve-month periods. The Index will track the return of the Underlying Index with the highest Relative Strength Score on any determination date, but not the other two Underlying Indices, for the following month.
Product Facts
Product typeExchange Traded Note (ETN)
Underlying Index ReferenceS&P 500 Total Return
Exchange nameNYSE Arca
Daily Redemption Value$ 36.2743
Shares Outstanding160,000
Issue Size (USD 000's)$ 5,931
Annual Investor Fee when Tracking Cash Rate1.00 %
Annual Investor Fees1.00%
Inception Date08/30/12
Last Update6/30/2015 2:00:00 AM
UnderlyingRBS US Large Cap Alternator Index
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.
“Underlying Index Reference" refers to which Underlying Index had the highest Relative Strength Score on the most recent determination date, and therefore, which Underlying Index the Index is currently tracking.
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 S&P 500® Index or any Underlying Index. 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 The Royal Bank of Scotland plc (“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 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 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 website at 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).

The RBS US Large Cap Alternator Index™ (USD) is the property of RBS plc (the “Index Sponsor”), which has contracted with S&P Opco, LLC, a subsidiary of S&P Dow Jones Indices LLC (“S&P Dow Jones Indices”) to maintain and calculate the Index. The S&P 500® Index, S&P 500 Low Volatility Index® and S&P 500® Equal Weight Index™ (including the total return versions) are the exclusive property of S&P Dow Jones Indices and have been licensed for use by the Index Sponsor in connection with the Index. S&P Dow Jones Indices, its affiliates and their third party licensors shall have no liability for any errors or omissions in calculating the Index. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed to S&P Dow Jones Indices. S&P®, S&P 500®, S&P 500 Low Volatility Index®, S&P 500® Equal Weight Index™ and S&P 500® EWI™ are trademarks of SPFS and together with the “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) have been licensed for use by the Index Sponsor.