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Historical Performance (%) -- as of 09/30/2012
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QUARTER-TO- YEAR-TO- ANNUALIZED ANNUALIZED ANNUALIZED SINCE RBS ETN INCEPTION
DATE (%) DATE (%) 1-YEAR (%) 3-YEAR (%) 5-YEAR (%) (1/25/11) (%)
--------------------------------------------------------- ----------- -------- ---------- ---------- ---------- -----------------------
RBS US Mid Cap Trendpilot[TM] ETN Daily Redemption Value(1) 5.18 7.44 7.31 -- -- -4.06
RBS US Mid Cap Trendpilot(TM) Index 5.44 8.22 8.22 -- -- -2.65
S & P MidCap 400([R]) Total Return Index (Benchmark Index) 5.44 13.77 28.54 14.33 3.83 9.82
S & P MidCap 400([R]) Index (Price Only) 5.03 12.50 26.59 12.70 2.25 7.12
Cash rate on 09/30/12 was 0.11% -- -- -- -- -- --
The table above presents the actual performance of the Index, the RBS ETNs, the
S & P 400([R]) Total Return Index (the Benchmark Index) and the S & P 400([R])
Index (Price Return) over the specified periods. It is not possible to invest
directly in an index. For information regarding the performance of the Index,
see pages PS-35 to PS-38 of the pricing supplement to the RBS ETNs filed with
the U.S. Securities and Exchange Commission (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.
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S & P MidCap 400([R]) Index Performance -- as of 09/30/2012
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[GRAPHIC OMITTED]
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S & P MidCap 400([R]) 1-Year Annual Return Comparison (%)(1)
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2000 2001 2002 2003 2004 2005 2006
----------------------------------------- ----- ------- ------ ----- ----- ------- -----
S & P MidCap 400([R]) Total Return Index 17.51 -0.60 -14.51 35.62 16.48 12.56 10.32
S & P MidCap 400([R]) Index (Price Only) 16.21 -1.64 -15.44 34.02 15.16 11.27 8.99
Cash Rate (Year-End) 5.70 1.71 1.19 0.89 2.23 3.91 4.88
2007 2008 2009 2010 2011 2012-Q3
--------------------------------------- ----- --------- ------ ----- ----- ------- -----
S & P MidCap 400([R]) Total Return Index 7.98 -36.23 37.38 26.64 -1.73 13.77
S & P MidCap 400([R]) Index (Price Only) 6.69 -37.28 35.00 24.85 -3.10 12.50
Cash Rate (Year-End) 3.31 0.05 0.11 0.18 0.03 0.11
(1) The table above does not reflect any Trendpilot[TM] Index performance. The
Trendpilot[TM] Index performance is not the same as the S & P MidCap 400([R]) Index
performance. The Trendpilot[TM] Index may underperform the S & P MidCap 400([R])
Index over various time periods, and may track the Cash Rate for extended
periods of time in a low interest rate envionment.
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 S & Pled 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 S & Pled 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).
US Mid Cap Trendpilot[TM] Index (USD) is the property of The Royal Bank of
Scotland plc, 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 MidCap 400([R]) Index is the exclusive property of S & P Dow Jones
Indices and have been licensed for use by RBSSI and its afS & Pliates in
connection with the RBS US Mid Cap Trendpilot[TM] Index (USD). S & P Dow Jones
Indices shall have no liability for any errors or omissions in calculating the
Index. S & P([R]) is a registered trademark of Standard & 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 & P Dow Jones Indices. "Standard & Poor's([R])", "S & P([R])" and "S & P MidCap
400([R])" are registered 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 RBSSI and its
afS & Pliates. The RBS US Mid Cap Trendpilot[TM] ETNs are not sponsored, endorsed,
sold or promoted by S & P Dow Jones Indices, SPFS, Dow Jones, their afS & Pliates or
their third party licensors, and neither S & P Dow Jones Indices, SPFS, Dow
Jones, their afS & Pliates or their third party licensors make any representation
regarding the advisability of investing in such RBS ETNs.
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 December 11, 2012
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