EM Autocall Accelerator

Transcription

1 EM Autocall Accelerator The EM Autocall Accelerator (the Certificate ) offers you the potential to receive a fixed return of 20% (gross) plus the return of the Issue Price after two years as long as the MSCI Emerging Markets Index (the Index ) is at or above its Starting Index Level on the Early Maturity Date in However, if on the Early Maturity Date the Index is below the Starting Index Level, the Certificate will continue and you will then have the opportunity to receive a proportion of the Issue Price equal to 1.5 times any rise in the level of the Index from its Starting Index Level to its Final Index Level (as described below) in The return of the Issue Price is also dependent on the performance of the Index. Product information Classification Index-linked Certificate Issuer The Royal Bank of Scotland plc ( RBS ) Underlying MSCI Emerging Markets Index Start Date 15 November 2010 Issue Date 16 November 2010 Early Maturity Date 15 November 2012 Early Payment Date 22 November 2012 Valuation Period From and including the Start Date to and including 23 October 2015 Final Valuation Date 23 November 2015 Final Payment Date 1 December 2015 Starting Index Level % of the Starting Index Level Fees RBS may pay a fee of up to 3.00% of the Issue Price to third party distributors. This fee is already taken into account in the terms of the Certificate and does not impact on the potential returns described in this document Issue Price 100 per Certificate Participation 150% (1.5 times any rise in the level of the Index) Final Index Level The average of the closing levels of the Index on each Business Day during the Averaging Period Averaging Period From and including 26 October 2015 to and including Final Valuation Date Minimum trade size One Certificate Currency Pounds Sterling Settlement Cash settlement only Pricing Information Daily, real time Product Code RS14 Sedol Code B5SJ1C2 ISIN GB00B5SJ1C27 Speak to us If you would like to learn more about RBS Listed Products, our team can help you. Please do not hesitate to contact us. To find out more Call or visit rbs.co.uk/markets 1

2 Key features Potential fixed return of 20% of the Issue Price (gross) (plus the return of the Issue Price) after two years or 1.5 times any rise in the MSCI Emerging Markets Index between the Starting Index Level and the Final Index Level at maturity. The Final Index Level is the average of the closing level of the Index in the month leading up to and including the Final Valuation Date You will receive back the Issue Price on the Final Payment Date as long as the closing level of the Index has never fallen to a level that is more than 40% below the Starting Index Level, i.e. has never fallen below 60% of the Starting Index Level, subject to the risks described below Key risks Your capital will be at risk if the Index has ever fallen by more than 40% below its Starting Index Level during the term of the investment, and does not recover to at least its Starting Index Level by the Final Valuation Date. In this case, you will receive the Issue Price reduced by the same percentage as that by which the Final Index Level is below the Starting Index Level. This means you could lose some or all of your investment If RBS defaults or goes bankrupt, you may lose some or all of your investment and you will not be entitled to compensation under the UK Financial Services Compensation Scheme The market price of the Certificates may rise and fall during their life. If you sell your Certificates before they mature you may get back significantly less than you invested Additional risks and considerations which you should take into account before deciding whether to invest in the Certificates are summarised on page 5 below How the investment return is calculated On the Early Maturity Date, after two years On the Start Date, RBS will record the closing level of the MSCI Emerging Markets Index. This gives the Starting Index Level. On the Early Maturity Date, RBS will compare the closing level of the Index to its Starting Index Level. If the closing level is at or above the Starting Index Level then the Certificate will automatically mature early and, you will receive a fixed return of 20% gross plus the return of the Issue Price, subject to the risks described above and on page 5. However, if the closing level of the Index on the Early Maturity Date after two years is less than the Starting Index Level no payment will be made at this time and the Certificate will continue until the Final Valuation Date. On the Final Valuation Date If the Certificate has not matured early on the Early Maturity Date, there are two potential outcomes on the Final Valuation Date. The use of averaging for the Final Index Level The Final Index Level is calculated as the average of the closing Index levels every day over the last month of the Certificate. Whilst the use of averaging may protect your returns against sudden falls in the Index level at the end of the term, it may also constrain your return in a rising market. You should be aware that the returns you achieve with the use of averaging may be less than returns calculated based on the Index s closing level on the Final Valuation Date only. Important terms Starting Index Level closing level of the MSCI Emerging Markets Index on the Start Date of the Certificate. Early Maturity Date the date on which RBS will observe whether or not the fixed return should be paid and if the Certificate should mature early. Early Payment Date the date on which you will receive any potential return if the Certificate matures early. Final Valuation Date this is the date on which RBS will observe the level of the Index over the Averaging Period to determine what you should be paid. Averaging Period the period during which RBS will calculate the Final Index Level using the closing level of the Index every day over the last month of the Certificate. Final Payment Date this is the date on which you will receive any returns. Final Index Level the average of the Index on each Business Day during the Averaging Period. 2

3 Outcome 1: If the Index has never fallen by more than 40% during the term of the Certificate If the Final Index Level is greater than or equal to the Starting Index Level and the Index has never fallen to a level that is more than 40% below the Starting Index Level during the term of the Certificate, you will receive a return equal to 1.5 times the rise in the Index plus the Issue Price of 100. For example, if the Final Index Level is 10% greater than the Starting Index Level, you will receive a return of 15% (gross) of the Issue Price, plus the Issue Price of 100. In this case, a total of 115 per Certificate held on the Final Valuation Date, subject to the risks described in this factsheet. If the Final Index Level is below the Starting Index Level, but the Index has never fallen to a level that is more than 40% below the Starting Index Level during the term of the Certificate, you will receive back the Issue Price, 100 per Certificate held. Outcome 2: If the Index has fallen by more than 40% during the term of the Certificate If the Final Index Level is greater than or equal to the Starting Index Level but the Index has fallen to a level that is more than 40% below the Starting Index Level at any point during the term of the Certificate, you will receive a return equal to the percentage rise in the Index, measured by comparing the Final Index Level to the Starting Index Level. You will also receive Issue Price of 100 for each Certificate held. For example, if the Final Index Level is 10% greater than the Starting Index Level, you will receive a return of 10% of the Issue Price, plus the return of the Issue Price of 100. In this case, a total of 110 (gross) per Certificate held on the Final Payment Date would be returned after five years, subject to the risks described in this factsheet. If the Final Index Level is below the Starting Index Level and the Index has fallen to a level that is more than 40% below the Starting Index Level at any point during the term of the Certificate your investment will be at risk. In this case, you will receive back the Issue Price reduced by the same percentage as that by which the Final Index Level is below the Starting Index Level. For example, if the Final Index Level is 50% of the Starting Index Level, you will receive on the Final Payment Date an amount that is equal to 50% of the Issue Price, subject to the risks described in this factsheet. In this case, a total of 50 per Certificate held on the Final Payment Date would be returned after five years. Therefore, you will lose some or all of your investment. Illustration of potential returns on the Final Payment Date The examples below illustrate the potential returns you could receive on the Final Payment Date in a range of circumstances; it is not a prediction of what will happen or of the limits of the Index s movements. The examples assume that the Certificate has not matured early and are based on an initial investment of 10,000 with returns gross of tax. Difference in the Final Index Level from the Starting Index Level Total return at maturity assuming the Index closes at or above 60% of its Starting Index Level during the Observation Period (including the return of the Issue Price) Total return at maturity assuming the Index has closed below 60% of its Starting Index Level during the Observation Period (including the return of the Issue Price) +50% 17,500 15, % 13,750 12, % 11,500 11,000 0% 10,000 10,000-25% 10,000 7,500-50% N/A 5, % N/A 5,000 3

4 MSCI Emerging Markets Index performance Index Level May 2007 Source: Bloomberg, 30 May May May May May May 2012 MSCI Emerging Markets Price Index Level Starting Index Level 60% of Starting Index Level Note: The information above refers to past performance and past performance should not be used as an indicator of future performance. How to trade The EM Autocall Accelerator is listed on the LSE and can be traded like a share on any trading day through your stockbroker. The certificates have an indicative 1% bid/ask spread under normal market conditions (subject to the risks described below) and the minimum trade size is one certificate. About the Index The MSCI Emerging Markets Price Index is a free float-adjusted market capitalisation index that is designed to measure equity market performance of emerging markets. As of 30 May 2011 the MSCI Emerging Markets Price Index consisted of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Market capitalisation is calculated by multiplying the number of shares of a particular company by the current share price. Source: Please note that the underlying index is quoted in US Dollar and that this is a price index which means that dividend payments are not included in the calculation of the index. Eligibility The EM Autocall Accelerator can be held as a direct investment or in a Self Invested Personal Pension ( SIPP ) or Small Self Administered Scheme ( SSAS ) pension wrapper, or in the stocks and shares component of an Individual Savings Account ( ISA ) (provided the remaining life of the Certificate is greater than five years at the time of purchase). As the remaining life of the Certificate as at the date of publication of this factsheet is less than five years, if purchased now, it would not be eligible to be held in a stocks and shares ISA. The Issue Price All of the stated returns are based on the Issue Price of 100. This means that regardless of how much you paid for the Certificate, any potential return, and the return of the Issue Price on the Maturity Date in certain circumstances, will still be based on 100 per unit held. For example, if you purchase the Certificate after the Issue Date for 110, and the Certificate matures early in 2012, you would receive a return of 20 (gross) per Certificate held plus the Issue Price of 100, for a total payout of 120 (gross). 4

5 Further risks and considerations In addition to the key risks summarised on page 2 above, you should consider the following before deciding whether to invest in the Certificates: The return from the Certificate is dependent on the performance of the MSCI Emerging Markets Index. However, any returns may not reflect the actual performance of the Index over the life of the Certificate. The Index may perform better than the return from the Certificate but you will not take part in this performance. If you do not receive a fixed return, or any return you receive is not equal to or above the rate of inflation over the life of the Certificate the real value of your investment will fall as your money will buy you less than it would have done when you invested it. Your money is not directly invested in the Index but is invested in a Certificate that is an unsecured debt obligation of RBS, the value of which is calculated by reference to the value of the MSCI Emerging Markets Index. The price of the Certificate does not include the value of any dividends that would be paid on the underlying shares if you invested directly in them. Subject to any technical problems, RBS will endeavour to offer a secondary market in line with London Stock Exchange rules and market making obligations. RBS may be the only market maker in the EM Autocall Accelerator which may affect liquidity. RBS is entitled to adjust the terms of the Certificates, determine the level of the MSCI Emerging Markets Index from another source or in another manner, delay the Final Payment Date, Early Payment Date, Early Maturity Date, Final Valuation Date or any other date on which the level of the Index is to be determined, in respect of the Certificates or redeem the Certificates early at their fair market value (which may be less than the Issue Price) in certain circumstances, for example if the closing level of the Index cannot be determined on a particular day due to a suspension or limitation of trading or other disruption to trading or early closure of the London Stock Exchange or any other exchange where RBS considers trading has a material effect on the overall market for financial instruments in relation to the Index. Your investment is different from having a bank deposit with RBS in that, if RBS fails to pay you what it owes you, you will not be entitled to obtain compensation under the UK Financial Services Compensation Scheme. Any tax comments contained within this document are indicative only and are based on RBS understanding of current law and practice. These comments are not intended to be, nor should they be regarded as, legal or tax advice. The precise tax treatment of a holder of the Certificate will depend on the holder s individual circumstances and on the applicable terms of the Certificate under the law and practice at the relevant time. Prospective investors in the Certificate should consult their own tax advisers to obtain advice about their particular tax treatment in relation to their holding such Certificate. The tax treatment of the Certificates can be complex and the level and basis of taxation may change during the life of the Certificate. All amounts are shown on a gross basis, before any tax. The certificate is linked to emerging market equities which typically carry a higher level of risks than developed market equities. Such emerging market equities may be more volatile than developed market equities which may mean there is a greater risk that the Index will fall by more than 40% (i.e. below 60%) of the Starting Index Level during the life of the Certificate. Before you invest in this product, you must ensure that you fully understand the potential risks and return of this and/or any related transaction and determine it is appropriate for you given your objectives, experience, financial and operational resources and other relevant circumstances. If you have any doubts about this product, you should consult with a financial adviser. A prospectus has been prepared and made available to the public. You should not invest in this product except on the basis of the information contained in the prospectus. You may obtain copies of the prospectus on the RBS website, the London Stock Exchange website and in hard copy from us. 5

6 rbs.co.uk/markets This document is issued and approved by The Royal Bank of Scotland plc ( RBS ) for the purposes of section 21 of the Financial Services and Markets Act 2000 ( FSMA ). This document is an advertisement and is not a prospectus for the purposes of EU Directive 2010/73/EU (the Directive ) and/or Part VI of the FSMA. A prospectus has been prepared and made available to the public in accordance with the Directive. You should not subscribe for any securities referred to in this document except on the basis of the information contained in the prospectus. You may obtain copies of the prospectus on the website of the London Stock Exchange and in hard copy at the offices of the issuer. The contents of this document are indicative and subject to change without notice. This document is intended for your sole use on the basis that before entering into this or any related transaction you will ensure that you fully understand the potential risks and return of this and/or any related transaction and determine it is appropriate for you given your objectives, experience, financial and operational resources and other relevant circumstances. You should consult with such advisers as you deem necessary to assist you in making these determinations. RBS will not act and has not acted as your legal, tax, accounting or investment adviser nor does it owe any fiduciary duties to you in connection with this or any related transaction and no reliance may be placed on RBS for advice or recommendations of any sort. RBS makes no representations or warranties with respect to information contained herein which is sourced from third parties, and disclaims all liability for any use your advisers make of the contents of this document when providing advice to you. This document is connected to financial instruments and you should be aware that such instruments can provide significant benefits but may also involve a variety of significant risks. All financial instruments involve risks which include (amongst other risks) the risk of adverse or unanticipated market, financial or political developments, risks relating to the counterparty, liquidity risk and other risks of a complex character. In the event that such risks arise, substantial costs and/or losses may be incurred and operational risks may arise in the event that appropriate internal systems and controls are not in place to manage such risks. RBS and its affiliates, connected companies, employees or clients may have an interest in financial instruments of the type described in this document and/or in related financial instruments. Such interest may include dealing, trading, holding or acting as market-makers in such instruments and may include providing banking, credit and other financial services to any company or issuer of securities or financial instruments referred to herein. Securities linked to an index are not in any way sponsored, sold or promoted by any relevant index provider and they make no representation or warranty whatsoever express or implied as to the results to be obtained from the use of the index in connection with the relevant securities. They shall not be liable (whether in negligence or otherwise) to any person for any error in the relevant index and shall not be under any obligation to advise any person of any error therein. The Royal Bank of Scotland plc. Registered in Scotland No Registered Office: 36 St Andrew Square, Edinburgh EH2 2YB. RBS is authorised and regulated in the UK by the Financial Services Authority. The financial instruments described in the document are made in compliance with an applicable exemption from the registration requirements of the US Securities Act of The Royal Bank of Scotland plc is an authorised agent of The Royal Bank of Scotland N.V. in certain jurisdictions The Royal Bank of Scotland plc. All rights, save as expressly granted, are reserved. The DAISY Device logo, RBS, BUILDING TOMORROW and THE ROYAL BANK OF SCOTLAND are trade marks of The Royal Bank of Scotland Group plc. This communication is for the use of intended recipients only and the contents may not be reproduced, redistributed, or copied in whole or in part for any purpose without The Royal Bank of Scotland plc s prior express consent. Published: July 2012 [TAL] 6