This information is intended for investment professionals only and should not be provided to or relied upon by retail investors in any circumstances. Investment Guide for Income Builder December 2011 www.gilliat.co.uk Factsheet Dual Defensive Autocallable Notes July 2012 Potential returns of up to 11.5% gross p.a. linked to two well known stockmarket indices This document should be read in conjunction with the Issuer s terms and Issuer s base prospectus which is available to investment professionals at www.gilliat.co.uk About the Investment Opportunity: The Dual Defensive Autocallable Notes (the Notes ) are linked to the performance of the FTSE 100 and S&P 500 Indices and have the potential to mature early from the end of year one. The Notes offer a choice of two investment options designed for investors with either a neutral or mildly bullish view of the Underlying Indices who are seeking potential defined returns in exchange for accepting the risk of capital loss if one or more of the stockmarket indices fall by more than 40% over the Note s term. Product Summary & Availability: Note Style Note Issuer Autocallable (or kick out ) The Royal Bank of Scotland plc Source: Bloomberg, 1 June 2012 Fitch Moody s S&P A, Stable Outlook A2, Rating under review - down A, Stable Outlook Note Term Underlying Indices Investment Options Potential Early Maturity Maturity Payment Capital Repayment Strike Date and Subscription Close Date ISINs 5 years with Early Maturity possible from end of first year. Linked to the performance of the FTSE 100 and S&P 500 Indices. Option 1 = 100% Reference Level Option 2 = 95% Reference Level The Note matures early if both of the Underlying Indices are equal to or above the relevant Reference Level on a Valuation Date (excluding the Final Valuation Date), paying back capital plus Maturity Payment. Potential Maturity Payment if both Underlying Indices are equal to or above the relevant Reference Level on any Valuation Date of: 11.5% for option 1 for each year the product is held 9.5% for option 2 for each year the product is held Not capital protected. If either of the Underlying Indices are below 60% of their Strike Level on the Final Valuation Date or the Issuer fails (e.g. becomes insolvent, bankrupt or goes into administration) there will be a loss of capital. 27 July 2012 Option 1 (100% Reference Level): XS0727154469, Option 2 (95% Reference Level): XS0727154113 Available until 27 July 2012 for investment via offshore portfolio bonds and fund platform arrangements; minimum subscription per counterparty is USD 150,000. The terms detailed in this Factsheet are net of all product related fees and charges. Key Benefits Offers the potential for Early Maturity depending on the level of the Underlying Indices. No growth required in the Underlying Indices to achieve the Maturity Payment. Capital is protected from market falls unless one or both of the Underlying Indices are below 60% of their Strike Level on the Final Valuation Date. Key Risks In the event that the Issuer fails, all capital may be lost and there may be no Maturity Payment. If either of the Underlying Indices are below 60% of their Strike Level on the Final Valuation Date, capital invested will be at risk. The terms detailed in this document apply only if the Note is held until maturity (or Early Maturity if applicable) and opting to exit early may mean capital invested is substantially reduced. www.gilliat.co.uk Information correct as at 7 June 2012 1
This information is intended for investment professionals only and should not be provided to or relied upon by retail investors in any circumstances. About the Underlyings: The FTSE 100 Index The FTSE 100 Index is a market capitalisation weighted index representing the performance of the 100 largest UK domiciled blue chip companies, which pass screening for size and liquidity and whose shares are traded on the London Stock Exchange. The Index represents approximately 84.35% of the UK s market capitalisation (as at 30 June 2011) and is often used as the basis for investment products, such as funds, derivatives and exchange traded funds. The S&P 500 Index The S&P 500 has been widely regarded as the best single gauge of the large cap U.S. equities market since the index was first published in 1957. The index includes 500 leading companies in leading industries of the U.S. economy, capturing 75% coverage of U.S. equities. Bloomberg Ticker: SPX <Index> Bloomberg Ticker: UKX <Index> Underlyings FTSE 100 (1984 to present) 8000 7000 6000 5000 Level 4000 3000 2000 1000 0 1984 1988 1992 1996 2000 2004 2008 2012 Date S&P 500 (1984 to present) 1800 1600 1400 1200 Level 1000 800 600 400 200 0 1984 1988 1992 1996 2000 2004 2008 2012 Date Source: Bloomberg, 1 June 2012, price excluding dividends. Past performance is no guarantee or indication of future performance. 2 Information correct as at 7 June 2012 www.gilliat.co.uk
This information is intended for investment professionals only and should not be provided to or relied upon by retail investors in any circumstances. How the Notes Work: On the Strike Date Closing levels of the Underlying Indices are recorded to give the Strike Levels On each Valuation Date (at the end of years one, two, three and four): Are both of the Underlying Indices equal to or above the relevant Reference Level? NO Product continues to next Valuation Date YES Early Maturity occurs. 100% of investment capital returned plus Maturity Payment of (MP x number of years product held) initial investment MP indicates Maturity Payment for the selected Note. The payment levels for MP are defined, on pages 1 and 4 of this Factsheet. On the Final Valuation Date, if Early Maturity has not occurred Are both of the Underlying Indices equal to or above the relevant Reference Level? NO YES 100% of investment capital returned plus Maturity Payment of (MP x number of years product held) initial investment Are both of the Underlying Indices equal to or above 60% of their Strike Levels? YES Investment capital is returned in full (no Maturity Payment) NO Investment capital is reduced by the same percentage that the worse performing Underlying Index is below its Strike Level www.gilliat.co.uk Information correct as at 7 June 2012 3
This information is intended for investment professionals only and should not be provided to retail investors in any circumstances. Product Information Note Type: Issuer: Underlying Indices: Term: Investment Options: Reference Level: Potential Early Maturity (EM): Maturity Payment Strike Date and Subscription Close Date: Strike Level: Valuation Date(s): Autocallable The Royal Bank of Scotland plc FTSE 100 and S&P 500 Indices Maximum of 5 years with Early Maturity possible from end of year one. Option 1 = 100% Reference Level Option 2 = 95% Reference Level Level required for a Maturity Payment to occur. Expressed as a percentage of the Strike Level. Occurs if both of the Underlying Indices are equal to or above the relevant Reference Level on a Valuation Date (excluding the Final Valuation Date) paying back capital plus a Maturity Payment. Potential Maturity Payment if both Underlying Indices are equal to or above the relevant Reference Level on any Valuation Date of: 11.5% for option 1 for each year the product is held 9.5% for option 2 for each year the product is held Any Maturity Payment will be paid 5 trading days after the relevant Valuation Date 27 July 2012 The closing level of each Underlying Index on the Strike Date. The dates on which the closing levels of each Underlying Index are recorded to ascertain whether Early Maturity occurs. 29 July 2013 28 July 2014 27 July 2015 27 July 2016 Final Valuation Date: The final date on which the closing levels of the Underlying Indices are recorded. This is 27 July 2017 Final Maturity Date: If Note does not mature early, 3 August 2017 Linked to the performance of the Underlying Indices. If one or both of the Underlying Indices are Capital Protection: below 60% of their Strike Level on the Final Valuation Date, the amount of capital returned will be reduced by the same percentage. This feature does not protect investors from the credit risk of the Issuer. Currency: USD Issue Price: 100% ISINs: Option 1 (100% Reference Level): XS0727154469 Option 2 (95% Reference Level): XS0727154113 It is possible for all capital to be lost and for no Maturity Payment to be made. Risks If on the Final Valuation Date either of the Underlying Indices are below 60% of their Strike Level, capital is at risk and some or all of the amount initially invested will be lost. Investors will be exposed to the credit risk of the Issuer. If the Issuer fails, investors may lose some or all of their initial investment and may not receive any Maturity Payment, regardless of how the Underlying Indices perform. The potential Maturity Payment and the return of capital are both linked to the performance of the Underlying Indices. These Notes are not listed on any stock exchange. Any secondary market provided by the Issuer is subject to change and may be stopped without notice. It may therefore not be possible to redeem the Notes prior to the Final Valuation Date. If the Notes are redeemed early, the amount returned may be significantly less than that originally invested. The Notes do not pay interest. The only form of returns is the potential Maturity Payment along with the return of capital invested. 4 Information correct as at 7 June 2012 www.gilliat.co.uk
This information is intended for investment professionals only and should not be provided to retail investors in any circumstances. Factsheet Investment Dual Guide Defensive for Income Autocallable Builder Notes December July 2011 2012 Who are Gilliat Financial Solutions? Gilliat Financial Solutions are an independent specialist in the design and distribution of structured products and structured deposits. Gilliat was launched in June 2009 as a trading name of Arbuthnot Latham, a private bank based in the City of London which can trace its name back to 1833. Arbuthnot Latham is authorised and regulated by the Financial Services Authority, number 143336. We are the only independent provider with the strength, support and stability of an established UK bank behind it. This independence means we are not tied to a particular counterparty and can work with almost any bank which meets our strict selection criteria, resulting in highly competitive products. We pride ourselves not only on our innovative approach to product design, but also on the quality and diversity of our research. Research is pivotal to everything we do at Gilliat and we build products based on these in depth studies and make the information we use freely and readily available to you. As a business, structured products and structured deposits are our sole focus. Our three directors have over 25 years experience in the creation and distribution of these products and over 61 years in the wider financial services industry. Important Information: This document has been issued by Gilliat Financial Solutions ( Gilliat ), a trading name of Arbuthnot Latham & Co., Limited who are authorised and regulated in the UK by the Financial Services Authority, number 143336. This document is not a term sheet and has been prepared solely for information purposes. It is not an offer or solicitation to buy or sell the Note and any investment decision should be made in conjunction with the Issuer s final terms for the Note and base prospectus. The information contained within is believed to be reliable, please note however that there may be a difference in the naming convention of certain defined terms between this document and the Issuer s final terms of the Note and base prospectus. This document is intended solely for investment professionals. Prior to any investment, advisers must ensure that investors fully understand the potential risks and return of the transaction and have assessed its suitability for their client. Gilliat does not offer investment or tax advice. This document is reflective of the terms under which Gilliat believes an issuance of securities will be structured. However, no assurance can be given that such issuance will in fact go ahead and the issuer is not obliged to issue such securities. This investment is not available to any US persons and must not be offered in the United States. This Note is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange, index sponsor or investment fund provider, who make no warranty or representation whatsoever, express or implied, either as to the results to be obtained from the use of the relevant stock market and/or the figure at which the relevant stock market, relevant index, related exchange or investment fund level stands at any particular time on any particular day or otherwise. They shall not be liable for any error in the relevant stock market, relevant index, related exchange, or relevant investment fund and shall not be under any obligation to advise any person of any error therein. The issue price of the securities may not be an accurate reflection of the market value of such securities as at the strike date. The price at which the securities may be sold in secondary market transactions may be lower than the issue price and the issue price may take into account, amongst other things, the distribution fee payable to any appointed distributor of the securities with respect to the offer and sale of the securities. Disclaimer: FTSE 100 This product is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ( FTSE ) or by The London Stock Exchange Limited (the Exchange ) or by The Financial Times Limited ( FT ) and neither FTSE nor the Exchange nor FT makes any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 Index ( the Index ) and/or the figure at which the said Index stands at any particular time on any particular day or otherwise. www.gilliat.co.uk Information correct as at 7 June 2012 5
This information is intended for investment professionals only and should not be provided to retail investors in any circumstances. The FTSE 100 Index is compiled and calculated solely by FTSE. However, neither FTSE nor the Exchange nor FT shall be liable (whether in negligence or otherwise) to any person for any error in the Index and neither FTSE nor the Exchange nor FT shall be under any obligation to advise any person of any error therein. FTSE and Footsie are trademarks of London Stock Exchange Limited and the Financial Times Limited and are used by FTSE International Limited under licence. Source: FTSE.co.uk Disclaimer: S&P 500 The Dual Defensive Autocallable Notes July 2012 is not sponsored, endorsed, sold or promoted by Standard & Poor s ( S&P ) or its third party licensors. Neither S&P nor its third party licensors makes any representation or warranty, express or implied, to the owners of the Dual Defensive Autocallable Notes July 2012 or any member of the public regarding the advisability of investing in securities generally or in the Dual Defensive Autocallable Notes July 2012 particularly or the ability of the S&P 500 (the Index ) to track general stock market performance. S&P s and its third party licensor s only relationship to the Issuer is the licensing of certain trademarks and trade names of S&P and the third party licensors and of the Index which is determined, composed and calculated by S&P or its third party licensors without regard to the Issuer or Dual Defensive Autocallable Notes July 2012. S&P and its third party licensors have no obligation to take the needs of the Issuer or the owners of the Dual Defensive Autocallable Notes July 2012 into consideration in determining, composing or calculating the Index. Neither S&P nor its third party licensors is responsible for and has not participated in the determination of the prices and amount of the Dual Defensive Autocallable Notes July 2012 or the timing of the issuance or sale of the Dual Defensive Autocallable Notes July 2012 or in the determination or calculation of the equation by which the Dual Defensive Autocallable Notes July 2012 is to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the Dual Defensive Autocallable Notes July 2012. NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. Source: www.standardandpoors.com September 2010 Gilliat Financial Solutions Arbuthnot House 20 Ropemaker Street London EC2Y 9AR Tel: +44 (0)20 7012 2803 Fax: +44 (0)20 7012 2828 Email: sales@gilliat.co.uk www.gilliat.co.uk Gilliat Financial Solutions June 2012 All rights reserved. No part of this publication may be reproduced, copied or distributed, other than by registered independent financial advisors in the course of their business, without the prior permission in writing of Gilliat Financial Solutions. Approved and issued by Gilliat Financial Solutions. Gilliat Financial Solutions is a trading name of Arbuthnot Latham & Co., Limited who are authorised and regulated by the Financial Services Authority, number 143336. DDANIG 7/2012 6 Information correct as at 7 June 2012 www.gilliat.co.uk