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Filed pursuant to Rule 433 | Registration Statement Nos. 333-162219,
333-162219-01, 333-162193 and 333-162193-01
Enhanced Participation Notes([TM])
Investor Products
RBS Enhanced Participation
Notes Risk/Reward Profiles
[GRAPHIC OMITTED] Enhanced Participation Notes[TM] ("EPNs") are
market-linked investments that seek to enhance
your exposure to market returns up to a stated
cap. EPNs are unsecured and unsubordinated
obligations of the RBS issuer that are linked to
broad market measures, such as the S and P 500
Index, or to specific assets, such as stocks,
currencies, commodities, or exchange traded fund
shares. If held to maturity, and if the linked
market measure appreciates, EPNs will pay a
specfied multiple (greater than 100% and up to
300%) of the return of the linked market measure,
up to the stated cap. Like all debt securities,
payments on EPNs are subject to the credit risk of
the issuing company--in this case, either The
Royal Bank of Scotland plc ("RBS plc") or The
Royal Bank of Scotland N.V. ("RBS NV"), as
specified in the applicable prospectus. However,
unlike conventional bonds, EPNs involve risk to
your principal invested if the linked market
measure declines in value. EPNs are generally
available in $1,000 increments with typical
maturities of between one and three years.
There are three broad categories of EPNs with
different levels of risk to principal at maturity.
The last page of this fact sheet contains a brief
summary of these categories. The following are
examples of hypothetical EPN terms to show the
return profiles of three EPN categories. EPNs are
registered with the Securities and Exchange
Commission ("SEC") and offered by means of a
prospectus specific to the relevant EPN offering.
Before buying any EPNs, you should read the
relevant prospectus for a detailed explanation of
the terms, risks, tax treatment and other relevant
information. We also urge you to consult your
accounting, legal and tax advisors before
investing. Hypothetical information below does not
reflect the terms of any actual EPN.
Category and Return Profile Level of Principal at Risk at Maturity Hypothetical Terms
--------------- ------------------------------------------------- ------------------- ------------
[graphic omitted] [] Full exposure to any decline in the Term: 24 months
linked market measure. Upside
[] At maturity, you will be exposed to Participation Rate: 300%
any decrease in the linked market Maximum Return: 25%
measure on a one-to-one basis.
Downside Exposure: Full
[] You may lose some or all of your principal
investment.
--------------- ------------------------------------------------- ------------------- ------------
EPNs WITH FIXED BUFFER [] Full exposure to any decline in the Term: 24 months
[graphic omitted] linked market measure beyond the Upside
fixed buffer. Participation Rate: 200%
[] At maturity, you will be exposed to Maximum Return: 20%
any decrease in the linked market
measure below the fixed buffer on Fixed Buffer: 10%
a one-to-one basis. Downside Exposure: Full exposure beyond the
fixed buffer (i.e., 90% of
[] You may lose some or a substan- principal invested at risk)
tial portion of your investment.
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Category and Return Profile Level of Principal at Risk at Maturity Hypothetical Terms
--------------- ------------------------------------------------- ------------------- ------------
EPNs WITH CONTINGENT BUFFER
[graphic omitted] [] Full exposure to any decline in the Term: 24 months
linked market measure if the market Upside
measure falls to or below the contin- Participation Rate: 200%
gent buffer level at any time during Maximum Return: 23%
the term of the EPNs.
Contingent Buffer: 30%
[] The contingent buffer offers protec-
tion at maturity against a decrease Knock-Out Event: Linked market measure falls to
in the linked market measure only if or below the contingent buffer
a Knock-Out Event does not occur. level at any time during the term
If a Knock-Out Event occurs, you of the EPNs.
will be exposed to any decrease in Downside Exposure: Full Exposure if a Knock-Out
the linked market measure on a one- Event occurs. No exposure if
to-one basis. a Knock-Out Event does not
[] You may lose some or all of your occur; in this case, the EPN will
investment. offer protection of your invested
principal at maturity against a
decline in the value of the linked
market measure.
Assuming the same maturity date and linked market
measure, EPNs without a buffer (i.e., full
exposure to any decline in the linked market
measure) tend to have greater upside potential
(i.e., higher upside participation rates and/or
stated caps) than those with a buffer. Similarly,
EPNs with a contingent buffer tend to have higher
upside participation rates and/or stated cap than
EPNs with a fixed buffer, assuming all other terms
are the same. Any payment on the EPNs remains
subject to the credit risk of RBS the issuer,
which will be either RBS plc or RBS NV, as
specified in the applicable prospectus.
What advantages do Enhanced
Participation Notes provide? Enhanced return, up to a cap. When EPNs mature,
you will be entitled to receive any increase in
the value of the linked market measure multiplied
by the participation rate, up to a stated cap. For
example, if the EPN that you buy promises to pay
you 200% of any increase in the value of the
linked market measure up to a stated cap of 25%,
then, if the value of the linked market measure
increases, you will receive at maturity twice the
return of the linked market measure subject to a
maximum return on the note of 25%. The enhanced
participation feature can help investors to
potentially outperform a direct investment in the
linked market measure in a moderately bullish
market environment, subject to a pre-determined
cap.
Reduce market downside exposure (only for EPNs
with a buffer).
[] For EPNs with a fixed buffer, regardless of
how the linked market measure performs, you
will be entitled to receive at least a
portion of the principal of the note back at
maturity, subject to the credit risk of the
issuer. The fixed buffer provides a modest
protection of your investment against a
decline in the value of the linked market
measure. For an EPN with a 10% buffer, the
linked market measure would have to decline
11% for you to experience a 1% loss, and 90%
of your principal is at risk if the linked
market measure falls to zero.
[] EPNs with a contingent buffer provide a
tactical cushion against a modest decline in
the value of the linked market measure only
if the linked market measure does not fall to
or below the level of the contingent buffer
at any time during the term of the EPN. If
the value of the linked market measure falls
to or below the level of the contingent
buffer at any time during the term of the
EPNs, you will be exposed to the full
decrease in the value of the linked market
measure with no cushion against any market
measure decline. In such an instance, you
will experience a 1% loss for every 1%
decline in the value of the linked market
measure, and you may lose some or all of your
investment.
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Asset diversification. EPNs can provide
exposure to a variety of market measures,
including some not readily available through
mutual funds or exchange traded funds.
However, all EPNs of the same issuer will
carry the same credit risk and, as such, will
not offer portfolio diversification from a
credit perspective.
Strategic investment solution for an overall
portfolio. EPNs offer investors a single
packaged solution, which are more readily
accessible to most investors than executing
complicated investment strategies. They can
play a strategic role as a portion of an
investment portfolio by offering the
potential for enhanced growth, up to a
specified limit, while providing a modest
protection against market declines in the
case of EPNs with a buffer. EPNs are not
meant to serve as the primary portion of any
investment portfolio. As with all
investments, you should carefully consider
the risk of asset and credit concentration of
EPNs in your portfolio.
What are some of the risks of
an investment in Enhanced
Participation Notes? Poor market performance. If the linked market
measure performs poorly, you could experience
lower returns than anticipated and may lose
some or all of your invested principal.
Lower returns. Because returns are limited by
a stated cap, if the linked market measure
performs well, your returns could be lower
than they would have been if you were
invested directly in that market measure. In
addition you will not receive any dividends,
interest payments or other distributions from
the linked market measure. Depending on the
performance of the linked market measure,
your EPNs may provide lower returns than
other bonds.
Limited liquidity. There may be little or no
secondary market for the EPNs, so you may not
be able to sell them prior to maturity. If
you are able to sell your EPNs, you may
receive less than you paid. You should be
willing and able to hold your EPNs until the
maturity date.
Credit risk. EPNs are unsecured and
unsubordinated obligations of the relevant
RBS issuer. If RBS plc or RBS NV, as
applicable, goes bankrupt or is unable to pay
its debts, you could lose your full
investment, even if the linked market measure
is performing well. The notes are unsecured
and not backed by FDIC insurance or any other
governmental support. Further, all EPNs of
the same issuing company carry the same
credit risk.
Tax consequences. Significant aspects of the
U.S. federal income tax treatment of the EPNs
are uncertain. You should consult your tax
advisor before investing.
See "Risk Factors" in the applicable
prospectus for more information.
What do I pay when I buy an
Enhanced Participation Note? EPNs are generally offered in new issue
offerings at $1,000 per note. Part of the
$1,000 you pay for each new issue EPN goes to
the broker selling you the investment.
Because the broker is paid a selling
commission for its EPN sales, the broker is
incentivized to sell you the EPN. This amount
will be disclosed to you on the cover of the
relevant prospectus. The $1,000 that you pay
for each new issue EPN will also include
hedging costs, principally reflecting a
profit component built into the price that
the RBS issuer may have paid to hedge its
obligations under the EPN. As a result of
these fees and costs, the value that you
might expect to receive if you were able to
resell your EPNs on the day that you purchase
them will be less than $1,000.
What is RBS' role in selling
Enhanced Participation Notes? The proceeds from the sale of EPNs will be
used for the RBS issuer's general corporate
purposes and, in part, by RBS plc, RBS NV or
its affiliates in connection with hedging the
issuer's obligations under the EPNs. RBS
Securities Inc., a U.S. broker-dealer, will
be paid an underwriting discount or selling
commission for EPNs offered through it. RBS
Securities Inc. and its affiliated companies
also expect to engage in trading, hedging and
investment activities related to the EPNs or
any of the linked market measures.
RBS Investor Products | 1-866-747-4332 | investor.products@rbs.com
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RBS Investor Products
RBS Investor Products are divided into four
broad categories depending on the level of
risk to your principal invested at maturity:
Protection, Fixed Buffer, Contingent Buffer
and Full Exposure. These broad categories are
intended to help you to first understand the
degree of your principal at risk at maturity,
before you consider the upside potential of
RBS Investor Products. The following
description is only an overview of the four
categories of RBS Investor Products, and does
not represent any particular security nor
guarantee performance. Capped EPNs are
available only in the Fixed Buffer,
Contingent Buffer or Full Exposure. Any
payment on the EPNs remains subject to the
credit risk of RBS plc or RBS NV, as
applicable, as the issuer of the EPNs, and
The Royal Bank of Scotland plc ("RBS Group")
or RBS Holdings N.V. ("RBS Holdings"), as
applicable, as guarantor of the issuer's
obligations under the EPNs.
Protection investments provide for full or
partial protection on your invested principal
at maturity against downside market
movements, subject to the creditworthiness of
the issuer and the guarantor. These
securities are designed for investors who
place a priority on the preservation of
principal at maturity, while potentially
offering better returns than traditional
fixed income investments. These securities
tend to have a longer term than securities
that do not offer protection, and principal
invested is not protected prior to maturity.
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Fixed Buffer investments provide a modest
buffer at maturity against downside market
movements. These securities are designed for
investors who seek potential growth or
income, and who also seek some cushion
against modest market declines up to a
specified buffer. You are exposed to the full
market decline in the underlying asset beyond
the specified buffer, and you can lose some
or a substantial portion of your investment.
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Contingent Buffer investments provide some
protection against downside market movements
only if the underlying asset does not fall to
or below a specified level during the term of
the securities. If the underlying asset falls
to or below this specified level, you are
exposed to the full market decline in the
underlying asset at maturity without any
cushion against downside market movements.
These investments are for more aggressive
investors who can tolerate full downside risk
but and the contingent buffer to be an
appealing form of tactical cushion. You can
lose some or all of your investment.
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Full Exposure investments expose investors to
full downside risk to any decline in the
underlying asset. These investments are meant
for investors who are willing to take full
market risk in return for either enhanced
appreciation or access to a unique underlying
asset or strategy. You can lose some or all
of your investment.
IMPORTANT NOTICE: RBS Group, RBS plc, RBS
Holdings and RBS NV (collectively, the "RBS
Entities") have each filed a registration
statement (including a prospectus) with the
Securities and Exchange Commission, or SEC,
for the offering to which this communication
relates. Before you invest, you should read
the prospectus in the relevant registration
statement and other documents, including the
applicable EPN product supplement, related to
this offering that has been filed with the
SEC for more complete information about the
RBS Entities and the offering of the
securities. You may get these documents
without cost by visiting EDGAR on the SEC
website at www.sec.gov. Alternatively, RBS
plc, RBS NV, any underwriter or any dealer
participating in this offering will arrange
to send you the prospectus and EPN product
supplement if you request by calling toll
free (866) 747-4332.
Dated May 11, 2011
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