By Marisa Wong
Madison, Wis., Aug. 31 - Royal Bank of Scotland plc priced $100 million of 0% RBS US Large Cap Alternator exchange-traded notes due Sept. 5, 2042 linked to the RBS US Large Cap Alternator index, according to a 424B5 filing with the Securities and Exchange Commission.
The issuer said it plans to issue $4 million of the ETNs at par on the initial settlement date. The remaining notes will be sold from time to time at various prices.
The notes, which have a face amount of $25 each, are callable and putable. Holders who wish to exercise the put option must put back at least 20,000 notes.
The payout at maturity or upon redemption will be the daily redemption value on the valuation date.
The daily redemption value on the pricing date is $25. On each subsequent day, it is equal to the daily redemption value on the preceding day multiplied by the index factor - the index closing level on that day divided by the index closing level on the previous day - and minus the investor fee, which is 1% per year.
The index provides exposure to 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, depending on the relative performance of the underlying indexes.
The Alternator tracks the return of the underlying index with the highest relative strength score on any monthly determination date but not the other two underlying indexes. Rebalancing occurs monthly.
The relative strength score is the average of the returns of an underlying index for the prior one-, three-, six-, nine- and 12-month periods.
As of Aug. 30, the index tracks the S&P 500 Low Volatility index.
The notes are listed on NYSE Arca under the symbol "ALTL."
RBS Securities Inc. is the agent. Pacer Financial, Inc. is marketing the notes. Both will receive a portion of the investor fee.
| Issuer: | Royal Bank of Scotland plc
|
| Issue: | RBS US Large Cap Alternator exchange-traded notes
|
| Underlying index: | RBS US Large Cap Alternator index
|
| Amount: | $100 million
|
| Maturity: | Sept. 5, 2042
|
| Coupon: | 0%
|
| Price: | Par of $25
|
| Payout at maturity: | Cash amount equal to daily redemption value, which on any day equals the daily redemption value on the preceding day multiplied by the index factor and minus 1% annualized investor fee; daily redemption value is initially $25
|
| Index factor: | Index closing level on that day divided by index closing level on previous day
|
| Call option: | At any time
|
| Put option: | At any time, subject to a minimum of 20,000 notes
|
| Initial level: | 5,746.74
|
| Pricing date: | Aug. 30
|
| Settlement date: | Sept. 5 for $4 million
|
| Agent: | RBS Securities Inc.
|
| Listing: | NYSE Arca: ALTL
|
| Cusip: | 78009P168
|
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