RBS to price enhanced participation notes linked to BRIC currencies

By Angela McDaniels

Tacoma, Wash., Aug. 2 - Royal Bank of Scotland plc plans to price 0% enhanced participation notes with fixed buffer due Aug. 7, 2013 linked to the performance of a basket of currencies relative to the dollar, according to a 424B5 filing with the Securities and Exchange Commission.

The basket includes equal weights of the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi.

If the basket return is positive, the payout at maturity will be par plus 300% of the basket return. Investors will receive par if the basket declines by 15.25% or less and will lose 1% for every 1% that it declines beyond 15.25%.

The initial basket value will be 100. The final basket value will be the sum of the weighted returns of the basket currencies. Each currency's return will be the quotient of (a) its initial exchange rate - the number of units of that currency per dollar - minus its final exchange rate divided by (b) its initial exchange rate.

The issuer noted that the method of calculating the currency returns will diminish the effect on the basket of any currency that appreciates relative to the dollar and magnify the effect on the basket of any currency that depreciates relative to the dollar.

The notes (Cusip: 78009PBF7) are expected to price Aug. 3 and settle Aug. 8.

RBS Securities Inc. is the underwriter.

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