RBS to price Bonus Notes with contingent buffer linked to S&P 500

By Angela McDaniels

Tacoma, Wash., June 22 - Royal Bank of Scotland plc plans to price 0% Bonus Notes with contingent buffer due July 2014 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event will occur if the index's closing level falls to or below the buffer value - 70% of the initial level - during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative.

If a knock-out event does not occur, the payout will be par plus the greater of the contingent minimum return and the index return. The contingent minimum return is expected to be 25% to 27% and will be set at pricing.

The notes (Cusip: 78009PAU5) are expected to price July 8 and settle July 13.

RBS Securities Inc. is the underwriter.

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