1. 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
Phoenix Autocallable Notes – April 2012
Potential returns of up to 12.25% gross p.a. linked to three 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 Phoenix Autocallable Notes (the “Notes”) are linked to the performance of the FTSE® 100, S&P 500® and Hang Seng China Enterprises
Indices have the potential to pay an annual income or mature early from the end of year one. The Notes are designed for investors with a
neutral/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 halve over the Note Term.
Product Summary & Availability:
Note Style Income with autocallable (or “kick out”) feature.
Note Issuer The Royal Bank of Scotland plc Fitch Moody’s S&P
Source: Bloomberg, 7 March 2012
A, Stable Outlook A2, Rating under review - down A, Stable Outlook
Note Term 5 years with Early Maturity possible from end of first year.
Underlying Indices Linked to the performance of the FTSE® 100, S&P 500® and Hang Seng China Enterprises Indices.
Potential Income Paid if all Underlying Indices are equal to or above 70% of their Strike Levels on a Valuation Date.
Payments Equivalent to: 11.5% gross GBP, 12.25% gross USD, 10.25% gross EUR.
Potential Early Maturity The Note matures early if all the Underlying Indices are equal to or above their Strike Levels on a Valuation
Payment
Date, paying back capital plus a coupon payment of 11.5% gross GBP, 12.25% gross USD, 10.25% gross EUR.
Capital Repayment Not capital protected. If any of the Underlying Indices are below 50% 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.
Strike Date and
27 April 2012
Subscription Close Date
ISINs GBP – XS0727193103; USD – XS0727192808; EUR – XS0727186586
Available until 27 April 2012 for investment via offshore portfolio bonds and fund platform arrangements; minimum subscription per
counterparty is 100,000 EUR, USD 150,000 or GBP 100,000. The terms detailed in this factsheet are net of all product related fees and charges.
Key Benefits Key Risks
Offers the potential for an annual income or Early Maturity In the event that the Issuer fails, all capital may be lost and there
depending on the level of the Underlying Indices. may be no Income Payments or Early Maturity Payment.
No growth required in the Underlying Indices to achieve the Early If any of the Underlying Indices are below 50% of their Strike
Maturity Payment and falls can still result in an Income Payment. Level on the Final Valuation Date, capital invested will be at risk.
Capital is protected from market falls unless one or more of the The terms detailed in this document apply only if the Note is
Underlying Indices are below 50% of their Strike Level on the held until maturity (or Early Maturity if applicable) and opting to
Final Valuation Date. exit early may mean capital invested is substantially reduced.
www.gilliat.co.uk Information correct as at 7 March 2012 1
2. This information is intended for investment professionals only and should
not be provided to or relied upon by retail investors in any circumstances.
Factsheet – Phoenix Autocallable Notes – April 2012
About the Underlyings:
The FTSE® 100 Index The S&P 500® Index The Hang Seng China Enterprises
Index
The FTSE® 100 Index is a market The S&P 500® has been widely regarded
capitalisation weighted index as the best single gauge of the large The Hang Seng China Enterprises Index is
representing the performance of the cap U.S. equities market since the index a freefloat capitalization-weighted index
100 largest UK domiciled blue chip was first published in 1957. The index comprised of H-Shares listed on the Hong
companies, which pass screening for includes 500 leading companies in Kong Stock Exchange and included in the
size and liquidity and whose shares are leading industries of the U.S. economy, Hang Seng Mainland Composite Index.
traded on the London Stock Exchange. capturing 75% coverage of U.S. equities. The base value of this index is 2000 as of
The Index represents approximately Bloomberg Ticker: SPX <Index> Jan 3, 2000. This index replaced the old
85.2% of the UK’s market capitalisation
HSCE index on Oct. 3, 2001.
(as at 7 March 2012) and is often used
Bloomberg Ticker: HSCEI <Index>
as the basis for investment products,
such as funds, derivatives and exchange
traded funds.
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
Hang Seng China Enterprises Index (1993 to present)
25000
20000
15000
Level
10000
5000
Source: Bloomberg, 7 March 2012, price excluding
dividends. Past performance is no guarantee or
0
1993 1996 2000 2004 2008 2012
indication of future performance.
Date
2 Information correct as at 7 March 2012 www.gilliat.co.uk
3. This information is intended for investment professionals only and should
not be provided to or relied upon by retail investors in any circumstances.
Factsheet – Phoenix Autocallable Notes – April 2012
How the Notes Work:
On the Strike Date
Closing levels of the Underlying Indices are recorded to give the Strike Levels
Early Maturity occurs. 100% of
On each Valuation Date (at the end of years one, two, three and four):
investment capital returned plus
YES
Are all of the Underlying Indices equal to or above their Strike Level? Early Maturity Payment of EM x
initial investment
NO
IP indicates Income Payment for
Are all of the Underlying Indices equal to or above 70% of their Strike Levels?
the selected Note.
EM indicates Early Maturity
NO Yes Payment for the selected Note.
The payment levels IP and EM
No Income Payment is paid Income Payment of IP x initial are defined, for each currency, on
investment is paid pages 1 and 4 of this Factsheet.
Product continues to next Valuation Date
On the Final Valuation Date, if Early Maturity has not occurred 100% of investment capital
YES returned plus the last Income
Are all of the Underlying Indices above 70% of their Strike Levels?
Payment of IP x initial investment
NO
Investment capital is returned in
Are all of the Underlying Indices above 50% of their Strike Levels? YES
full (no Income Payment)
NO
Investment capital is reduced by the same percentage that the worst
performing Underlying Index is below its Strike Level
www.gilliat.co.uk Information correct as at 7 March 2012 3
4. This information is intended for investment professionals only and
should not be provided to retail investors in any circumstances.
Factsheet – Phoenix Autocallable Notes – April 2012
Product Information
Note Type: Income with autocallable feature
Issuer: The Royal Bank of Scotland plc
Underlying Indices: FTSE® 100, S&P 500® and HSCEI Indices
Term: Maximum of 5 years with Early Maturity possible from end of year one.
Potential Income Payment Paid if all of the Underlying Indices are equal to or above 70% of their Strike Levels on a
(IP): Valuation Date including the Final Valuation Date.
11.5% gross per annum GBP, 12.25% gross per annum USD, 10.25% gross per annum EUR.
Any Income Payments will be paid 10 trading days after the relevant Valuation Date.
Potential Early Maturity Paid if all of the Underlying Indices are equal to or above their Strike Levels on a Valuation
Payment (EM): Date excluding the Final Valuation Date.
11.5% gross GBP, 12.25% gross USD, 10.25% gross EUR.
Any Early Maturity Payment will be paid 10 trading days after the relevant Valutaion Date
Strike Date and subscription 27 April 2012
Close Date:
Strike Level: The closing level of each Underlying Index on the Strike Date.
Valuation Date(s): The dates on which the closing levels of each Underlying Index are recorded to ascertain
whether any Income Payment will be made and whether Early Maturity occurs.
29 April 2013
28 April 2014
27 April 2015
27 April 2016
Final Valuation Date
Final Valuation Date: The final date on which the closing levels of the Underlying Indices are recorded. This is 27
April 2017
Final Maturity Date: If Note does not mature early, 5 May 2017
Linked to the performance of the Underlying Indices. If one or more of the Underlying Indices
Capital Protection:
are below 50% 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: GBP/USD/EUR
Issue Price: 100%
ISINs: GBP XS0727193103, USD XS0727192808, EUR XS0727186586
It is possible for all capital to be lost and for no Income Payments or Early Maturity Payment to be made.
Risks
If on the Final Valuation Date any of the Underlying Indices are below 50% 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 Income Payments or Early Maturity Payment, regardless of how the Underlying Indices perform.
The potential Income Payments or Early Maturity Payment and the return of capital are all linked to the performance of
the Underlyings.
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 Income Payments or Early Maturity Payment along with
the return of capital invested.
4 Information correct as at 7 March 2012 www.gilliat.co.uk
5. This information is intended for investment professionals only and
should not be provided to retail investors in any circumstances.
Investment Guide for Income BuilderNotes – April 2011
Factsheet – Phoenix Autocallable – December 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 March 2012 5
