This document is prepared in accordance with The Collective Investment Schemes Sourcebook

Transcription

1 PROSPECTUS for RBS GLOBAL STRUCTURED INVESTMENTS An investment company with variable capital incorporated with limited liability and registered in England and Wales with registered number IC Valid as at 1 October 2014 This document is prepared in accordance with The Collective Investment Schemes Sourcebook RBS Asset Management (ACD) Limited, the Authorised Corporate Director of the Company, is the person responsible for the information contained in this Prospectus. To the best of its knowledge and belief (having taken all reasonable care to ensure that such is the case) the information contained herein does not contain any untrue or misleading statement or omit any matters required by The Collective Investment Schemes Sourcebook. RBS Asset Management (ACD) Limited accepts responsibility accordingly. DMS# v.2

2 IMPORTANT NOTES Page 1 GLOSSARY OF TERMS Page 1 Part 1 THE COMPANY Page 6 Part 2 THE SERVICE PROVIDERS Page 11 Part 3 THE INVESTMENT AND BORROWING POWERS AVAILABLE TO THE COMPANY Page 15 Part 4 VALUATIONS, PRICING & DEALING Page 37 Part 5 CHARGES AND EXPENSES Page 48 Part 6 DETERMINATION & DISTRIBUTION OF INCOME Page 52 Part 7 SHAREHOLDERS VOTING RIGHTS Page 53 Part 8 TERMINATION Page 55 Part 9 TAXATION Page 57 Part 10 GENERAL INFORMATION Page 62 Part 11 RISK WARNINGS Page 65 APPENDIX A Capital Protected Funds Page 67 Fund Specific Details Page 75 Part 1 - Non Limited Issue Funds Part 2 - Limited Issue Funds APPENDIX B Investment Funds Page 135 Fund Specific Details Page 145 Part 1 - Non Limited Issue Funds Part 2 - Limited Issue Funds About the indices we use Page 269 APPENDIX C Eligible Markets Page 271 APPENDIX D Past Performance of the Funds Page 272 APPENDIX E Other Schemes managed by the ACD Page 275 APPENDIX F Directors of the ACD Page 276 APPENDIX G Directory Page 277 DMS# v.2

3 IMPORTANT NOTES This Prospectus is based on information, law and practice at the date hereof. The Company cannot be bound by an out of date prospectus when it has issued a new prospectus, and investors should check with the ACD that this is the most recently published Prospectus. GLOSSARY OF TERMS ACD Act Administrator Approved Bank RBS Asset Management (ACD) Limited, the authorised corporate director of the Company. Financial Services & Markets Act 2000, as amended or re-enacted from time to time. Sanne Fiduciary Services Limited, the administrator and registrar of the Company, appointed by the ACD to carry out administrative and registration functions in relation to the Company. in relation to a bank account opened by the Company: (a) if the account is opened at a branch in the United Kingdom: (i) (ii) (iii) (iv) (v) the Bank of England; or the central bank of a member state of the OECD; or a bank; or a building society; or a bank which is supervised by the central bank or other banking regulator of a member state of the OECD; or (b) if the account is opened elsewhere: (i) (ii) (iii) a bank in (a); or a credit institution established in an EEA State other than in the United Kingdom and duly authorised by the relevant Home State Regulator; or a bank which is regulated in the Isle of Man or the Channel Islands; or a bank supervised by the South African Reserve Bank. Associate means in relation to a person, (a) an affiliated company of that person; (b) an appointed LON_LIB1\ \46 1

4 representative of the first person or of any affiliated company of the first person; and (c) any other person whose business or domestic relationship with the first person or its associate might reasonably be expected to give rise to a community of interest between them which may involve a conflict of interest in dealings with third parties. Banking Consolidation Directive Business Day Class or Classes Company Cut Off Point Dealing Day The Council Directive of 20 March 2000 relating to the taking up and pursuit of the business of credit institutions (No 2001/12/EC). as used in all parts of this Prospectus except Appendices A and B: a day on which the ACD is open for business. If the ACD is closed as a result of a holiday or for any other reason, or there is a holiday elsewhere or other reason which impedes business of the ACD, the ACD may decide that any Business Day shall not be construed as such. Please note that a different definition applies to this term when used in the context of Appendices A and B (as set out in the Defined Terms in each such Appendix). in relation to Shares, means (according to the context) all of the Shares related to a Fund or a particular class of Share related to a Fund. RBS Global Structured Investments. the point prior to which orders to buy, sell and switch Shares must be received by the Administrator in order for them to be actioned at the next Valuation Point and details of which may be set out for each Fund (if appropriate) in Appendix A or Appendix B, as applicable. a day on which dealings in Shares in a Fund may be carried out. Details of the Dealing Days for each Fund are set out in Appendix A or Appendix B, as applicable. The ACD may designate other days as Dealing Days at its discretion. Depositary Citibank International Plc, the depositary of the Company, appointed by the Company and the ACD to carry out the duties of depositary in relation to the Company. EEA Eligible Institution EU the European Economic Area as such members may change from time to time. one of certain eligible institutions as defined in the glossary of definitions to the FCA Handbook. the European Union as such members may change from time to time. LON_LIB1\ \46 2

5 FATCA the provisions, enacted in the US, commonly known as the Foreign Account Tax Compliance Act (as amended, consolidated or supplemented from time to time) including any regulations issued pursuant to it. FCA the Financial Conduct Authority or any other regulatory body or bodies which may assume its regulatory responsibilities from time to time. FCA Handbook FCA Regulations Fund Offer Period Instrument of Incorporation Investment Manager Launch Date Limited Issue Funds Limited Issue Limit Limited Issue Period the handbook of rules and guidance made by the FCA under the Act as amended from time to time. the rules contained in the Collective Investment Schemes Sourcebook, as amended from time to time (which may also be referred to as COLL ). a sub-fund of the Company (being part of the Scheme Property of the Company which is pooled separately) and to which specific assets and liabilities of the Company may be allocated and which is invested in accordance with the investment objective applicable to such a sub-fund. the initial offer period for a Fund during which Shares may be subscribed for pending investment on the Launch Date (and which may also be a Limited Issue Period), and which is set out for each Fund (where relevant) in Appendix A or Appendix B, as applicable. the instrument of incorporation of the Company, as amended from time to time, registered by the Company in accordance with the Open Ended Investment Companies Regulations 2001 and the FCA Regulations. RBS plc, the investment manager to the Company, appointed by the ACD to carry out investment management services for the Company. in respect of each Fund, the day on which Shares in that Fund are first issued and which is set out for each Fund in Appendix A or Appendix B, as applicable. Funds of the Company in respect of which the issue of Shares is limited by time or value or both and details of which are set out in Part 2 of Appendix A or Appendix B, as applicable. the maximum value of Limited Issue Shares which it is proposed to issue in the relevant Limited Issue Fund and which is set out in Part 2 of Appendix A or Appendix B, as applicable in relation to each Limited Issue Fund. the period in which Limited Issue Shares will be issued in the relevant Limited Issue Fund (subject always to LON_LIB1\ \46 3

6 the Limited Issue Limit) and which is set out in Part 2 of Appendix A or Appendix B, as applicable in respect of each Limited Issue Fund. Limited Issue Shares Member State Net Accumulation Shares Net Asset Value or NAV Net Income Shares Non-Limited Issue Funds Non-Limited Issue Shares the Open Ended Investment Companies Regulations 2001 Prospectus RBS plc Shares in a Limited Issue Fund. a member state of the EU and any other state which is within the EEA. Accumulation Shares which are net paying Shares and which are denominated in the base currency. the value of the Scheme Property of the Company (or of any Fund, as the context requires) less the liabilities of the Company (or of the Fund concerned) as calculated in accordance with the Instrument of Incorporation. Income Shares which are net paying Shares and which are denominated in the base currency. Funds of the Company, the issue of Shares in which is not limited and which are set out in Part 1 of Appendix A or Appendix B, as applicable. Shares in a Non-Limited Issue Fund. the Open-Ended Investment Companies Regulations 2001, as amended or re-enacted from time to time. the prospectus of the Company as amended from time to time. The Royal Bank of Scotland plc, which is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority, with registration number Regulated Activities Order The Financial Services and Markets Act 2000 (Regulated Activities) Order 2001, as amended. Register Regulations Scheme Property SDRT Share or Shares the register of Shareholders of the Company. the Open Ended Investment Companies Regulations 2001 and the FCA Regulations, as amended from time to time. the property of the Company (or a Fund, as the context requires) to be given for safe-keeping to the Depositary in accordance with the FCA Regulations. stamp duty reserve tax. a share or shares in the Company or relevant Fund (including larger denomination shares and smaller denomination shares). LON_LIB1\ \46 4

7 Shareholder(s) Specified US Person UCITS Directive UCITS scheme US Person United States or US Valuation Point holder(s) of registered Shares in the Company. a Shareholder who falls within the definition of Specified U.S. Person for the purposes of FATCA. European Community Directive 1985/611 governing undertakings for Collective Investment in Transferable Securities (as amended). a scheme complying with the UCITS Directive as implemented in the United Kingdom by COLL 5. a person falling within the definition of the term US Person under Regulation S promulgated under the US Securities Act of 1933, as amended. The United States of America (including the States and the District of Columbia and the Commonwealth of Puerto Rico), its territories, possessions and all other areas subject to its jurisdiction. the point, on a Dealing Day, whether on a periodic basis or for a particular valuation, at which a valuation of the Scheme Property for the Company or a Fund (as the case may be) is carried out for the purpose of determining the price at which Shares of a Class may be issued, cancelled, sold or redeemed and details of which are set out for each Fund in Appendix A or Appendix B, as applicable. Other terms used in the Prospectus and not specifically defined have the same meaning as they bear in the Glossary to the FCA Handbook. LON_LIB1\ \46 5

8 Part 1: THE COMPANY 1.1 General RBS Global Structured Investments, described in this Prospectus, is an openended investment company with variable capital, incorporated in England and Wales under the Open Ended Investment Companies Regulations 2001, and is an umbrella company as defined in the Open Ended Investment Companies Regulations 2001 and a UCITS scheme for the purposes of the FCA Regulations. It is governed by the Open Ended Investment Companies Regulations 2001, the FCA Regulations and its Instrument of Incorporation. The registered number of the Company is IC and the Company was authorised on 8 December The Company qualifies as an Undertaking for Collective Investment in Transferable Securities ( UCITS ) within the meaning of the UCITS Directive. The Company is a collective investment scheme as defined in the Act. As an umbrella company, different Funds in the Company may be formed by the ACD, subject to the approval of the FCA. Each Fund would belong to the type of UCITS scheme if it were itself an investment company with variable capital in respect of which an authorisation order issued by the FCA were in force. The object of the Company is to invest the Scheme Property in transferable securities, money market instruments, derivatives and forward transactions, deposits, cash, near cash and units in collective investment schemes in accordance with the FCA Regulations applicable to the Company and each Fund, with the aim of spreading investment risk and giving its Shareholders the benefit of the results of the management of that Scheme Property. The Shareholders have no interest in the Scheme Property and are not liable for the debts of the Company. A Shareholder is not liable to make any further payment to the Company after he or she has paid the purchase price of Shares. The address of the head office of the Company is 135 Bishopsgate, London EC2M 3UR. This is also the address where notices, or other documents, can be served. The maximum share capital of the Company is 100 billion. The minimum share capital of the Company is 10,000. Shares in the Company have no par value. The share capital of the Company at all times equals the Net Asset Value of the Company. The base currency of the Company is pounds Sterling. The sole director of the Company is RBS Asset Management (ACD) Limited, which acts as the ACD. Shares in the Company have not been and will not be registered under the United States Securities Act of 1933, as amended. They may not be offered or sold in the United States or offered or sold to US persons as defined herein. The Company has not been and will not be registered under the United States Investment Company Act of 1940, as amended. The ACD has not been registered under the United States Investment Managers Act of The Structure of the Company As explained above, the Company is a UCITS scheme for the purposes of the FCA Regulations and, under the Open Ended Investment Companies Regulations 2001, is structured as an umbrella company, in that it comprises various Funds, each of which is operated as a distinct fund with its own portfolio of investments and investment objectives. The assets of each Fund will be treated as separate from those of every LON_LIB1\ \46 6

9 other Fund and will be invested in accordance with the investment objective and investment policy applicable to that Fund and which is set out in Appendix A or Appendix B, as applicable. Each Fund has a specific portfolio to which that Fund s assets and liabilities are attributable. So far as the Shareholders are concerned, each Fund is treated as a separate entity. The Funds are segregated portfolios of assets and, accordingly, the assets of a Fund belong exclusively to that Fund and will not be used or made available to discharge (directly or indirectly) the liabilities of, or claims against, any other person or body, including the Company and any other Fund and will not be available for any such purpose. Subject to the above, each Fund will be charged with the liabilities, expenses, costs and charges of the Company attributable to that Fund. Any assets, liabilities, expenses, costs or charges not attributable to a particular Fund may be allocated by the ACD in a manner which is fair to the Shareholders of the Company generally, but they will normally be allocated to all Funds pro-rata to the value of the net assets of the relevant Funds. Currently the Company comprises 28 Funds: Fund Protected Investment Fund 1 UK Growth Notes This fund has matured and is in the process of being terminated Protected Investment Fund 2 UK Growth This fund has matured and is in the process of being terminated Protected Investment Fund 3 UK Growth This fund has matured and is in the process of being terminated Protected Investment Fund 4 China Growth This fund has matured and is in the process of being terminated Protected Investment Fund 5 China Growth This fund has matured and is in the process of being terminated Protected Investment Fund 6 RICI Enhanced SM Global Commodities This fund has matured and is in the process of being terminated Protected Investment Fund 7 UK Growth This fund has matured and is in the process of being terminated Protected Investment Fund 8 RICI Enhanced SM Global Commodities Investment Fund 4 European Defined Return Fund Investment Fund 5 European Accumulator This fund has matured and is in the process of being terminated Investment Fund 9 Transatlantic Accumulator This fund has matured and is in the process of being terminated LON_LIB1\ \46 7

10 Fund Investment Fund 10 Transatlantic Annual Accumulator Notes This fund has matured and is in the process of being terminated Investment Fund 11 Transatlantic Annual Accumulator This fund has matured and is in the process of being terminated Investment Fund 12 Transatlantic Defensive Growth Investment Fund 13 UK & China Defensive Accumulator This fund has matured and is in the process of being terminated Investment Fund 14 Transatlantic Accumulator This fund has matured and is in the process of being terminated Investment Fund 15 Transatlantic Accumulator This fund has matured and is in the process of being terminated Investment Fund 16 Transatlantic Accumulator This fund has matured and is in the process of being terminated Investment Fund 17 UK & Germany Accumulator This fund has matured and is in the process of being terminated Investment Fund 18 Transatlantic Accumulator Investment Fund 19 Transatlantic Accumulator 1.3 Offer of Shares Prior to the Launch Date of each Fund there may be an Offer Period during which time Shareholders applications will be processed. Details of the Offer Period, if any, for a Fund are set out in Appendix A or Appendix B, as applicable. Shareholders in the Limited Issue Funds may only subscribe for Shares in the relevant Offer Period (which for Limited Issue Funds is known as the Limited Issue Period) - details for each Limited Issue Fund are set out in Part 2 of Appendix A or Appendix B, as applicable. Shares in Non-Limited Issue Funds may be bought (and sold) at any Valuation Point. 1.4 Investment Objectives and Policies of the Funds The investment objective and policy for each Fund is set out in Appendix A or Appendix B, as applicable. This includes a description of the proposed use of derivatives where applicable. Full details of the use of derivatives (where applicable) are available on request. 1.5 Launch Date Details of how each Fund will operate following the Launch Date are set out in Appendix A or Appendix B, as applicable. LON_LIB1\ \46 8

11 1.6 Maturity of the Funds Details of the procedures in place in respect of the maturity of a Fund, where relevant, are set out in Appendix A or Appendix B, as applicable. 1.7 Shares Classes of Share within the Funds Several Classes of Share may be issued in respect of each Fund of the Company, current details of which are set out in Appendix A or Appendix B, as applicable. The ACD may make available within each Class Net Income Shares and Net Accumulation Shares. A Net Accumulation Share is one in respect of which income (net of any tax deducted or accounted for by the Company) is credited periodically to capital within the relevant Fund. A Net Income Share is one where income is distributed periodically to Shareholders, in accordance with relevant tax law, net of any tax deducted or accounted for by the Company. Holders of Net Accumulation Shares are not entitled to be paid the income attributable to such Shares, but that income is automatically transferred to (and retained as part of) the capital assets of the relevant Fund at the end of the relevant distribution period and is reflected in the price of an Accumulation Share. Holders of Net Income Shares are entitled to be paid the income attributed to such Shares of the appropriate Class on the interim and annual income allocation dates applying to the relevant Fund. Where a Fund has different Classes, each Class may attract different charges and expenses and so monies may be deducted from Classes in unequal proportions. In these circumstances the proportionate interests of the Classes within a Fund will be adjusted accordingly in accordance with the terms of issue of Shares of those Classes. Also, each Class may have its own investment minima or other features, such as (in the case of the second or further Class of Shares in a Fund) restricted access at the discretion of the ACD, as shown in Appendix A or Appendix B, as applicable. Shares in Non Limited Issue Funds are available for purchase on each Dealing Day at the price calculated at the Valuation Point. Limited Issue Shares are only available during the Limited Issue Period of the relevant Limited Issue Fund. The issue of Limited Issue Shares may be limited by time (Limited Issue Period) or in respect of the value of Limited Issue Shares issued (Limited Issue Limit), or both. Where a Limited Issue Fund reaches its Limited Issue Limit prior to the end of the Limited Issue Period, the issue of Limited Issue Shares will cease. Details of the Limited Issue Periods and Limited Issue Limits for each Limited Issue Fund are set out in Part 2 of Appendix A or Appendix B, as applicable. The ACD may issue further Limited Issue Shares in a Limited Issue Fund if it is satisfied on reasonable grounds that the proceeds of the subsequent issue can be invested without compromising the relevant Limited Issue Fund s objective or materially prejudicing existing Shareholders. Non Limited Issue Shares are available for purchase at each Valuation Point during the life of the relevant Fund. LON_LIB1\ \46 9

12 1.7.2 Minimum Investment Levels The relevant investment minima for each Fund are set out in Appendix A or Appendix B, as applicable. In the case of Limited Issue Funds, initial and subsequent investments can only be made in the Limited Issue Period of the relevant Limited Issue Fund. The ACD reserves the right to impose a maximum limit on the amount of Limited Issue Shares in a Limited Issue Fund that a Shareholder may hold. No regular savings plan is available in respect of Limited Issue Funds. Unless the ACD agrees otherwise, regular investments can only be used to buy Shares in the Non-Limited Issue Funds. The minimum initial and subsequent regular savings amounts in respect of Non-Limited Issue Shares are set out in Part 1 of Appendix A or Appendix B, as applicable. The ACD has the discretion to waive any minimum or maximum amounts at any time The Characteristics of Shares in the Company Details of each Class and the rights attached to each Class in so far as they vary from the rights attached to other Classes are set out in Appendix A or Appendix B, as applicable. Shareholders are entitled (subject to certain restrictions) to switch all or part of their Shares in a Class or a Fund for Shares in another Class within the same Fund or for Shares of the same or another Class within a different Fund. A switch into a Limited Issue Fund will only be permitted in the Limited Issue Period and to the extent that the Limited Issue Limit has not been reached. Details of this switching facility and the restrictions are in section Register of Shareholders All Shares are in registered form. The title to the Shares is evidenced by entry on the Register. Certificates are not issued to Shareholders. Details of a Shareholder s entry on the Register are available from the Administrator on request. LON_LIB1\ \46 10

13 Part 2: THE SERVICE PROVIDERS 2.1 The Authorised Corporate Director The authorised corporate director is RBS Asset Management (ACD) Limited, whose registered and head office is at 135 Bishopsgate, London EC2M 3UR. The ACD is a private limited company, having an issued share capital of 1million, all of which is fully paid up. The Company was incorporated under the laws of England and Wales on 18 July 2005 with limited liability. The ultimate holding company of the ACD is The Royal Bank of Scotland Group plc which was incorporated in Scotland with limited liability and whose shares are listed on the London Stock Exchange. The ACD is responsible for managing the affairs of the Company and carrying out the operation of its activities on a day to day basis in compliance with the FCA Regulations. The main business activity of the ACD is acting as an FCA authorised UCITS management company. The ACD may delegate its management and administration functions to third parties (including associates) subject to the rules contained in the FCA Regulations and it has delegated investment management to RBS plc and administration and registration to Sanne Fiduciary Services Limited. The Directors of the ACD are listed in Appendix F. Terms of Appointment The ACD was appointed by an agreement dated 21 August 2007 and made between the ACD and the Company (the ACD Agreement ). The ACD Agreement provides that the appointment of the ACD may be terminated at any time by a party giving not less than 90 days prior written notice. In certain circumstances the ACD Agreement may be terminated forthwith by notice in writing by the ACD to the Company or the Depositary, or by the Company to the ACD. Termination cannot take effect until a successor authorised corporate director has been appointed. The ACD is entitled to its pro-rata fees and expenses to the date of termination and any additional expenses necessarily realised in settling or realising any outstanding obligations. No compensation for loss of office is provided for in the ACD Agreement. The ACD Agreement provides indemnities to the ACD other than for matters arising by reason of its fraud, negligence or wilful default in the performance of its duties and obligations or it is a liability which has actually been recovered from another person other than the ACD s insurers. 2.2 The Depositary The Depositary is Citibank International Plc. The Depositary is incorporated in England as a public limited company. Its head office and its registered office are at Citigroup Centre, Canada Square, Canary Wharf, London E14 5LB. The principal business activity of the Depositary is acting as trustee and depositary of collective investment schemes. It is a company limited by shares authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority and incorporated in England and Wales on 21 December 1972 with registered number The ultimate holding company of the Depositary is Citigroup Inc, incorporated in New York, US. LON_LIB1\ \46 11

14 Terms of Appointment The Depositary was appointed by an agreement dated 21 August 2007 and made between the Company, the ACD and the Depositary (the Depositary Agreement ). The Depositary is responsible for the safekeeping of all of the Scheme Property. The Depositary has a duty to take reasonable care to ensure that the Company is managed in accordance with the FCA Regulations relating to the pricing of, and dealing in, Shares and income of the Funds. The Depositary has delegated the custody of the Scheme Property to Citibank N.A. The Depositary Agreement provides that appointment of the Depositary may be terminated by either party on not less than 90 day s prior written notice to the other party. Termination cannot take effect until a successor depositary has been appointed. The Depositary Agreement provides an indemnity from the Company in favour of the Depositary against the liabilities incurred by the Depositary in the proper performance of its duties and responsibilities in accordance with the terms of the Depositary Agreement, except in the failure of the Depositary or its Associates to exercise due care and diligence in the discharge of its functions in respect of the Company or arising out of the event of its negligence, fraud or wilful default and to the extent that it has already been recovered by the Depositary. The fees to which the Depositary is entitled are set out in Part The Investment Manager The Investment Manager is RBS plc whose registered office is at 36 St. Andrew Square, Edinburgh EH2 2YB. Its business address is 250 Bishopsgate, London EC2M 4AA. The Investment Manager is appointed by the ACD to provide investment management and advisory services to the ACD or the Company (as appropriate). The Investment Manager may also appoint the consultants to provide it with services in relation to the Company. The principal activity of the Investment Manager is the provision of general banking and financial services, including the provision of discretionary investment management services and the giving of investment advice. The Investment Manager is in the same group of companies as the ACD. Terms of Appointment The Investment Manager was appointed by an agreement dated 21 August 2007 and made between the ACD and the Investment Manager (the Investment Management Agreement ). Under the terms of the Investment Management Agreement, the Investment Manager s main duties are to give its best advice about the management, purchase, sale or retention of investments for each of the Funds and keep the investments of each of the Funds under constant review. Although the ACD retains responsibility for the selection of investments for the Company, the Investment Manager is permitted to make investment decisions for the ACD on a day to day basis. However, the Investment Manager must give such advice and make such investment decisions as are consistent with the investment objective of each Fund, the terms of the Instrument of Incorporation, the Prospectus and the Regulations. The Investment Management Agreement provides that the appointment of the Investment Manager may be terminated by either party on not less than 90 days prior written notice to the other party. The ACD may also terminate the Agreement with immediate effect when this is in the interests of Shareholders. The Investment Management Agreement provides indemnities to the Investment Manager other than for matters arising by reason of its fraud, negligence or wilful LON_LIB1\ \46 12

15 default in the performance of its duties or obligations or it is a liability which has actually been recovered from another person other than the Investment Managers insurers. The fees to which the Investment Manager is entitled are payable by the ACD. 2.4 The Administrator The ACD has appointed Sanne Fiduciary Services Limited at the request of the Company to assist it in the functions of administrator and registrar to the Company. The registered office of the Administrator is 13 Castle Street, St Helier, Jersey, JE4 SUT. The main functions of the Administrator are to calculate the Net Asset Value of each Fund and the price of the Shares at each Valuation Point and to produce the annual and half-yearly accounts of the Company. The Administrator is responsible for maintenance of the Register which may be inspected in the United Kingdom during normal business hours by any Shareholder or any Shareholder s duly authorised agent at 13 Castle Street, St Helier, Jersey, JE4 SUT. Terms of Appointment The Administrator was appointed with effect from 1 September 2014 by an agreement dated 2 September 2014 and made between the Administrator, the Company and the ACD (the Administration Agreement ). The Administrator will carry out its duties under the Administration Agreement with all reasonable care and skill. The Administration Agreement provides that the appointment of the Administrator may be terminated amongst other things by either party on not less than three months prior written notice to the other party. The ACD may also terminate the Administration Agreement with immediate effect when this is in the interests of shareholders. The Administration Agreement provides indemnities to the Administrator other than for matters arising by reason of the fraud, negligence or wilful default of the Administrator. The fees to which the Administrator is entitled are set out in Part The Auditors The auditors to the Company are KPMG Audit Plc of 8 Salisbury Square, London EC4Y 8BB. 2.6 Conflicts of Interest ACD The ACD may, from time to time, act as authorised corporate director or manager to other companies or funds which follow similar investment objectives to those of the Funds. Investment Manager RBS plc is in the same group of companies as the ACD and may carry out a number of roles in relation to the Company. LON_LIB1\ \46 13

16 As well as acting as Investment Manager, RBS plc also acts as counterparty to certain derivatives transactions entered into by the Funds and may charge a spread in relation to the same. RBS plc as the counterparty may also have an interest in financial instruments of the type described in this Prospectus. Such interest may include dealing, trading, holding, acting as market-makers in such instruments and may include providing banking, credit and other financial services to any financial instrument referred to herein. In addition, RBS plc may also act as: manager of other regulated collective investment schemes in which the Funds invest; distributor of Shares in the Funds; calculation agent in respect of certain derivatives which may be entered into by the Funds; collateral provider in relation to any collateral which is required to be posted in respect of such transactions in accordance with the FCA Regulations to reduce counterparty exposure; and the valuation agent in relation to any collateral which is required to be posted in respect of certain derivatives which many be entered into by the Funds and the party responsible for the calculation of the exposure of the Funds to itself and other counterparties of such derivatives transactions for the purposes of assisting the ACD in ensuring compliance with the limitations as set out in the FCA Regulations. RBS plc may, from time to time, carry out these functions for other companies or funds which follow similar investment objectives to the Funds. Depositary The Depositary may, from time to time, act as the depositary of other companies or funds. Administrator The Administrator may, from time to time, act as the administrator of other companies or funds. It is therefore possible that the ACD, RBS plc, the Depositary and the Administrator may in the course of their business have potential conflicts of interest with the Company or a particular Fund, between their various roles, or between the Company and the other funds managed by the ACD. Each of the ACD, RBS plc, the Depositary and the Administrator will, however, have regard in such event to its obligations under the relevant agreement by which it is appointed and, in particular, to its obligation to act in the best interests of the Company so far as practicable, having regard to its obligations to other clients when undertaking any activity where potential conflicts of interest may arise. Where a conflict of interest cannot be avoided, the ACD and RBS plc will ensure that the Company and other collective investment schemes it manages are fairly treated. The ACD acknowledges that there may be some situations where the organisational or administrative arrangements in place for the management of conflicts of interest are not sufficient to ensure, with reasonable confidence, that risks of damage to the interests of the Company or its shareholders will be prevented. Should any such situations arise the ACD will disclose these to shareholders in an appropriate format. LON_LIB1\ \46 14

17 Part 3: THE INVESTMENT AND BORROWING POWERS AVAILABLE TO THE COMPANY 3.1 General rules of investment The Scheme Property of each Fund will be invested with the aim of achieving the investment objective of that Fund (as set out in Appendix A or Appendix B, as applicable) but subject to the limits set out in Chapter 5 of the COLL Sourcebook ( COLL 5 ) and this Prospectus. These limits apply to each Fund as summarised below. 3.2 Prudent spread of risk The ACD must ensure that, taking account of the investment objectives and policy of each Fund, the Scheme Property of each Fund aims to provide a prudent spread of risk. 3.3 Cover (a) (b) Where the COLL Sourcebook allow a transaction to be entered into or an investment to be retained only (for example, investment in warrants and nil and partly paid securities and the general power to accept or underwrite) if possible obligations arising out of the investment transactions or out of the retention would not cause any breach of any limits in COLL 5, it must be assumed that the maximum possible liability of the Fund under any other of those rules has also to be provided for. Where a rule in the COLL Sourcebook permits an investment transaction to be entered into or an investment to be retained only if that investment transaction, or the retention, or other similar transactions, are covered: (i) (ii) it must be assumed that in applying any of those rules, the Fund must also simultaneously satisfy any other obligation relating to cover; and no element of cover must be used more than once. 3.4 Transferable Securities (a) (b) (c) (d) A transferable security is an investment falling within article 76 (Shares etc), article 77 (instruments creating or acknowledging indebtedness), article 77A (an alternative debenture), article 78 (government and public securities), article 79 (instruments giving entitlement to investments) and article 80 (certificates representing certain securities) of the Regulated Activities Order. An investment is not a transferable security if the title to it cannot be transferred, or can be transferred only with the consent of a third party. In applying paragraph 3.4(b) above to an investment which is issued by a body corporate, and which is an investment falling within articles 76 (shares, etc), 77 (instruments creating or acknowledging indebtedness) or article 77A (an alternative debenture) of the Regulated Activities Order, the need for any consent on the part of the body corporate or any members or debenture holders of it may be ignored. An investment is not a transferable security unless the liability of the holder of it to contribute to the debts of the issuer is limited to any amount for the time being unpaid by the holder of it in respect of the investment. LON_LIB1\ \46 15

18 (e) A Fund may invest in a transferable security only to the extent that the transferable security fulfils the following criteria: (i) (ii) (iii) the potential loss which the Fund may incur with respect to holding the transferable security is limited to the amount paid for it; its liquidity does not compromise the ability of the ACD to comply with its obligation to redeem units at the request of any qualifying Shareholder under the FCA Rules; reliable valuation is available for it as follows: in the case of a transferable security admitted to or dealt in on an eligible market, where there are accurate, reliable and regular prices which are either market prices or prices made available by valuation systems independent from issuers; in the case of a transferable security not admitted to or dealt in on an eligible market, where there is a valuation on a periodic basis which is derived from information from the issuer of the transferable security or from competent investment research; (iv) appropriate information is available for it as follows: in the case of a transferable security admitted to or dealt in on an eligible market, where there is regular, accurate and comprehensive information available to the market on the transferable security or, where relevant, on the portfolio of the transferable security; in the case of a transferable security not admitted to or dealt in on an eligible market, where there is regular and accurate information available to the ACD on the transferable security or, where relevant, on the portfolio of the transferable security; (v) (vi) it is negotiable; and its risks are adequately captured by the risk management process of the ACD. (f) Unless there is information available to the ACD that would lead to a different determination, a transferable security which is admitted to or dealt in on an eligible market shall be presumed: (i) (ii) not to compromise the ability of the ACD to comply with its obligation to redeem units at the request of any qualifying Shareholder; and to be negotiable. (g) No more than 5% of the Scheme Property of a Fund may be invested in warrants. 3.5 Closed end funds constituting transferable securities (a) A unit in a closed end fund shall be taken to be a transferable security for the purposes of investment by a Fund, provided it fulfils the criteria for transferable securities set out in 3.4(e) and either: LON_LIB1\ \46 16

19 (i) where the closed end fund is constituted as an investment company or a unit trust: it is subject to corporate governance mechanisms applied to companies; and where another person carries out asset management activity on its behalf, that person is subject to national regulation for the purpose of investor protection; or (ii) where the closed end fund is constituted under the law of contract: it is subject to corporate governance mechanisms equivalent to those applied to companies; and it is managed by a person who is subject to national regulation for the purpose of investor protection. 3.6 Transferable securities linked to other assets (a) A Fund may invest in any other investment which shall be taken to be a transferable security for the purposes of investment by a Fund provided the investment: (i) (ii) fulfils the criteria for transferable securities set out above; and is backed by or linked to the performance of other assets, which may differ from those in which a Fund can invest. (b) Where an investment in 3.6(a) contains an embedded derivative component, the requirements of this section with respect to derivatives and forwards will apply to that component. 3.7 Approved money-market instruments (a) An approved money-market instrument is a money-market instrument which is normally dealt in on the money market, is liquid and has a value which can be accurately determined at any time. (b) A money-market instrument shall be regarded as normally dealt in on the money market if it: (i) (ii) (iii) (iv) has a maturity at issuance of up to and including 397 days; has a residual maturity of up to and including 397 days; undergoes regular yield adjustments in line with money market conditions at least every 397 days; or has a risk profile, including credit and interest rate risks, corresponding to that of an instrument which has a maturity as set out in 3.7(b)(i) or 3.7(b)(ii) or is subject to yield adjustments as set out in 3.7(b)(iii). (c) A money-market instrument shall be regarded as liquid if it can be sold at limited cost in an adequately short time frame, taking into account the obligation of the ACD to redeem units at the request of any qualifying Shareholder. LON_LIB1\ \46 17

20 (d) A money-market instrument shall be regarded as having a value which can be accurately determined at any time if accurate and reliable valuations systems, which fulfil the following criteria, are available: (i) (ii) enabling the ACD to calculate a net asset value in accordance with the value at which the instrument held in the portfolio could be exchanged between knowledgeable willing parties in an arm's length transaction; and based either on market data or on valuation models including systems based on amortised costs. (e) A money-market instrument that is normally dealt in on the money market and is admitted to or dealt in on an eligible market shall be presumed to be liquid and have a value which can be accurately determined at any time unless there is information available to the ACD that would lead to a different determination. 3.8 Transferable securities and money-market instruments generally to be admitted or dealt in on an eligible market (a) Transferable securities and approved money-market instruments held within a Fund must be: (i) (ii) (iii) (iv) admitted to or dealt on an eligible market (as described in 3.9(c)(i) or 3.9(c)(ii)); or dealt on an eligible market (as described in 3.9(d)); or for an approved money-market instrument not admitted to or dealt in on an eligible market, within 3.11(a); or recently issued transferable securities provided that: the terms of issue include an undertaking that application will be made to be admitted to an eligible market; and such admission is secured within a year of issue. (b) However, a Fund may invest no more than 10% of the Scheme Property in transferable securities and approved money-market instruments other than those referred to in 3.8(a). 3.9 Eligible markets regime: purpose (a) (b) (c) To protect investors the markets on which investments of a Fund are dealt in or traded on should be of an adequate quality ( eligible ) at the time of acquisition of the investment and until it is sold. Where a market ceases to be eligible, investments on that market cease to be approved securities. The 10% restriction in 3.8 above on investing in non approved securities applies and exceeding this limit because a market ceases to be eligible will generally be regarded as an inadvertent breach. A market is eligible for the purposes of the rules if it is: (i) (ii) a regulated market as defined in the FCA Regulations; or a market in an EEA State which is regulated, operates regularly and is open to the public. LON_LIB1\ \46 18

21 (d) A market not falling within paragraph 3.9(c) above is eligible for the purposes of COLL 5 if: (i) (ii) (iii) the ACD, after consultation and notification with the Depositary, decides that market is appropriate for investment of, or dealing in, the Scheme Property of a Fund; the market is included in a list in the Prospectus; and the Depositary has taken reasonable care to determine that: adequate custody arrangements can be provided for the investment dealt in on that market; and all reasonable steps have been taken by the ACD in deciding whether that market is eligible. (e) In paragraph 3.9(d)(i), a market must not be considered appropriate unless it is regulated, operates regularly, is recognised by an overseas regulator, is open to the public, is adequately liquid and has adequate arrangements for unimpeded transmission of income and capital to or to the order of investors. The eligible securities and derivatives markets for each Fund are set out in Appendix C UCITS schemes - general (a) Subject to the investment objective and policy of a Fund, the Scheme Property of a Fund must, except where otherwise provided in COLL 5, only consist of any or all of: (i) (ii) (iii) (iv) (v) (vi) transferable securities; approved money-market instruments; permitted derivatives and forward transactions; permitted deposits; permitted units in collective investments schemes; and moveable and immoveable property that is essential for the direct pursuit of the Company s business in accordance with COLL 5. (b) (c) (d) (e) Transferable securities and approved money-market instruments held within a Fund must (subject to paragraphs 3.10(c) and 3.10(d) below) be admitted to or dealt on an eligible market as described in 3.8 and 3.9 above. Not more than 10% in value of the Scheme Property of a Fund is to consist of transferable securities, which are not approved securities. Not more than 10% in the value of the Scheme Property of a Fund is to consist of approved money-market instruments which do not fall within paragraph 3.11 below. The requirements on spread of investments generally and in relation to investment in government and public securities do not apply until the expiry of a period of six months after the date of effect of the authorisation order in respect of the relevant Fund (or on which the initial offer commenced if later) LON_LIB1\ \46 19

22 provided that the requirement to maintain prudent spread of risk in paragraph 3.2 above is complied with Money-market instruments with a regulated issuer (a) In addition to instruments admitted to or dealt in on an eligible market, a Fund may invest in an approved money-market instrument provided it fulfils the following requirements: (i) (ii) the issue or the issuer is regulated for the purpose of protecting investors and savings; and the instrument is issued or guaranteed in accordance with paragraph 3.12 below. (b) The issue or the issuer of a money-market instrument, other than one dealt in on an eligible market, shall be regarded as regulated for the purpose of protecting investors and savings if: (i) (ii) (iii) the instrument is an approved money-market instrument; appropriate information is available for the instrument (including information which allows an appropriate assessment of the credit risks related to investment in it), in accordance with paragraph 3.13 below; and the instrument is freely transferable Issuers and guarantors of money-market instruments (a) A Fund may invest in an approved money-market instrument if it is: (i) issued or guaranteed by any one of the following: (aa) (bb) (cc) (dd) (ee) (ff) a central authority of an EEA State or, if the EEA State is a federal state, one of the members making up the federation; a regional or local authority of an EEA State; the European Central Bank or a central bank of an EEA State; the European Union or the European Investment Bank; a non-eea State or, in the case of a federal state, one of the members making up the federation; a public international body to which one or more EEA States belong; or (ii) (iii) issued by a body, any securities of which are dealt in on an eligible market; or issued or guaranteed by an establishment which is: (aa) subject to prudential supervision in accordance with criteria defined by European Community law; or LON_LIB1\ \46 20

23 (bb) subject to and complies with prudential rules considered by the FCA to be at least as stringent as those laid down by European Community law. (b) An establishment shall be considered to satisfy the requirement in 3.12(a)(iii)(bb) if it is subject to and complies with prudential rules, and fulfils one or more of the following criteria: (i) (ii) (iii) (iv) it is located in the European Economic Area; it is located in an OECD country belonging to the Group of Ten; it has at least investment grade rating; on the basis of an in-depth analysis of the issuer, it can be demonstrated that the prudential rules applicable to that issuer are at least as stringent as those laid down by European Community law Appropriate information for money-market instruments (a) In the case of an approved money-market instrument within 3.12(a)(ii) or issued by a body of the type referred to in COLL E G, or which is issued by an authority within 3.12(a)(i)(bb) or a public international body within 3.12(a)(i)(ff) but is not guaranteed by a central authority within 3.12(a)(i)(aa), the following information must be available: (i) (ii) information on both the issue or the issuance programme, and the legal and financial situation of the issuer prior to the issue of the instrument, verified by appropriately qualified third parties not subject to instructions from the issuer; updates of that information on a regular basis and whenever a significant event occurs; and (iii) available and reliable statistics on the issue or the issuance programme. (b) In the case of an approved money-market instrument issued or guaranteed by a establishment within 3.12(a)(iii), the following information must be available: (i) (ii) information on the issue or the issuance programme or on the legal and financial situation of the issuer prior to the issue of the instrument; updates of that information on a regular basis and whenever a significant event occurs; and (iii) available and reliable statistics on the issue or the issuance programme, or other data enabling an appropriate assessment of the credit risks related to investment in those instruments. (c) In the case of an approved money-market instrument: (i) (ii) within 3.12(a)(i)(aa), 3.12(a)(i)(dd) or 3.12(a)(i)(ee); or which is issued by an authority within 3.12(a)(i)(bb) or a public international body within 3.12(a)(i)(ff) and is guaranteed by a central authority within 3.12(a)(i)(aa); LON_LIB1\ \46 21

24 (iii) information must be available on the issue or the issuance programme, or on the legal and financial situation of the issuer prior to the issue of the instrument Spread: general (a) This rule on spread does not apply to government and public securities. (b) For the purposes of this requirement companies included in the same group for the purposes of consolidated accounts as defined in accordance with Directive 83/349/EEC or in the same group in accordance with international accounting standards are regarded as a single body. (c) Not more than 20% in the value of the Scheme Property of a Fund is to consist of deposits with a single body. (d) Not more than 5% in value of the Scheme Property of a Fund is to consist of transferable securities or approved money-market instruments issued by any single body, except that the limit of 5% is raised to 10% in respect of up to 40% in value of the Scheme Property of a Fund (covered bonds need not be taken into account for the purposes of applying the limit of 40%). For these purposes certificates representing certain securities are treated as equivalent to the underlying security. (e) The limit of 5% is raised to 25% in value of the Scheme Property in respect of covered bonds provided that when the Fund invests more than 5% in covered bonds issued by a single body, the total value of covered bonds held must not exceed 80% in value of the Scheme Property. (f) The exposure to any one counterparty in an OTC derivative transaction must not exceed 5% in value of the Scheme Property of a Fund. This limit is raised to 10% where the counterparty is an Approved Bank. (g) Not more than 20% in value of the Scheme Property of a Fund is to consist of transferable securities and approved money-market instruments issued by the same group. (h) Not more than 20% in value of the Scheme Property of a Fund is to consist of the units of any one collective investment scheme. (i) In applying the limits in 3.14(c), (d) and (e) and (f) and subject to 3.14(e), not more than 20% in value of the Scheme Property of a Fund is to consist of any combination of two or more of the following: (i) (ii) (iii) transferable securities (including covered bonds) or approved moneymarket instruments issued by; or deposits made with; or exposures from OTC derivatives transactions made with a single body Counterparty risk and issuer concentration (a) The ACD must ensure that counterparty risk arising from an OTC derivative is subject to the limits set out in paragraphs 3.14(f) and 3.14(i) above. LON_LIB1\ \46 22

25 (b) When calculating the exposure of a Fund to a counterparty in accordance with the limits in paragraph 3.14(f) the ACD must use the positive mark-to-market value of the OTC derivative contract with that counterparty. (c) An ACD may net the OTC derivative positions of a Fund with the same counterparty, provided they are able legally to enforce netting agreements with the counterparty on behalf of the Fund. (d) The netting agreements in paragraph 3.15(c) above are permissible only with respect to OTC derivatives with the same counterparty and not in relation to any other exposures the Fund may have with that same counterparty. (e) The ACD may reduce the exposure of Scheme Property to a counterparty of an OTC derivative through the receipt of collateral. Collateral received must be sufficiently liquid so that it can be sold quickly at a price that is close to its presale valuation. (f) The ACD must take collateral into account in calculating exposure to counterparty risk in accordance with the limits in paragraph 3.14(f) when it passes collateral to an OTC counterparty on behalf of a Fund. (g) Collateral passed in accordance with paragraph 3.15(f) may be taken into account on a net basis only if the ACD is able legally to enforce netting arrangements with this counterparty on behalf of that Fund. (h) The ACD must calculate the issuer concentration limits referred to in paragraph 3.14(i) on the basis of the underlying exposure created through the use of OTC derivatives pursuant to the commitment approach. (i) In relation to the exposure arising from OTC derivatives as referred to in paragraph 3.14(i), the ACD must include any exposure to OTC derivative counterparty risk in the calculation. (j) Collateral must be monitored daily in line with the mark-to-market of the OTC contract(s) and subject to daily margining Collateral, Haircut Policy and Counterparty information Where the Funds enter into OTC derivative transactions, the counterparties to such transactions will provide collateral to the Funds in order to reduce the counterparty risk. This collateral is made up of government bonds. This collateral is held by the Fund s independent Depositary. The Funds have full legal rights to this collateral. In the event that the counterparty defaults or becomes insolvent, this collateral would be used to enable investors to recoup at least some of their money. Whilst the collateral may not cover the full value of the relevant Fund, it aims to cover at least 90% of the value of the Fund at all times. The ACD will apply haircuts to certain of the bonds which are transferred to the Funds as collateral by these counterparties. A haircut is a reduction to the market value of the bond in order to allow for a cushion in case the market value of that bond falls. The haircut applied in respect of each bond will depend on its characteristics, such as credit rating and price volatility. The ACD will apply haircuts to bonds rated below A- or with more than one year to maturity. These haircuts will range from 1% to 7%. Currently, the sole counterparty to the Funds is RBS plc. RBS plc as counterparty has no discretion over the underlying investments of the Funds or the indices referenced in the Funds investment objectives. Shareholders should note that RBS plc acts as the investment manager to the Funds and in that role RBS plc manages the Funds in line with their respective investment objectives and policies. LON_LIB1\ \46 23

26 3.17 Spread: government and public securities (a) (b) (c) The following section applies to government and public securities ( such securities ). Where no more than 35% in value of the Scheme Property of a Fund is invested in such securities issued by any one body, there is no limit on the amount which may be invested in such securities or in any one issue. The Company or any Fund may invest more than 35% in value of the Scheme Property of a Fund in such securities issued by any one body provided that: (i) (ii) (iii) (iv) the ACD has before any such investment is made consulted with the Depositary and as a result considers that the issuer of such securities is one which is appropriate in accordance with the investment objectives of the authorised fund; no more than 30% in value of the Scheme Property consists of such securities of any one issue; the Scheme Property of a Fund includes such securities issued by that or another issuer, of at least six different issues; the disclosures required by the FCA have been made. (d) In relation to such securities: (i) (ii) issue, issued and issuer include guarantee, guaranteed and guarantor; and an issue differs from another if there is a difference as to repayment date, rate of interest, guarantor or other material terms of the issue. (e) Notwithstanding 3.14(a) and subject to 3.17 (b) and (c), in applying the 20% limit in 3.14(i) with respect to a single body, government and public securities issued by that body shall be taken into account Investment in collective investment schemes (a) (b) Up to 100% of the value of the Scheme Property of a Fund may be invested in units or shares in other collective investment schemes ( Second Scheme ) provided the Second Scheme satisfies all of the following conditions and provided that no more than 30% of the value of a Fund is invested in Second Schemes within 3.18(b)(ii)-(iv) below. The Second Scheme must: (i) (ii) (iii) satisfy the conditions necessary for it to enjoy the rights conferred by the UCITS Directive; or be recognised under the provisions of s.270 of the Financial Services and Markets Act 2000; or be authorised as a non-ucits retail scheme (provided the requirements of Article 50(1)(e) of the UCITS Directive are met); or LON_LIB1\ \46 24

27 (iv) (v) be authorised in another EEA State provided the requirements of Article 50(1)(e) of the UCITS Directive are met; or be authorised by the competent authority of an OECD member country (other than another EEA State) which has: (aa) (bb) signed the IOSCO Multilateral Memorandum of Understanding; and approved the scheme s management company, rules and depositary/custody arrangements, (provided the requirements of article 50 (1)(e) of the UCITS Directive are met). (c) The Second Scheme has terms which prohibit more than 10% in value of the scheme property consisting of units in collective investment schemes.. (d) (e) (f) (g) The Funds may invest (subject to the limit set out in (a) above) in collective investment schemes managed or operated by, or whose authorised corporate director is, the ACD of the Funds or one of its associates. Where the second scheme is an umbrella, the provisions in (c), (d) and (e) and 3.14 above apply to each sub-fund as if it were a separate scheme. The Scheme Property attributable to a Fund may include Shares in another Fund of the Company (the Second Fund ) subject to the requirements of paragraph (h). A Fund may invest in or dispose of Shares of a Second Fund provided that: (i) (ii) (iii) the Second Fund does not hold Shares in any other Fund; the requirements set out at paragraphs (d) and (j) below are complied with; and not more than the limit set out in 3.14(h) is to consist of Shares in the Second Fund. (h) (i) Investment may only be made in a Second Fund or other collective investment schemes managed by the ACD or an associate of the ACD if the Prospectus of the Company or prospectus of the scheme (respectively) clearly states that it may enter into such investments and the rules on double charging contained in the COLL Sourcebook are complied with. Where a Fund of the Company invests in or disposes of Shares in a Second Fund or units or shares in another collective investment scheme which is managed or operated by the ACD or an Associate of the ACD, the ACD must pay to that Second Fund by the close of business on the fourth business day the amount of any preliminary charge in respect of a purchase, and in the case of a sale any charge made for the disposal Investment in nil and partly paid securities (a) A transferable security or an approved money-market instrument on which any sum is unpaid falls within a power of investment only if it is reasonably LON_LIB1\ \46 25

28 foreseeable that the amount of any existing and potential call for any sum unpaid could be paid by the Fund, at the time when payment is required, without contravening the rules in COLL Derivatives: general (a) (b) (c) (d) A transaction in derivatives or a forward transaction must not be effected for a Fund unless the transaction is of a kind specified in paragraph 3.21 (Permitted transactions (derivatives and forwards)) below, and the transaction is covered, as required by paragraph 3.33 (Cover for investment in derivatives). Where a Fund invests in derivatives, the exposure to the underlying assets must not exceed the limits set out in the COLL Sourcebook in relation to spread (COLL R Spread: general, COLL R Spread: government and public securities) except for index based derivatives where the rules below apply. Where a transferable security or approved money-market instrument embeds a derivative, this must be taken into account for the purposes of complying with this section. A transferable security or an approved money-market instrument will embed a derivative if it contains a component which fulfils the following criteria: (i) (ii) (iii) by virtue of that component some or all of the cash flows that otherwise would be required by the transferable security or approved money-market instrument which functions as host contract can be modified according to a specified interest rate, financial instrument price, foreign exchange rate, index of prices or rates, credit rating or credit index or other variable, and therefore vary in a way similar to a stand-alone derivative; its economic characteristics and risks are not closely related to the economic characteristics and risks of the host contract; and it has a significant impact on the risk profile and pricing of the transferable security or approved money-market instrument. (e) (f) A transferable security or an approved money-market instrument does not embed a derivative where it contains a component which is contractually transferable independently of the transferable security or the approved moneymarket instrument. That component shall be deemed to be a separate instrument. Where a Fund invests in an index based derivative, provided the relevant index falls within COLL A R (Financial Indices underlying derivatives) the underlying constituents of the index do not have to be taken into account for the purposes of COLL R and COLL R. Derivatives will be used in the Funds for the purposes of investment. Where the ACD invests in derivatives and forward transactions in the pursuit of a Fund s objectives, the net asset value of that Fund may at times be volatile (in the absence of compensating investment techniques). However, it is the ACD s intention that the Fund will not have volatility over and above the general market volatility of the markets of the Fund s underlying investments owing to the use of the derivatives and/or forward transactions in the pursuit of its objectives. It is not the ACD s intention that the use of derivatives and forward transactions in the pursuit of a Fund s objective will cause its risk profile to change. LON_LIB1\ \46 26

29 3.21 Permitted transactions (derivatives and forwards) (a) (b) (c) (d) (e) (f) A transaction in a derivative must be in an approved derivative; or be one which complies with paragraph 3.25 (OTC transactions in derivatives). A transaction in a derivative must have the underlying consisting of any one or more of the following to which the scheme is dedicated: transferable securities, money market instruments permitted under paragraph 3.8 (Transferable securities and money-market instruments generally to be admitted or dealt in on an Eligible Market), deposits, permitted derivatives under this paragraph, collective investment scheme units permitted under paragraph 3.18 (Investment in collective investment schemes), financial indices which satisfy the criteria set out in COLL A R, interest rates, foreign exchange rates, and currencies. A transaction in an approved derivative must be effected on or under the rules of an eligible derivatives market. A transaction in a derivative must not cause a Fund to diverge from its investment objectives as stated in the Instrument of Incorporation and the most recently published version of this Prospectus. A transaction in a derivative must not be entered into if the intended effect is to create the potential for an uncovered sale of one or more transferable securities, approved money-market instruments, units in collective investment schemes, or derivatives, provided that a sale is not to be considered as uncovered if the conditions in paragraph 3.24 are satisfied. Any forward transaction must be with an Eligible Institution or an Approved Bank Financial indices underlying derivatives (a) The financial indices referred to in 3.21(b) are those which satisfy the following criteria: (i) (ii) (iii) the index is sufficiently diversified; the index represents an adequate benchmark for the market to which it refers; and the index is published in an appropriate manner. (b) A financial index is sufficiently diversified if: (i) (ii) (iii) it is composed in such a way that price movements or trading activities regarding one component do not unduly influence the performance of the whole index; where it is composed of assets in which a Fund is permitted to invest, its composition is at least diversified in accordance with the requirements with respect to spread and concentration set out in this section; and where it is composed of assets in which a Fund cannot invest, it is diversified in a way which is equivalent to the diversification achieved by the requirements with respect to spread and concentration set out in this section. LON_LIB1\ \46 27

30 (c) A financial index represents an adequate benchmark for the market to which it refers if: (i) (ii) (iii) it measures the performance of a representative group of underlyings in a relevant and appropriate way; it is revised or rebalanced periodically to ensure that it continues to reflect the markets to which it refers, following criteria which are publicly available; and the underlyings are sufficiently liquid, allowing users to replicate it if necessary. (d) A financial index is published in an appropriate manner if: (i) (ii) its publication process relies on sound procedures to collect prices, and calculate and subsequently publish the index value, including pricing procedures for components where a market price is not available; and material information on matters such as index calculation, rebalancing methodologies, index changes or any operational difficulties in providing timely or accurate information is provided on a wide and timely basis. (e) Where the composition of underlyings of a transaction in a derivative does not satisfy the requirements for a financial index, the underlyings for that transaction shall where they satisfy the requirements with respect to other underlyings pursuant to 3.21(b), be regarded as a combination of those underlyings Transactions for the purchase of property A derivative or forward transaction which will or could lead to the delivery of property for the account of the Company may be entered into only if that property can be held for the account of the Company, and the ACD having taken reasonable care determines that delivery of the property under the transaction will not occur or will not lead to a breach of the rules in the COLL Sourcebook Requirement to cover sales (a) No agreement by or on behalf of the Company to dispose of property or rights may be made unless the obligation to make the disposal and any other similar obligation could immediately be honoured by the Company by delivery of property or the assignment (or, in Scotland, assignation) of rights, and the property and rights above are owned by the Company at the time of the agreement. This requirement does not apply to a deposit OTC transactions in derivatives (a) Any transaction in an OTC derivative under paragraph 3.21(a) must be: (i) (ii) in a future or an option or a contract for differences; with an approved counterparty; A counterparty to a transaction in derivatives is approved only if the counterparty is an Eligible Institution or an Approved Bank; or a person whose permission (including any requirements or limitations), as published in the FCA Register or whose LON_LIB1\ \46 28

31 Home State authorisation, permits it to enter into the transaction as principal off-exchange; (iii) (iv) on approved terms; the terms of the transaction in derivatives are approved only if, the ACD carries out at least daily a reliable and verifiable valuation in respect of that transaction corresponding to its fair value and which does not rely only on market quotations by the counterparty; and that it can enter into one or more further transactions to sell, liquidate or close out that transaction at any time, at its fair value; and capable of reliable valuation; a transaction in derivatives is capable of reliable valuation only if the ACD having taken reasonable care determines that, throughout the life of the derivative (if the transaction is entered into), it will be able to value the investment concerned with reasonable accuracy: (aa) (bb) on the basis of an up-to-date market value which the ACD and the Depositary have agreed is reliable; or if the value referred to in (aa) is not available, on the basis of a pricing model which the ACD and the Depositary have agreed uses an adequate recognised methodology; and (v) subject to verifiable valuation: a transaction in derivatives is subject to verifiable valuation only if, throughout the life of the derivative (if the transaction is entered into) verification of the valuation is carried out by: (aa) (bb) an appropriate third party which is independent from the counterparty of the derivative at an adequate frequency and in such a way that the ACD is able to check it; or a department within the ACD which is independent from the department in charge of managing the Fund and which is adequately equipped for such a purpose. (b) For the purposes of a (iii) above, fair value is the amount for which an asset could be exchanged or a liability settled, between knowledgeable, willing parties in an arm s length transaction Valuation of OTC derivatives (a) For the purposes of paragraph 3.25(a)(iii) the ACD must: (i) (ii) establish, implement and maintain arrangements and procedures which ensure appropriate, transparent and fair valuation of the exposures of a Fund to OTC derivatives; and ensure that the fair value of OTC derivatives is subject to adequate, accurate and independent assessment. (b) (c) Where the arrangements and procedures referred to in paragraph 3.26(a) above involve the performance of certain activities by third parties, the ACD must comply with the requirements in SYSC R (Additional requirements for a management company) and COLL 6.6A.4 R (4) to (6) (Due diligence requirements of AFMs of UCITS schemes). The arrangements and procedures referred to in 3.26(a) must be: LON_LIB1\ \46 29

32 3.27 Risk management (i) adequate and proportionate to the nature and complexity of the OTC derivative concerned; and (ii) adequately documented. (a) The ACD uses a risk management process (including a risk management policy) in accordance with COLL 6.12, enabling it to monitor and measure at any time the risk of a Fund s positions and their contribution to the overall risk profile of the Fund. Before using the process, the ACD will notify the FCA of the details of the risk management process. The following details of the risk management process must be regularly notified to the FCA and at least on an annual basis: (i) (ii) a true and fair view of the types of derivatives and forward transactions to be used within a Fund together with their underlying risks and any relevant quantitative limits. the methods for estimating risks in derivative and forward transactions. (b) The ACD must notify the FCA in advance of any material alteration to the details above Investment in deposits A Fund may invest in deposits only with an Approved Bank and which are repayable on demand or have the right to be withdrawn, and maturing in no more than 12 months Significant influence (a) The Company must not acquire transferable securities issued by a body corporate and carrying rights to vote (whether or not on substantially all matters) at a general meeting of that body corporate if: (i) (ii) immediately before the acquisition, the aggregate of any such securities held by the Company gives the Company power significantly to influence the conduct of business of that body corporate; or the acquisition gives the Company that power. (b) For the purposes of paragraph 3.29(a), the Company is to be taken to have power significantly to influence the conduct of business of a body corporate if it can, because of the transferable securities held by it, exercise or control the exercise of 20% or more of the voting rights in that body corporate (disregarding for this purpose any temporary suspension of voting rights in respect of the transferable securities of that body corporate) Concentration A UCITS Scheme: (a) must not acquire transferable securities other than debt securities which: (i) do not carry a right to vote on any matter at a general meeting of the body corporate that issued them; and LON_LIB1\ \46 30

33 (ii) represent more than 10% of these securities issued by that body corporate; (b) (c) (d) (e) must not acquire more than 10% of the debt securities issued by any single issuing body; must not acquire more than 25% of the units in a collective investment scheme; must not acquire more than 10% of the approved money-market instruments issued by any single body; need not comply with the limits in paragraphs 3.30(b), (c) and (d) if, at the time of the acquisition, the net amount in issue of the relevant investment cannot be calculated Derivative exposure (a) (b) (c) (d) A Fund may invest in derivatives and forward transactions as long as the exposure to which the Fund is committed by that transaction itself is suitably covered from within its Scheme Property. Exposure will include any initial outlay in respect of that transaction. Cover ensures that a Fund is not exposed to the risk of loss of property, including money, to an extent greater than the net value of the Scheme Property of a Fund. Therefore, a Fund must hold Scheme Property which is sufficient in value or amount to match the exposure arising from a derivative obligation to which the Fund is committed. Paragraph 3.33 (Cover for investment in derivatives) below sets out detailed requirements for cover of a Fund. A future is to be regarded as an obligation to which the Fund is committed (in that, unless closed out, the future will require something to be delivered, or accepted and paid for); a written option as an obligation to which the scheme is committed (in that it gives the right of potential exercise to another thereby creating exposure); and a bought option as a right (in that the purchaser can, but need not, exercise the right to require the writer to deliver and accept and pay for something). Cover used in respect of one transaction in derivatives or forward transaction must not be used for cover in respect of another transaction in derivatives or a forward transaction Schemes replicating an index (a) (b) (c) (d) A Fund may invest up to 20% in value of the Scheme Property in shares and debentures which are issued by the same body where the stated investment policy is to replicate the composition of a relevant index as defined below. Replication of the composition of a relevant index shall be understood to be a reference to a replication of the composition of the underlying assets of that index, including the use of techniques and instruments permitted for the purpose of efficient portfolio management. The 20% limit can be raised for a particular Fund up to 35% in value of the Scheme Property, but only in respect of one body and where justified by exceptional market conditions. In the case of a Fund replicating an index the Scheme Property need not consist of the exact composition and weighting of the underlying in the relevant index LON_LIB1\ \46 31

34 in cases where the Fund s investment objective is to achieve a result consistent with the replication of an index rather than an exact replication. (e) The indices referred to above are those which satisfy the following criteria: (i) (ii) (iii) the composition is sufficiently diversified; the index represents an adequate benchmark for the market to which it refers; and the index is published in an appropriate manner. (f) (g) (h) The composition of an index is sufficiently diversified if its components adhere to the spread and concentration requirements in this section. An index represents an adequate benchmark if its provider uses a recognised methodology which generally does not result in the exclusion of a major issuer of the market to which it refers. An index is published in an appropriate manner if: (i) (i) it is accessible to the public; the index provider is independent from the index-replicating UCITS scheme; this does not preclude index providers and the UCITS scheme from forming part of the same group, provided that effective arrangements for the management of conflicts of interest are in place Cover for investment in derivatives (a) A Fund may invest in derivatives and forward transactions as part of its investment policy provided: (i) (ii) (iii) its global exposure relating to derivatives and forward transactions held in the Fund does not exceed the net value of the scheme property; and its global exposure to the underlying assets does not exceed in aggregate the investment limits laid down in paragraph 3.14 above. the Counterparty risk generated is managed according to the provisions set out in section 3.14 above Cover and Borrowing (a) (b) Cash obtained from borrowing, and borrowing which the ACD reasonably regards an Eligible Institution or an Approved Bank to be committed to provide, is not available for cover under paragraph 3.33 (Cover for investment in derivatives) except where 3.34(b) below applies. Where, for the purposes of this paragraph the Company borrows an amount of currency from an Eligible Institution or an Approved Bank; and keeps an amount in another currency, at least equal to such borrowing for the time being in 3.34(a) on deposit with the lender (or his agent or nominee), then this paragraph 3.34(b) applies as if the borrowed currency, and not the deposited currency, were part of the Scheme Property of a Fund. LON_LIB1\ \46 32

35 3.35 Calculation of global exposure (a) (b) The ACD must calculate the global exposure of a Fund on at least a daily basis. The ACD must calculate the global exposure of any Fund it manages either as: (i) (ii) the incremental exposure and leverage generated through the use of derivatives and forward transactions (including embedded derivatives as referred to in paragraph 3.20 (Derivatives: general), which may not exceed 100% of the net value of the Scheme Property; or the market risk of the Scheme Property (c) (d) For the purposes of this section exposure must be calculated taking into account the current value of the underlying assets, the counterparty risk, future market movements and the time available to liquidate the positions. The ACD must calculate the global exposure of a Fund by using: (i) (ii) commitment approach; or the value at risk approach. (e) The ACD must ensure that the method selected above is appropriate, taking into account: (i) (ii) (iii) the investment strategy pursued by the Fund; types and complexities of the derivatives and forward transactions used; and the proportion of the scheme property comprising derivatives and forward transactions. (f) Where a Fund employs techniques and instruments including repo contracts or stock lending transactions in accordance with paragraph 3.37 (Stock lending) in order to generate additional leverage or exposure to market risk, the authorised fund manager must take those transactions into consideration when calculating global exposure Commitment approach (a) The ACD uses the commitment approach for the calculation of global exposure for all Funds. It must: (i) (ii) (iii) ensure that it applies this approach to all derivative and forward transactions (including embedded derivatives as referred to in paragraph 3.20 (Derivatives: general)), whether used as part of the Fund s general investment policy, for the purposes of risk reduction or for the purposes of efficient portfolio management in accordance with paragraph 3.27 (Risk Management); and convert each derivative or forward transaction into the market value of an equivalent position in the underlying asset of that derivative or forward (standard commitment approach). The ACD may apply other calculation methods which are equivalent to the standard commitment approach. LON_LIB1\ \46 33

36 (b) (c) (d) For the commitment approach, the ACD may take account of netting and hedging arrangements when calculating global exposure of a Fund, where these arrangements do not disregard obvious and material risks and result in a clear reduction in risk exposure. Where the use of derivatives or forward transactions does not generate incremental exposure for the Fund, the underlying exposure need not be included in the commitment calculation. Where the commitment approach is used, temporary borrowing arrangements entered into on behalf of the Fund in accordance with paragraph 3.41 (Borrowing Powers) need not form part of the global exposure calculation Stock lending (a) (b) (c) (d) (e) (f) (g) The entry into stock lending transactions or repo contract for the account of a Fund is permitted for the generation of additional income for the benefit of the Fund, and hence for its investors. The specific method of stock lending permitted in this section is in fact not a transaction which is a loan in the normal sense. Rather it is an arrangement of the kind described in section 263B of the Taxation of Chargeable Gains Act 1992, under which the lender transfers securities to the borrower otherwise than by way of sale and the borrower is to transfer those securities, or securities of the same type and amount, back to the lender at a later date. In accordance with good market practice, a separate transaction by way of transfer of assets is also involved for the purpose of providing collateral to the lender to cover him against the risk that the future transfer back of the securities may not be satisfactorily completed. The stock lending permitted by this section may be exercised by a Fund when it reasonably appears to the Company to be appropriate to do so with a view to generating additional income for the Fund with an acceptable degree of risk. The Company or the Depositary at the request of the Company may enter into a stock lending arrangement or repo contract of the kind described in section 263B of the Taxation of Chargeable Gains Act 1992 (without extension by section 263C), but only if all the terms of the agreement under which securities are to be reacquired by the Depositary for the account of the Company, are in a form which is acceptable to the Depositary and are in accordance with good market practice, the counterparty meets the criteria set out in COLL 5.4.4, and collateral is obtained to secure the obligation of the counterparty. Collateral must be acceptable to the Depositary, adequate and sufficiently immediate. The Depositary must ensure that the value of the collateral at all times is at least equal to the value of the securities transferred by the Depositary. This duty may be regarded as satisfied in respect of collateral the validity of which is about to expire or has expired where the Depositary takes reasonable care to determine that sufficient collateral will again be transferred at the latest by the close of business on the day of expiry. Any agreement for transfer at a future date of securities or of collateral (or of the equivalent of either) may be regarded, for the purposes of valuation under the COLL Sourcebook, as an unconditional agreement for the sale or transfer of property, whether or not the property is part of the property of the Fund. There is no limit on the value of the Scheme Property of a Fund which may be the subject of stock lending transactions or repo contract. LON_LIB1\ \46 34

37 3.38 Cash and near cash (a) Cash and near cash must not be retained in the Scheme Property of a Fund except to the extent that, where this may reasonably be regarded as necessary in order to enable: (i) (ii) (iii) (iv) the pursuit of the Fund s investment objectives; or redemption of units; or efficient management of the Fund in accordance with its investment objectives; or other purposes which may reasonably be regarded as ancillary to the investment objectives of the Fund. (b) During the period of the initial offer the Scheme Property of the Fund may consist of cash and near cash without limitation General (a) (b) (c) (d) (e) (f) It is not intended that any Fund will have an interest in any immovable property or tangible movable property. It is envisaged that the Funds will normally be fully invested but there may be times that it is appropriate not to be fully invested when the ACD reasonably regards this as necessary in pursuit of the investment objective and policy, redemption of units, efficient management of a Fund or any one purpose which may reasonably be regarded as ancillary to the investment objectives of a Fund. No Fund may invest in the Shares of another Fund within the Company. Where the Company invests in or disposes of units or shares in another collective investment scheme which is managed or operated by the ACD or an associate of the ACD, the ACD must pay to the Company by the close of business on the fourth Dealing Day the amount of any preliminary charge in respect of a purchase, and in the case of a sale, any charge made for the disposal. A potential breach of any of these limits does not prevent the exercise of rights conferred by investments held by the Fund but, in the event of a consequent breach, the ACD must then take such steps as are necessary to restore compliance with the investment limits as soon as practicable having regard to the interests of Shareholders. The COLL Sourcebook permits the ACD to use certain techniques when investing in derivatives in order to manage a Fund s exposure to particular counterparties and in relation to the use of collateral to reduce overall exposure with respect to over-the-counter ( OTC ) derivatives; for example a Fund may take collateral from counterparties with whom they have an OTC derivative position and use that collateral to net off against the exposure they have to the counterparty under that OTC derivative position, for the purposes of complying with counterparty spread limits. The COLL Sourcebook also permits a Fund to use derivatives to effectively short sell (agree to deliver the relevant asset without holding it in the scheme) under certain conditions. LON_LIB1\ \46 35

38 3.40 Underwriting Underwriting and sub underwriting contracts and placings may also, subject to certain conditions set out in the COLL Sourcebook, be entered into for the account of the Company Borrowing powers (a) (b) (c) (d) The ACD may, on the instructions of the Company and subject to the COLL Sourcebook, borrow money from an Eligible Institution or an Approved Bank for the use of the Company on terms that the borrowing is to be repayable out of the Scheme Property. Borrowing must be on a temporary basis, must not be persistent, and in any event must not exceed three months without the prior consent of the Depositary, which may be given only on such conditions as appear appropriate to the Depositary to ensure that the borrowing does not cease to be on a temporary basis. The ACD must ensure that borrowing does not, on any day, exceed 10% of the value of each Fund. These borrowing restrictions do not apply to back to back borrowing for currency hedging purposes (i.e. borrowing permitted in order to reduce or eliminate risk arising by reason of fluctuations in exchange rates). LON_LIB1\ \46 36

39 Part 4: VALUATIONS, PRICING & DEALING 4.1 Valuations The price of a Share in the Company is calculated by reference to the Net Asset Value (or the relevant proportion of the Net Asset Value) of the Fund to which it relates. Each Fund will have a Valuation Point on each Dealing Day. Deals must be received before the Cut Off Point in order to be dealt at the next Valuation Point. Deals received after the Cut Off Point will be dealt at the Valuation Point on the next following Dealing Day. Details of the Cut Off Point, Valuation Point and Dealing Days for each Fund are set out in Appendix A or Appendix B, as applicable. The ACD may, in its absolute discretion, create an additional Valuation Point for any Fund at any time including, by way of example and on a non-exhaustive basis, in the event of excessive market movement or on implementation of a scheme of arrangement. The Scheme Property attributed to each Fund will be valued at each Valuation Point of that Fund and the proportion of the Net Asset Value attributable to each Class in that Fund for the purpose of calculating the price of each Class in that Fund will be determined by the Administrator on behalf of the ACD. The value of the Scheme Property attributed to each Fund will be the value of its assets less the value of its liabilities. All the Scheme Property attributed to each Fund will be included in each valuation. The valuation will be based on the following: All the Scheme Property (including receivables) is to be included, subject to the following provisions Scheme Property which is not cash (or other assets dealt with in paragraph below) or a contingent liability transaction shall be valued as follows and the prices used shall (subject as follows) be the most recent prices which it is practicable to obtain: Units or shares in a collective investment scheme: (a) (b) (c) if a single price for buying and redeeming units or shares is quoted, at that price; or if separate buying and redemption prices are quoted, at the average of the two prices provided the buying price has been reduced by any initial charge included therein and the redemption price has been increased by any exit or redemption charge attributable thereto; or if, in the opinion of the ACD, the price obtained is unreliable or no recent traded price is available or if no recent price exists or if the most recent price available does not reflect the ACD s best estimate of the value of the units or shares, at a value which, in the opinion of the ACD, is fair and reasonable; Any other transferable security: (a) if a single price for buying and redeeming the security is quoted, at that price; or LON_LIB1\ \46 37

40 (b) (c) if separate buying and redemption prices are quoted, at the average of the two prices; or if, in the opinion of the ACD, the price obtained is unreliable or no recent traded price is available or if no recent price exists or if the most recent price available does not reflect the ACD s best estimate of the value of the security, at a value which, in the opinion of the ACD, is fair and reasonable; Scheme Property other than that described in paragraphs and above, at a value which, in the opinion of the ACD, is fair and reasonable; Cash and amounts held in current and deposit accounts and in other time related deposits shall be valued at their nominal values Scheme Property which is a contingent liability transaction shall be treated as follows: (a) (b) (c) (d) if it is a written option (and the premium for writing the option has become part of the Scheme Property), deduct the amount of the net valuation of premium receivable. If the Scheme Property is an off exchange option the method of valuation shall be agreed between the ACD and the Depositary; if it is an off exchange future, include it at the net value of closing out in accordance with a valuation method agreed between the ACD and the Depositary; if the Scheme Property is an off exchange derivative, include it at a valuation method agreed between the ACD and the Depositary; if it is any other form of contingent liability transaction, include it at the net value of margin on closing out (whether as a positive or negative value) In determining the value of the Scheme Property, all instructions given to issue or cancel Shares shall be assumed to have been carried out (and any cash paid or received) whether or not this is the case Subject to paragraphs and below, agreements for the unconditional sale or purchase of Scheme Property which are in existence but uncompleted shall be assumed to have been completed and all consequential action required to have been taken. Such unconditional agreements need not be taken into account if made shortly before the valuation takes place and if, in the opinion of the ACD, their omission will not materially affect the final net asset amount Futures or contracts for differences which are not yet due to be performed and unexpired and unexercised written or purchased options shall not be included under paragraph All agreements are to be included under paragraph which are, or ought reasonably to have been, known to the person valuing the Scheme Property An estimated amount for anticipated tax liabilities at that point in time will be deducted including (as applicable and without limitation) capital gains tax, income tax, corporation tax, VAT, stamp duty, SDRT and any foreign taxes or duties. LON_LIB1\ \46 38

41 4.1.9 An estimated amount for any liabilities payable out of the Scheme Property and any tax or duty thereon, treating periodic items as accruing from day to day will be deducted The principal amount of any outstanding borrowings whenever repayable and any accrued but unpaid interest on borrowings will be deducted An estimated amount for accrued claims for tax of whatever nature which may be recoverable will be added Any other credits or amounts due to be paid into the Scheme Property will be added A sum representing any interest or any income accrued due or deemed to have accrued but not received will be added Currencies or values in currencies other than Sterling shall be converted at the relevant Valuation Point at a rate of exchange that is not likely to result in any material prejudice to the interests of Shareholders or potential Shareholders. 4.2 Price of Shares The Net Asset Value of Shares of each Class in each Fund will be calculated as follows: (a) (b) (c) (d) (e) (f) The value of the Scheme Property of the Fund (excluding the distribution account and the unclaimed distribution account) will be calculated at the relevant Valuation Point as in 4.1 above. The value of the proportionate interests of each Class within each Fund will be ascertained by reference to the proportions which the units of entitlement of the Shares of the relevant Class bears to the total units of entitlement of all Shares in the Fund. The number of larger denomination Shares and the smaller denomination Shares of the relevant Class in issue immediately prior to the Valuation Point will be ascertained. The number of smaller denomination Shares of the Class concerned will be notionally converted into larger denomination Shares of the Class concerned by dividing the number of smaller denomination Shares of that Class by one thousand. The result will be expressed to six decimal places and will be added to the number of larger denomination Shares and that Class. (d) will be divided into (b) which will produce the Net Asset Value of the Shares of that Class. This figure will be rounded to at least six decimal places. The Net Asset Value of the smaller denomination Shares of the Class concerned will be one thousandth of that of the larger denomination Shares of that Class ascertained in (e) above. This figure will be rounded to at least six decimal places. The price of Shares of each Class in each Fund will then be the Net Asset Value of Shares of that Class as ascertained above. The price at which Shares of each Class in each Fund may be purchased will then be: (i) Where the Class has a preliminary charge and/or a switching charge, the Net Asset Value of Shares of that Class ascertained as above plus the preliminary LON_LIB1\ \46 39

42 charge or the switching charge (as appropriate), rounded to six decimal places. (ii) Where the Class has no preliminary charge or switching charge, the Net Asset Value of Shares of that Class as ascertained above. The latest Net Asset Value of Shares, together with the latest preliminary charge and estimated gross or net (as appropriate) yield for each Class of each Fund are published daily on the following website- For reasons beyond the control of the ACD, these may not be the current prices. At any time, the prices of Shares and the prices at which Shares may be purchased calculated at the previous Valuation Point are termed the historic prices, and the prices of Shares and the prices at which Shares may be purchased calculated at the next Valuation Point are termed the forward prices. 4.3 Dealing in Shares Dealing Prices Shares may normally be dealt in with the ACD on any Dealing Day (or at other times at the ACD s discretion) in each Fund. If requested, the ACD may deal as agent between the investor and the Company. The ACD deals on a forward pricing basis. A forward price is the price calculated at the next Valuation Point after the purchase or redemption is deemed to be accepted by the ACD. Shares are priced on a single mid-market pricing basis in accordance with the FCA Regulations. A contract note confirming the transaction will be dispatched by the close of business on the day following the Dealing Day on which the transaction was priced. This will show the number of Shares purchased and the price Dilution Levy The Company may suffer dilution (reduction in the value of the Scheme Property) as a result of the costs incurred in dealing in its underlying investments and of any spread between the buying and selling prices of such investments. With a view to countering this, the ACD is permitted to require the payment of a dilution levy as an addition to the price of Shares when Shares are bought and sold. If charged, the dilution levy will be paid to the Company and will become part of the Scheme Property attributed to the relevant Fund. The need to charge a dilution levy will depend on the volume of issues and redemptions. The ACD may charge a discretionary dilution levy on the issue and redemption of Shares if, in its opinion, the existing Shareholders (for issues) or remaining Shareholders (for redemptions) might otherwise be adversely affected. The ACD s policy on dilution in respect of each Fund is set out in the Fund Specific Details in Appendix A or Appendix B, as applicable. Where the ACD is notified in advance that a single transaction is to be implemented by instalments, the ACD may decide in advance the dilution levy that is to apply to each Fund on each day on which an instalment is effected, and every transaction in such Funds on such days will attract a dilution levy. LON_LIB1\ \46 40

43 The ACD reserves the right to charge a dilution levy of up to 2% of the Net Asset Value of a Share in the Funds. Any such dilution levy is not expected to have any perceived impact on the growth of the Funds. Although it is not possible to predict accurately whether dilution will occur at any point in time, it is possible that the ACD may require a dilution levy in the next 12 months. Any such dilution levy will be based on the expected costs of trading within any particular Fund and may thus vary from Fund to Fund. The ACD s decision on whether or not to make this charge, and at what level this charge might be in a particular case, will not prevent it from making a different decision on future similar transactions SDRT Provision (a) (b) SDRT is a tax which is charged on the transfer of chargeable securities currently at the rate of 0.5% on the amount of consideration for such transfer. For SDRT purposes, the expression chargeable securities means, subject to certain exceptions, securities which are registered on a register kept in the United Kingdom. It includes shares in an open-ended investment company. The Company is also currently liable to pay SDRT at the rate of 0.5% of the value of Shares in each Fund which are surrendered to the ACD or the Depositary. The government has announced that it intends to legislate to abolish this type of SDRT in 2014 and the abolition is expected to have effect from 30 March Until its abolition, the amount of SDRT for which the Company is liable is potentially reduced by two ratios: (1) If more Shares are surrendered than are issued in a Fund during a two week period (which consists of the week the surrender occurs and the following week), then the liability to SDRT is reduced by multiplying the value of the surrenders in the first week by the ratio I/S where I is the number of Shares issued, and S is the number of Shares surrendered, in the relevant two week period; and (2) If a Fund holds exempt assets (i.e. non-chargeable securities, such as foreign securities, or United Kingdom gilts or bonds, or interests in other collective investment schemes themselves holding 20% or less by value of United Kingdom equities and related derivatives), the liability to SDRT is further reduced by multiplying it by the ratio N/(N+E) where N is the average of the market values of the non-exempt assets of the open-ended investment company over the relevant two week period and E is the average of the market values of the exempt assets of the open-ended investment company over the relevant two week period. The following types of surrenders of Shares are outside the above calculation: (i) pro-rata in specie redemptions (i.e. a redemption where the Shareholder received his or her proportionate share of each asset held in the Fund s portfolio); (ii) transfers of Shares where there is no consideration (e.g. gift, or transfer on a change of nominee). (c) The Stamp Duty and Stamp Duty Reserve Tax (Open-Ended Investment Companies) (Amendment No. 2) Regulations 1999 permit the ACD of an openended investment company to impose a charge on the creation or sale of Shares, or on the cancellation or redemption of Shares, which will be made as LON_LIB1\ \46 41

44 a provision for SDRT for which the Fund may become liable in respect of a surrender of Shares to the ACD ( SDRT provision ). The ACD s policy in relation to all Funds in the Company is not to impose an SDRT provision on either the creation or issue of Shares or on the cancellation or redemption of Shares, with the result that any SDRT payable in respect of the surrender of Shares will be paid by the Depositary out of the property of the relevant Fund. However, the ACD reserves the right to require the payment of an SDRT provision in relation to Shares in any Fund (up to a maximum of 0.5% of the value of the Shares involved in the transaction) as an addition to the price of Shares on their creation or issue, and as a deduction on their cancellation or redemption (other than on a pro-rata in specie cancellation) of whatever size whenever it considers that circumstances have arisen which make such imposition fair to all Shareholders and potential Shareholders. The ACD may impose an SDRT provision on large deals when no SDRT provision is imposed on smaller deals or which is larger than that imposed on smaller deals. A large deal is a transaction (or a series of transactions in one dealing period) by any person to buy, sell or exchange Shares at a total value of 100,000 or more Buying Shares Shares may be bought through intermediaries or direct from the ACD. In some cases Shares may only be available through one of these channels. Requests to buy Shares may be made in writing using the standard application form which is available from distributors or, at the ACD s discretion, by telephone or electronic means to the ACD or distributors on or before any Dealing Day. Where Shares are bought through distributors (including sub-distributors) they will normally be held in a nominee name on the Register in accordance with distributors nominee terms and conditions which will be available on request from the relevant distributor (or any sub-distributor as appropriate). Shares will be issued in registered form on each Dealing Day on receipt and acceptance by a distributor of a completed application form, subject to receipt of subscription monies in cleared funds. Minimum investment amounts, which may be waived at the ACD s discretion, for each Class of each Fund are set out in Appendix A or Appendix B, as applicable. The ACD has the right to reject, at its discretion, any application for Shares in whole or in part, and in this event the ACD will return any monies sent (together with any relevant interest accrued thereon) or the balance of such monies at the risk of the applicant. Investors may, in some cases, have a right to cancel their deal at any time during the 14 days after the date on which they receive a cancellation notice from the relevant distributor. If an investor decides to cancel the contract, and the value of their investment has fallen at the time the relevant distributor receives their completed cancellation notice, the investor will not get a full refund; an amount equal to any fall in value will be deducted from the sum originally invested. Limited Issue Shares are only available during the Limited Issue Period of the relevant Limited Issue Fund, unless the Limited Issue Period closes early if the prescribed Limited Issue Limit is exceeded. The ACD may issue further Limited Issue Shares in a Limited Issue Fund if it is satisfied on reasonable LON_LIB1\ \46 42

45 grounds that the proceeds of the subsequent issue can be invested without compromising the relevant Limited Issue Fund s objective or materially prejudicing existing Shareholders Selling Shares Instructions for the sale of Shares may be given in writing to the ACD or a distributor or at the ACD s discretion, by telephone or electronic means to the ACD or distributor on or before any Dealing Day. Subject to the FCA Regulations, the redemption proceeds from a sale of Shares will be paid by the close of business four Business Days after the later of the ACD or a distributor receiving properly completed documentation or the Valuation Point after which the order was received. Redemption proceeds are normally payable only to one or more of the registered Shareholders. The ACD reserves the right, at all times, to require a form of renunciation to be completed. If this is necessary, it will be issued with the contract note. The ACD also reserves the right to send repurchase proceeds by cheque to the registered address of the relevant Shareholder. The minimum number/value (as appropriate) of Shares which may be sold in each Class of each Fund is given in Appendix A or Appendix B, as applicable. Any Shares transferred directly to the Company, with the ACD acting as agent, will be cancelled. Where a Shareholder s holding in Class 1 of any one Fund is valued at less than 5,000, the ACD has the right to require the Shareholder to redeem his or her Shares within 30 days. If the Shareholder fails to do so, the ACD has the right to redeem them automatically. A higher limit may be applied to other classes of Shares and this will be set out in Appendix A or Appendix B, as applicable. The ACD may automatically switch a Shareholder who ceases to be client of RBS plc out of Class 1 Shares in a Fund into a class of Shares in that Fund which is not dedicated to RBS clients. Once a request to redeem Shares has been given, it cannot subsequently be withdrawn. Any request to redeem Shares must be received and accepted by the ACD prior to the Cut Off Point, if any. Such requests shall be processed at the next following Valuation Point. Requests to redeem Shares received after the Cut Off Point will be held over and processed at the Valuation Point on the next following Dealing Day Issue of Shares in Exchange for in Specie Assets The ACD may arrange for the Company to issue Shares in a Fund in exchange for assets but will only do so where the Depositary is satisfied that the acquisition by the Company of those assets in exchange for the Shares concerned is not likely to result in any material prejudice to the interests of Shareholders or potential Shareholders. The ACD will, by the close of business on the fourth Dealing Day next after the issue of any Shares in exchange for assets as above, ensure transfer to the Depositary of the assets to be taken in exchange. The ACD will ensure that the beneficial interest in the assets is transferred to the Company with effect from the issue of the Shares. LON_LIB1\ \46 43

46 The ACD, with the approval of the Depositary, will not issue Shares in any Fund in exchange for assets, the holding of which would be inconsistent with the investment objective or policy of that Fund In Specie Redemptions and Cancellations of Shares Where a Shareholder requests redemption or cancellation of Shares in value of not less than 5% of the value of the relevant Fund as a whole, the ACD may, at its discretion, give written notice to the Shareholder before the proceeds of the redemption or cancellation would otherwise become payable that, in lieu of paying such proceeds in cash, the ACD will transfer to that Shareholder property attributable to the Fund having the appropriate value. The ACD s notice shall not be given later than the second Business Day following the redemption or cancellation request. The ACD will select the property to be transferred in consultation with the Depositary and the Depositary must have taken reasonable care to ensure the property concerned would not be likely to result in any material prejudice to the interests of Shareholders Switching Shares A Shareholder in a Fund may at any time effect a switch of all or some of his or her Shares of one Class or Fund ( the Original Shares ) for Shares of another Class or Fund ( the New Shares ) provided that, in each case, the Shareholder is able to satisfy the conditions applying to the purchase of the New Shares - e.g. any minimum holding which must be maintained. Switching may be effected either in writing to the relevant distributor or, at its discretion, by telephone or electronic means to the ACD s dealing department, after which the Shareholder may be required to complete a switching form (which, in the case of joint Shareholders must be signed by all the joint holders). The ACD may charge a fee on the switching of Shares between Funds. This fee will be quoted as a percentage of the Net Asset Value of the New Shares purchased and the rate will be the same as that of the preliminary charge which would otherwise be payable for the New Shares (see 5.1 below). The effect of this is that switching between different Funds is subject to the conditions set out under 4.2 (f) (i) and (ii) above. A switching discount, negotiable by the ACD, may be given. There is also a fee for a switch between Classes of the same Fund where more than one Class is available. The switching fee in this case will be the difference (if any) between the preliminary charge of the New Shares and the Original Shares. Valuations for determining the number of New Shares to be issued will take place at the first Valuation Point in each Class after the switching request is received. If a switch would result in the Shareholder holding a number of Original Shares or New Shares of a value which is less than the minimum holding in the Class concerned, the ACD may, if it thinks fit, convert the whole of the applicant s holding of Original Shares to New Shares or refuse to effect any switch of the Original Shares. No switch will be made during any period when the right of Shareholders to require the redemption of their Shares is suspended. The general provisions on procedures relating to redemption will apply equally to a switch. The ACD may adjust the number of New Shares to be issued to reflect the imposition of any switching fee together with any other charges or levies in LON_LIB1\ \46 44

47 respect of the issue or sale of the New Shares or repurchase or cancellation of the Original Shares as may be permitted pursuant to the FCA Regulations. A switch of Shares in one Fund for Shares in any other Fund is treated by HM Revenue & Customs as a redemption and sale and therefore will, for persons subject to United Kingdom taxation, be a disposal for the purposes of capital gains taxation. No cancellation rights will be given on switches between Shareholdings in different Funds. It is only possible to switch into other Funds in the Company which are not Limited Issue Funds. Switching into Limited Issue Shares will only be permitted where there is a current Limited Issue Period for the relevant Limited Issue Fund and the Limited Issue Limit has not been reached. Each of the Funds have different features and in particular offer varying degrees of capital protection (in some cases no capital protection at all). Shareholders will only benefit from the level of protection available in the Fund into which they switch (and this may be a lesser degree of protection than that afforded to Shareholders of the Fund in which they originally invested and possibly no protection at all). When switching, Shareholders will receive Shares in the new Fund at a price which relates to the Net Asset Value of that Fund at the time at which the switch takes place. This price may be higher than the Protected Maturity Share Price in the new Fund (if applicable) and therefore not necessarily all of the amount which a Shareholders switches into the new Fund will be protected Money Laundering Prevention As a result of legislation in force in the United Kingdom to prevent money laundering, persons conducting investment business are responsible for compliance with money laundering regulations. In order to implement these procedures, in certain circumstances investors may be asked to provide proof of identity when buying, selling or switching Shares. The ACD reserves the right to reverse a transaction or to refuse to sell Shares or may retain redemption proceeds if it is not satisfied as to the identity of the applicant. The ACD may disclose information regarding Shareholders to third parties for these purposes Restrictions and Compulsory Transfer and Redemption The ACD may from time to time impose restrictions on the holding or transfer of Shares directly or indirectly by or to (and consequently redeem Shares held by): a) a person or entity who, in the opinion of the ACD is a US Person; (b) (c) a person or entity who appears to be in breach of any law or requirement of any country or government authority or by virtue of which such entity is not qualified to hold Shares; a person or entity in circumstances which (whether directly or indirectly affecting such person or persons, and whether taken alone or in conjunction with any other persons, connected or not, or any other circumstances appearing to the ACD to be relevant), in the opinion of the ACD, might result in the relevant Fund, the Company, the ACD or the ACD s corporate group of companies incurring any liability to taxation or suffering any pecuniary liability to taxation or suffering LON_LIB1\ \46 45

48 other pecuniary, legal, regulatory or material administrative disadvantage which the relevant Fund might not otherwise have incurred or suffered (including where the relevant Fund suspects market timing) or might result in the relevant Fund, the Company, the ACD or the ACD s corporate group of companies being required to comply with registration or filing requirements in any jurisdiction with which it would not otherwise be required to comply or is otherwise prohibited by the Instrument of Incorporation; If it comes to the notice of the ACD or the relevant distributor that any Shares ( affected Shares ) are owned directly or beneficially in breach of any law or governmental regulation (or any interpretation of a law or regulation by a competent authority) of any country or territory or by virtue of which the Shareholder or Shareholders in question is/are not qualified to hold such Shares or if it reasonably believes this to be the case, the ACD may give notice to the holder(s) of the affected Shares requiring the transfer of such Shares to a person who is qualified or entitled to own them or that a request in writing be given for the repurchase of such Shares in accordance with the FCA Regulations. If any person upon whom such a notice is served does not within thirty days after the date of such notice transfer his or her affected Shares to a person qualified to own them or establish to the satisfaction of the ACD (whose judgement is final and binding) that he or she or the beneficial owner is qualified and entitled to own the affected Shares, he or she shall be deemed upon the expiration of that thirty day period to have given a request in writing for the redemption of all the affected Shares pursuant to the FCA Regulations. A person who becomes aware that he or she is holding or owns affected Shares in breach of any law or governmental regulation (or any interpretation of a law or regulation by a competent authority) of any country or territory, or by virtue of which he or she is not qualified to hold such affected Shares, shall forthwith, unless he or she has already received a notice as aforesaid, either transfer all his or her affected Shares to a person qualified to own them or give a request in writing for the redemption of all his or her affected Shares pursuant to the FCA Regulations. In the interests of Shareholders and to be able to ensure no Shares are held or acquired by any person in breach of the law or governmental regulation (or any interpretation of a law or regulation by a competent authority) of any country or territory or which would result in any Fund incurring any liability to taxation which a Fund is not able to recoup itself or suffering any other adverse consequence, the ACD s policy will be to treat Shares of Shareholders who are or become US Persons as affected Shares and may in addition refuse to issue Shares to any US Person. At present, transfer of title by electronic communication is not accepted Suspension of Dealings in the Company The ACD may, with the prior agreement of the Depositary, and must without delay if the Depositary so requires temporarily suspend the issue, cancellation, sale and redemption of Shares in any or all of the Funds where due to exceptional circumstances it is in the interests of all the Shareholders in the relevant Fund or Funds. The ACD and the Depositary must ensure that the suspension is only allowed to continue for as long as is justified having regard to the interests of Shareholders. The ACD or the Depositary (as appropriate) will immediately inform the FCA of the suspension and the reasons for it and will follow this up as soon as LON_LIB1\ \46 46

49 practicable with written confirmation of the suspension and the reasons for it to the FCA and the regulator in each EEA state where the relevant Fund is offered for sale. The ACD will notify Shareholders as soon as is practicable after the commencement of the suspension, including details of the exceptional circumstances which have led to the suspension, in a clear, fair and not misleading way and giving Shareholders details of how to find further information about the suspensions. Where such suspension takes place, the ACD will publish sufficient details on its website or through other general means, to keep Shareholders appropriately informed about the suspension, including, if known, its possible duration. During the suspension none of the obligations in COLL 6.2 (Dealing) will apply but the ACD will comply with as much of COLL 6.3 (Valuation and Pricing) during the period of suspension as is practicable in light thereof. Suspension will cease as soon as practicable after the exceptional circumstances leading to the suspension have ceased but the ACD and the Depositary will formally review the suspension at least every 28 days (if continuing for that period of time) and will inform the FCA of each review and any change to the information given to Shareholders at the time of such review. The ACD will inform the FCA of the proposed restart of dealings in Shares and immediately after restart must confirm this by giving notice to the FCA and the regulator in each EEA state where the relevant Fund is offered for sale. The ACD may agree during the suspension to deal in Shares in which case all deals accepted during and outstanding prior to the suspension will be undertaken at a price calculated at the first Valuation Point after dealings in Shares have recommenced. This suspension may be restricted to any single Fund, or Class within that Fund. Dealings in Shares in the relevant Fund or Class will commence on the next appropriate Valuation Point following the end of the suspension at the Share price calculated at that Valuation Point Governing Law and Jurisdiction This Prospectus is governed by English law and by investing, each Shareholder agrees that the Courts of England shall have exclusive jurisdiction to settle any disputes. LON_LIB1\ \46 47

50 Part 5: CHARGES AND EXPENSES 5.1 Introduction There are a number of models for the method by which charges are levied and expenses recovered, which are Fund specific and are detailed in Appendix A or Appendix B, as applicable. One model is for there to be a preliminary charge on the issue of Shares and for that charge to absorb ongoing costs, including the fees of all service providers to the Funds, such as the Depositary, the Investment Manager, the Administrator and any distributor. In this model, the preliminary charge will also cover the expenses of the Funds which are set out in paragraph 5.7 below, save for 5.7 (a) which will be paid for out of the Fund. In circumstances outside the control of the ACD, such as regulatory changes or changes to the taxation regime, the ACD may take the expenses in paragraph 5.7 (b) - (l) below out of Scheme Property but will give Shareholders 60 days notice of their intention to do so. Another model is to charge a lower, or zero, preliminary charge and charge an annual management fee in relation to services provided by the ACD and from which the ACD will pay the Investment Manager, the Administrator and the Depositary. In addition to these fees, various expenses (as set out in paragraph 5.7 below) may also be charged to the Funds. For the Funds available at the date of this Prospectus there will only be a preliminary charge plus any dealing costs payable in respect of buying or selling the derivatives invested in by Capital Protected Funds (as defined in Appendix A) or Investment Funds (as defined in Appendix B) and until a Shareholder redeems there will, under normal circumstances, be no additional charges or expenses. The ACD may also make a charge on Switches between Shares of one Fund and Shares of another Fund. The level of this charge varies for different Classes, and is expressed as a percentage of the Net Asset Value of the Shares being acquired. 5.2 The ACD s Preliminary Charge The ACD may make a preliminary charge on the sale or issue of Shares. The level of the preliminary charge may vary from Class to Class or Fund to Fund. The current preliminary charges for each Class are given in Appendix A or Appendix B, as applicable. The ACD is permitted to increase the preliminary charge payable on a purchase of Shares (or to introduce such a charge where none is currently payable) in accordance with the FCA Regulations. 5.3 The ACD s Redemption Charge The Instrument of Incorporation authorises the ACD to make a charge on the redemption of Shares. The current redemption charges for each Class are given in Appendix A or Appendix B, as applicable. Where no redemption charge is currently made in respect of a Fund, the ACD is permitted to introduce a redemption charge during the life of that Fund in accordance with the FCA Regulations. If such a redemption charge is introduced, it will only apply to Shares issued since the introduction of that charge and not to Shares already in existence. LON_LIB1\ \46 48

51 5.4 Payments by the Company to the ACD (a) An annual fee may be paid by the Company out of the Scheme Property to the ACD and, if levied, will be calculated, accrued and reflected in the price of each Class daily, (the ACD Fee ). The ACD Fee, if levied, is payable monthly in arrears. The level of these charges may vary for different Classes and is expressed as a percentage of the Net Asset Value of the proportion of the Scheme Property attributed to each Fund or Class, as appropriate. Any current ACD Fee for a Class may be increased (or introduced where no charge is currently payable) in accordance with the FCA Regulations. On a winding-up of the Company or a Fund or on the redemption of a Class, the ACD is entitled to its pro-rata fees and expenses to the date of termination and any additional expenses necessarily realised in settling or receiving any outstanding obligations. No compensation for loss of office is provided for in the ACD Agreement. (b) (c) (d) The ACD is also entitled to be paid by the Company out of the Scheme Property all reasonable, properly vouched, out-of-pocket expenses incurred in the performance of its duties, including set-up costs of the Company or a new Fund, stamp duty and SDRT on transactions in Shares. Where the investment objective of a Fund is to treat the generation of income as a higher priority than capital growth, or the generation of income and capital growth have equal priority, subject to approval of the Shareholders or on 60 days notice to Shareholders, all or part of the fees payable in respect of the Fund may be charged against capital instead of against income, which may constrain capital growth. This will be done with the approval of the Depositary. At present, such fees are charged against income in respect of all Funds. The ACD may not introduce a new type of remuneration for its services payable out of the Scheme Property without the approval of Shareholders at an Extraordinary General Meeting. For the Funds available at the date of this Prospectus there is no ACD Fee payable and none of the ACD s costs or expenses are met out of Scheme Property. 5.5 Depositary s and Administrator s Fees The Depositary and the Administrator are each entitled to receive a fee from the ACD for their services as such. These fees are either paid by the ACD Fee or from the preliminary charge as set out in Appendix A or Appendix B, as applicable. For the Funds available at the date of this Prospectus these fees are paid from the preliminary charge. The Depositary s fee is such percentage per annum of the Net Asset Value of the proportion of the Scheme Property attributed to each Fund as shall be agreed between the ACD and the Depositary. It is calculated and accrued daily and paid quarterly in arrears. In addition to the above fee payable to the Depositary, the amount payable to the Depositary by way of remuneration for its services may include (but shall not be limited to) reimbursement of costs and expenses in connection with its duties (or the exercise of powers conferred upon it by the Regulations) referable to: custody of assets (including overseas custody services); the acquisition, holding and disposal of property; LON_LIB1\ \46 49

52 the collection of dividends, interest and any other income; instituting and conducting legal proceedings; the maintenance of distribution accounts; an enquiry into the ACD s conduct; the conversion of foreign currency; the exercise of voting rights; registration of assets in the name of the Depositary or its nominees or agents; borrowing, stock lending or other permitted transactions; communications with any parties (including telex, facsimile, SWIFT and electronic mail); taxation matters; insurance matters; dealing in derivatives; obtaining advice, including legal, accounting, valuation and other advice; preparing for and convening (if necessary) and attending general meetings or other meetings of the Company; and preparation of the Depositary s annual report and other reports to Shareholders. Any Value Added Tax on any fees, charges or expenses payable to the Depositary will be added to such fees, charges or expenses. 5.6 Investment Manager s Fee The Investment Manager is entitled to receive a fee for its services as such, which is payable by the ACD Fee or the preliminary charge as set out in Appendix A or Appendix B, as applicable. For the Funds available at the date of this Prospectus it is paid from the preliminary charge. 5.7 Other Expenses Payable out of the Scheme Property Other expenses incurred by the Company may also be paid out of the Scheme Property, including (but not limited to): (a) (b) (c) (d) (e) (f) Broker s commission and fees, fees of any transaction manager appointed by the Company, fiscal charges and any other disbursements (including dealing costs associated with over the counter derivatives bought or sold by a Fund) which are necessarily incurred in effecting transactions for the Company. This will include expenses incurred in acquiring and disposing of investments, including legal fees and expenses, whether or not the acquisition or disposal is carried out; Any costs incurred in modifying the Instrument of Incorporation or this Prospectus; Any costs incurred in respect of meetings of the Shareholders including meetings of Shareholders in any particular Fund or Class; Interest on borrowings permitted under the Instrument of Incorporation or this Prospectus and charges incurred in effecting or terminating such borrowings or in negotiating or varying the terms of such borrowings; Taxation and duties payable in respect of the Scheme Property, the Instrument of Incorporation, this Prospectus or the creation, issue, redemption or cancellation of Shares; The fees of the Auditors and the tax, legal and other professional advisers to the Company and to the ACD properly payable and any proper expenses of the Auditors, tax, legal and other professional advisers to the Company and to the ACD; LON_LIB1\ \46 50

53 (g) (h) (i) (j) (k) (l) (m) The fees of the FCA in the Fees Manual, or any corresponding periodic fees of any regulatory authority in a country or territory outside the United Kingdom in which Shares are or may be marketed and the costs involved in registering the Company or a Fund in a country or territory outside the UK (including translations and the fees and expenses of any paying agents, information agents or other entities which are required to be appointed by the Company by any regulatory authority); Fees in respect of the publication and circulation of details of the prices and yields of Shares, and other such information which the ACD is required by law to publish; The costs of printing and distributing reports, accounts, the Simplified Prospectus (excluding the costs of distributing the Simplified Prospectus) (in relation to Protected Investment Fund 5 China Growth and any Funds launched after it) and this Prospectus, and any costs incurred as a result of periodic updates of the Simplified Prospectus (in relation to Protected Investment Fund 5 China Growth and any Funds launched after it) and this Prospectus and any other administrative expenses; Insurance which the Company may purchase and/or maintain for the benefit of and against any liability incurred by any directors of the Company in the performance of their duties; Liabilities on amalgamation or reconstruction arising where the property of a body corporate or another collective investment scheme is transferred to the Depositary in consideration for the issue of Shares to the Shareholders in that body or to participants in that other scheme, provided that any liability arising after the transfer could have been paid out of that other property had it arisen before the transfer and, in the absence of any express provision in the Instrument of Incorporation forbidding such payment, the ACD is of the opinion that proper provision was made for meeting such liabilities as were known or could reasonably have been anticipated at the time of transfer; It is not currently proposed to seek a listing for the Shares on any stock exchange, but if a listing is sought in future, the fees connected with the listing may be payable by the Company; Any costs incurred which are associated with independent risk monitoring or daily value at risk or VAR calculations. For the Funds available at the date of this Prospectus all these expenses are in normal circumstances payable from the preliminary charge. Value Added Tax will be added to these payments, where applicable. 5.8 Allocation of Charges and Expenses between Funds All the above fees, duties, and charges (other than those borne by the ACD) may be charged to the Fund in respect of which they were incurred but where an expense is not considered to be attributable to any one Fund, the expense will normally be allocated at the relevant Valuation Point to all Funds pro-rata to the Net Asset Value of the Fund, although the ACD has discretion to allocate these fees and expenses in a manner which it considers fair to Shareholders generally. LON_LIB1\ \46 51

54 Part 6: DETERMINATION & DISTRIBUTION OF INCOME The annual accounting reference date of the Company is 31 December and the interim accounting date is 30 June. The Funds available at the date of this Prospectus will not distribute income. The annual income allocation and distribution date is on or before the last day of February in each year. Interim income allocation dates for each Fund, if any, are set out in Appendix A or Appendix B, as applicable. Allocations of income are made in respect of the income available for allocation in each distribution period. Income (if applicable) is paid by direct credit to each Shareholder s bank or building society account when the distribution is paid. The amount (if any) available for distribution in any distribution period is calculated by taking the proportion of the aggregate of the income received or receivable for the account of the relevant Fund in respect of that period attributable to the relevant Class and deducting the charges and expenses of the relevant Class paid or payable out of income in respect of that accounting period. The ACD then makes such other adjustment as it considers appropriate (and after consulting with the auditors as appropriate) in relation to taxation, income equalisation, income unlikely to be received within twelve months following the relevant income allocation date, income which should not be accounted for on an accrual basis because of lack of information as to how it accrues, transfers between the income and capital account, the ACD s best estimate of the tax reliefs on charges and expenses and any other adjustments (including those for amortisation) which the ACD considers appropriate. The ACD reserves the right not to make distribution payments where the average entitlement of holders is less than 10. In such a case, the distributable income shall be credited to the capital of the relevant Fund. The ACD may retain income within an interim accounting period to make distribution payments throughout the accounting period more equal. This policy is known as smoothing. Any distribution payment of a Fund which remains unclaimed after a period of six years from the date of payment will be forfeited and will be transferred to and become part of that Fund s capital property. Thereafter, neither the Shareholder nor any successor will have any right to it except as part of the capital property. The Company will operate grouping for equalisation. Each Class will operate its own equalisation account. Shares purchased during a distribution period are called Group 2 Shares. Shares purchased during any previous distribution period are called Group 1 Shares. Group 2 Shares contain in their purchase price an amount called equalisation which represents a proportion of the net income of the Fund that has accrued up to the date of purchase. The amount of equalisation is averaged across all the Shareholders of Group 2 Shares and is refunded to them as part of their first distribution and is treated as a return of capital for tax purposes. Being capital, this is not liable to income tax but must be deducted from the cost of Shares for capital gains tax purposes. Publication of Reports Annual reports (both long and short) of the Company will normally be published on the last day of April and half-yearly reports (both long and short) will be published on or before 31 August each year. Shareholders will be sent the short report for their Fund within one month of publication, although the long report will be available on request to any person free of charge. LON_LIB1\ \46 52

55 Part 7: SHAREHOLDERS VOTING RIGHTS 7.1 General Meetings The ACD and the Depositary may convene a general meeting at any time. Shareholders may also requisition a general meeting of the Company. A requisition by Shareholders must state the objects of the meeting, be dated, be signed by Shareholders who, at the date of the requisition, are registered as holding not less than one-tenth in value of all Shares of the Company then in issue and the requisition must be deposited at the head office of the Company. The ACD must convene a general meeting no later than eight weeks after receipt of such requisition. 7.2 Notice and Quorum Shareholders will receive at least 14 days notice of a Shareholders meeting and are entitled to be counted in the quorum and vote at such meeting either in person or by proxy. The quorum for a meeting is two Shareholders, present in person or by proxy. If, at an adjourned meeting, a quorum is not present after a reasonable time from the time for the meeting, one person entitled to be counted in a quorum present at the meeting shall constitute a quorum. Notices of the meetings and adjourned meetings will be sent to the Shareholders at their registered address. 7.3 Voting Rights At a meeting of Shareholders, on a show of hands every Shareholder who (being an individual) is present in person or (being a corporation) is present by its representative properly authorised in that regard, has one vote. On a poll vote, a Shareholder may vote either in person or by proxy. The voting rights attaching to each Share are such proportion of the voting rights attached to all the Shares in issue that the price of the Share bears to the aggregate price(s) of all the Shares in issue at the date seven days before the notice of meeting is deemed to have been served. A Shareholder entitled to more than one vote need not, if he votes, use all his votes or cast all the votes he uses in the same way. In the case of joint Shareholders, the vote of the most senior Shareholder who votes, whether in person or by proxy, must be accepted to the exclusion of the votes of the other joint Shareholders. For this purpose seniority must be determined by the order in which the names stand in the register. Except where the FCA Regulations or the Instrument of Incorporation require an extraordinary resolution (which needs 75% of the votes validly cast at the meeting to be in favour if the resolution is to be passed) any resolution required by the FCA Regulations will be passed by a simple majority of the votes validly cast for and against the resolution. Where a resolution (including an extraordinary resolution) is required to conduct business at a meeting of Shareholders (and every Shareholder is prohibited under COLL from voting) it shall not be necessary to convene such a meeting and a resolution may, with the prior written agreement of the Depositary, instead be passed with the written consent of Shareholders representing 50% or more, or for an extraordinary resolution 75% or more, of the Shares of the Fund in issue. The ACD may not be counted in the quorum for a meeting and neither the ACD nor any Associate (as defined in the FCA Regulations) of the ACD is entitled to vote at any meeting of the Company except in respect of Shares which the ACD or an Associate holds on behalf of or jointly with a person who, if the registered Shareholder, would LON_LIB1\ \46 53

56 be entitled to vote and from whom the ACD or Associate has received voting instructions. Shareholders in this context means Shareholders entered on the Register at a time to be determined by the ACD and stated in the notice of the meeting which must not be more than 48 hours before the time fixed for the meeting. 7.4 Fund and Class Meetings The above provisions, unless the context otherwise requires, apply to Fund meetings and Class meetings as they apply to general meetings of Shareholders but by reference to Shares of the Fund or Class concerned and the Shareholders and prices of such Shares. 7.5 Annual General Meeting Annual general meetings will not be held in respect of the Company. Copies of the ACD Agreement made between the Company and the ACD are available to Shareholders on request. LON_LIB1\ \46 54

57 Part 8: TERMINATION Winding up of the Company or termination of a Fund The Company shall not be wound up except as an unregistered company under Part V of the Insolvency Act 1986 or under the FCA Regulations. A Fund may only be wound up under the FCA Regulations. Where the Company is to be wound up or a Fund terminated under the FCA Regulations, such winding up or termination may only be commenced following approval by the FCA. The FCA may only give such approval if the ACD provides a statement (following an investigation into the affairs of the Company) either that the Company will be able to meet its liabilities within 12 months of the date of the settlement or that the Company will be unable to do so. The Company may not be wound up under the FCA Regulations if there is a vacancy in the position of the ACD at the relevant time. The Company may be wound up or a Fund terminated under the FCA Regulations if: (a) (b) (c) (d) (e) (f) an extraordinary resolution to that effect is passed by Shareholders; or the period (if any) fixed for the duration of the Company or a particular Fund by the Instrument of Incorporation expires, or the event (if any) occurs on the occurrence of which the Instrument of Incorporation provides that the Company or a particular Fund is to be wound up (for example, if the share capital of the Company is below its prescribed minimum or (in relation to any Fund) the Net Asset Value of the Fund is less than 5,000,000, or if a change in the laws or regulations of any country means that, in the ACD s opinion, it is desirable to terminate the Fund); or on the date of effect stated in any agreement by the FCA to a request by the ACD for the revocation of the authorisation order in respect of the Company or the relevant Fund; or on the effective date of a duly approved scheme of arrangement which is to result in the Company ceasing to hold any Scheme Property; or in the case of a Fund, on the effective date of a duly approved scheme of arrangement which is to result in the Fund ceasing to hold any Scheme Property; or on the date when all the Funds fall within (e) above or have otherwise ceased to hold any Scheme Property, notwithstanding that the Company may have assets and liabilities that are not attributable to any particular Fund. On the occurrence of any of the above: (a) (b) (c) (d) (e) Parts 6.2, 6.3 (Pricing and Dealing) and 5 (Investment and Borrowing) of the FCA Regulations will cease to apply to the Company or the particular Fund; the Company will cease to issue and cancel Shares in the Company or the particular Fund and the ACD shall cease to sell or redeem Shares or to arrange for the Company to issue or cancel them for the Company or the particular Fund; no transfer of a Share shall be registered and no other change to the Register shall be made without the sanction of the ACD; where the Company is being wound up, the Company shall cease to carry on its business except in so far as it is beneficial for the winding up of the Company; the corporate status and powers of the Company and, subject to the preceding provisions of (a) to (d) above, the powers of the ACD shall remain until the Company is dissolved. LON_LIB1\ \46 55

58 The ACD shall, as soon as possible after the Company falls to be wound up or a Fund terminated, realise the assets and meet the liabilities of the Company or the Fund and, after paying out or retaining adequate provision for all liabilities properly payable and retaining provision for the costs of winding up, provided that there are sufficient liquid funds available, arrange for the Depositary to make one or more interim distributions out of the proceeds to Shareholders proportionately to their rights to participate in the Scheme Property of the Company or the Fund. When the ACD has caused all the Scheme Property to be realised and all of the liabilities of the Company or the particular Fund to be realised, the ACD shall arrange for the Depositary to make a final distribution to Shareholders on or prior to the date on which the final account is sent to Shareholders of any balance remaining in proportion to their holdings in the Company or the particular Fund. If it has not already done so, the ACD must as soon as practicable after the winding up of the Company, or termination of a Fund, has commenced, notify the Shareholders of the proposal to wind up the Company, or terminate a Fund, by way of written notice. As soon as is reasonably practicable after the completion of the winding up of the Company or termination of the particular Fund, the Depositary shall notify the FCA that it has done so. On completion of the winding up of the Company, the Company will be dissolved and the ACD shall arrange that any money (including unclaimed distributions) standing to the account of the Company, will be paid by the Depositary into court within one month of dissolution. Following the completion of a winding up of the Company or termination of a Fund, the ACD must prepare a final account showing how the winding up/termination took place and how the Scheme Property was distributed. The auditors of the Company shall make a report in respect of the final account stating their opinion as to whether the final account has been properly prepared. This final account and the auditors report must be sent to the FCA, to each Shareholder and, in the case of winding up of the Company, to the Registrar of Companies within two months of the termination of the winding up. LON_LIB1\ \46 56

59 Part 9: TAXATION The following summary is based on current United Kingdom law and HM Revenue & Customs practice. It is intended to offer guidance to persons (other than dealers in securities) on the United Kingdom taxation of the Funds and their individual Shareholders. However, it is not intended to be nor should it be regarded as legal or tax advice and Shareholders should consult their own tax advisors or other professional advisor about their particular tax treatment in relation to the Shares. Levels and bases of, and reliefs from, taxation are subject to change in the future. Each Fund is taxed as if it were a separate company. The following is divided into sections relating to Bond Funds and Equity Funds. A Bond Fund is a Fund which invests more than 60% of its market value in Qualifying Investments (at all times in each accounting period). The term Qualifying Investments includes money placed at interest and securities, but does not include shares or derivatives the underlying subject matter of which is Shares. Equity Funds refers to all other Funds. Details of whether a Fund is a Bond Fund or an Equity Fund are set out in Appendix A or Appendix B, as applicable. The tax issues relating to the Equity Funds and the Bond Funds and the investors in each of them are treated separately in this section. Taxation of Funds: Equity Funds Tax on capital gains As sub-funds of an open-ended investment company, the Equity Funds are not subject to United Kingdom taxation on capital gains arising on the disposal of their investment. Tax on income Each Equity Fund will be liable to corporation tax at a rate equal to the basic rate of income tax, currently 20%, on its income (if any) after relief for expenses (which include fees payable to the ACD and to the Depositary). Any dividends and similar income distributions are exempt from corporation tax. Any dividend distributions from United Kingdom authorised unit trusts and open-ended investment companies are exempt from corporation tax to the extent the underlying income derives from dividends. Relief for foreign withholding taxes If an Equity Fund receives income from, or realises gains on disposal of investments in, foreign countries it may be subject to foreign withholding or other taxation in those jurisdictions. To the extent it relates to income, this foreign tax may be able to be treated as an expense for United Kingdom corporation tax purposes, or it may be treated as a credit against any United Kingdom corporation tax charge (up to the amount of tax so chargeable in the year on each foreign source). SDRT SDRT is only applicable to Funds which invest directly or indirectly wholly or in part in United Kingdom equities, equity-linked derivatives or in collective investment schemes over 20% invested in UK equities and related derivatives. (The following can be ignored for any Funds that do not invest in such investments.) Further, the government has announced that it intends to abolish this type of SDRT; the abolition is likely to take effect from 30 March SDRT is charged at the rate of 0.5% of the value of the Shares surrendered in a weekly charging period. The amount of this charge is then reduced by the proportion by which sales of Shares are less than surrenders, by number, in that week and the following week. This charge is also reduced by the proportion of the Fund which is invested in exempt assets that is those other than United Kingdom equities or related derivatives and collective investment schemes holding 20% or less by value of such investments. LON_LIB1\ \46 57

60 In simple terms, this has the effect of charging a 0.5% tax on the value of each surrender of Shares, where those Shares are subsequently sold to another investor within the relevant fortnight, and in proportion to how much of that Fund invests in United Kingdom equities, United Kingdom equity-linked derivatives and non-united Kingdom collective investment schemes. The ACD settles this liability from the assets of the relevant Fund itself. This will obviously reduce the assets of each Fund. It is the ACD s estimate that the effect of this will be immaterial compared to the total assets of each Fund. In order to compensate the Fund for this liability, managers of Shares are entitled to charge a provision against SDRT to both buyers and sellers of Shares, as set out in above. This provision would be added to the purchase price of Shares when they are bought, or deducted from the sales proceeds when sold. It would then be paid to the Company. Obviously this would cause the purchase price to the investor to rise, or the sales proceeds to fall. Taxation of Funds: Bond Funds Tax on capital gains Capital gains (except insofar as treated as income under the loan relationships provisions see below) accruing to a Bond Fund will be exempt from United Kingdom tax on chargeable gains. Corporation tax Bond Funds will be liable to United Kingdom corporation tax on income received, translated into sterling, from investments in debt, debt-related securities and cash deposits. In addition, the following amounts will be taxable income (or, as the case may be, income losses): - accrued interest included in the selling price of debt securities will be treated as taxable income; conversely, accrued interest included in the purchase price of debt securities will be treated as income expenses; and - in the case of certain securities, which are relevant discounted securities, profits on their disposal, transfer, redemption or conversion are taxed as income, and any losses so sustained treated as expenses. The total of the above elements will be taxed under the loan relationships provisions. Any dividends received from equities will be exempt from United Kingdom corporation tax. Any Bond Funds would normally pay interest distributions (including accumulations of income, which are deemed to be paid and reinvested as capital) to Shareholders which are treated as interest for United Kingdom tax purposes. The treatment of distributions as interest distributions for United Kingdom tax purposes is significant in two material respects: - distributions made should be deductible for corporation tax purposes against United Kingdom taxable income; and - United Kingdom income tax, currently at a rate of 20%, should be deducted from distributions made by a Bond Fund and accounted for by it to HM Revenue & Customs, unless a non-resident beneficial owner of the units makes a valid declaration ( NOR declaration ) to the Company in advance of a distribution being made, in which case no tax should be deducted from the distribution, or the investor is otherwise entitled to receive interest distributions gross. LON_LIB1\ \46 58

61 Loan relationships income, less gross interest distributions for United Kingdom corporation tax purposes, expenses (including ACD s and Depositary s fees) and non-united Kingdom withholding taxes, is subject to United Kingdom corporation tax at a rate equal to the basic rate of income tax (currently 20%). It is not expected that any corporation tax charge will be significant. The Shareholder Equity Funds Income distributions Any accumulations and distributions of income (hereinafter distributions ) comprise income for United Kingdom tax purposes. Except for Shareholders within the charge to corporation tax (as explained below), dividend distributions carry a tax credit equivalent to 10% of the aggregate of the distribution and the tax credit (i.e. one-ninth of the amount distributed/accumulated). United Kingdom resident individuals and (the trustees of) certain trusts liable to United Kingdom income tax will be taxable on the sum of their distributions and associated tax credits but will be entitled to set the tax credits against their United Kingdom income tax liability. Associated tax credits will satisfy the liability to income tax of basic rate taxpayers. Higher and additional rate taxpayers will have further tax to pay, the distributions and associated tax credits being taxed at a special rate of 32.5% and 37.5% respectively with the offset of a 10% tax credit. If the total income of a Shareholder who is an individual is less than his/her personal allowances, the associated tax credits applicable to dividend distributions cannot be repaid. Distributions to Shareholders within the charge to corporation tax are deemed to comprise two elements: - where an Equity Fund s gross income is not wholly derived from franked investment income, part of any distribution will be deemed to be reclassified as an annual payment received by such Shareholders after deduction of income tax at the basic rate, currently 20% ( deemed tax deducted ). Such Shareholders will be subject to corporation tax on the grossed-up amount of the annual payments but will be entitled to offset the deemed tax deducted or to have it repaid (to the extent indicated on the tax voucher). This repayment is, however, restricted depending on the details of the relevant Fund s investments; and - the remainder, which is grossed up by the 10% tax credit. Such franked investment income, as it is known, is exempt from United Kingdom corporation tax. Details of the proportions of distributions comprising franked investment income and annual payments will be shown on the tax voucher of the Fund concerned. Capital gains Shareholders who are resident in the United Kingdom may be liable to United Kingdom taxation on capital gains arising from the sale or other disposal, including redemption, of Shares. Individuals and certain trusts compute their gains by deducting from the net sale proceeds the capital gains base cost in respect of units. The base cost comprises, broadly, the historic cost. The resulting gains may be further reduced by capital losses brought forward from previous tax years or losses in the year, and by an annual exemption. Exempt Shareholders, which include United Kingdom charities, United Kingdom registered pension funds, and ISAs, would not normally be liable to capital gains tax on their disposal of Shares. The first income allocation received by an investor after buying Shares may include an amount of income equalisation. This is effectively a repayment of the income equalisation paid by the investor as part of the purchase price. It is a return of capital, and is not LON_LIB1\ \46 59

62 taxable. Rather it should be deducted from the allowable cost of income (but not accumulation) the Shares for capital gains tax purposes. Shareholders within the charge to corporation tax are taxed on the capital gain made computed on the basis of the rules described above. They are, however, entitled to indexation allowance on the basic cost to the date of disposal. Special rules apply to life insurance companies which beneficially own Shares. To the extent that such gains are referable to basic life and general annuity business, the Shareholding in each Fund is deemed to be realised at the end of the investors corporation tax accounting period and immediately reacquired; however, capital gains and losses may be spread on a seven year basis. Inheritance tax A gift by a Shareholder of his Shares in a Fund or the death of a Shareholder may give rise to a liability to inheritance tax. A number of reliefs may apply to exempt a transfer from liability. Gifts are not liable to inheritance tax, however, if the Shareholder is neither domiciled in the United Kingdom, nor deemed to be domiciled there under special rules relating to long residence or previous domicile in the United Kingdom. For these purposes, a transfer of a Shareholding at less than the full market value may be treated as a gift. Tax-Elected Funds ( TEFs ) TEFs and investors in them are taxed as described above in respect of capital gains. The tax treatment of their income is different, however. TEFs - income TEFs are entitled to deduct the gross amount of all non-dividend distributions made from their taxable income. This should result in TEFs having no United Kingdom tax liability on their income. Shareholders - income Any TEFs that produce distributable income will pay distributions to investors (which will be automatically reinvested in the Fund in the case of accumulation Shares). Any United Kingdom resident investors who receive distributions (or are deemed to receive them in the case of accumulation Shares) may have to divide them into two (in which case the division will be indicated on the tax voucher). The attribution will depend on the nature of the income arising to the TEF. TEF distribution (dividend): Any part of a TEF s income representing dividends or certain other types of property-related income will constitute a TEF distribution (dividend) for United Kingdom tax purposes. It should be treated in the same way as a dividend distribution from a Fund that has not opted for TEF status in the hands of United Kingdom resident investors, as described above under the sub-heading Income. TEF distribution (non-dividend): Any part of a TEF s income representing other types of income will constitute a TEF distribution (non-dividend) for United Kingdom tax purposes. It will generally be paid after deduction of basic rate income tax and carry an income tax credit. It should be treated in the same way as an interest distribution from a Fund as described above. Non-United Kingdom resident investors will generally be required to treat all distributions from TEFs as dividends with tax credits under their domestic tax systems, depending on their personal circumstances. LON_LIB1\ \46 60

63 The Shareholder Bond Funds Income distributions Any distributions comprise interest for United Kingdom tax purposes. Shareholders will be taxable on the gross amount distributed or treated as distributed in the case of accumulation Shares. In the absence of a valid non resident investors declaration or other entitlement to receive gross payments, the amount actually received will be net of tax at the basic rate, currently 20%, and so the amount to be taxed is at present equal to the amount received or deemed to have been received plus the tax credit equivalent to one quarter of that cash amount. Shareholders will be treated as already having paid 20% income tax on this income, and individuals liable to starting or basic rate tax will have no further tax to pay. Higher and additional rate taxpayers will have an additional liability. Those investors with no liability at all or who are only liable at the starting rate may be able to claim a refund. Corporate Shareholders will be able to set the income tax deducted against tax payments due to HM Revenue & Customs or claim repayment where there are none. Non-United Kingdom resident Shareholders, for which distributions would generally be treated as dividends, on completing the appropriate declarations, may be entitled to receive distributions gross of tax or to repayment of the tax credits depending on their circumstances. Bond Funds are required to report details of interest distributions paid to residents of the European Union and certain other jurisdictions to HM Revenue & Customs each year and also, on request, payments to United Kingdom residents. Exempt Shareholders, which include United Kingdom charities, United Kingdom registered pension funds and ISAs, should be able to recover the tax deducted from HM Revenue & Customs. Capital gains Shareholders who are resident or ordinarily resident in the United Kingdom may be liable to United Kingdom taxation on capital gains arising from the sale or other disposal, including redemption, of Shares. Individuals and certain trusts compute their gains by deducting from the net sale proceeds the capital gains base cost in respect of units. The base cost comprises, broadly, the historic cost plus the cost of any further acquisitions. Exempt Shareholders, which include United Kingdom charities, United Kingdom registered pension funds and ISAs, would not generally be liable to capital gains tax on the disposal of units. The first income allocation received by an investor after buying Shares may include an amount of income equalisation. This is effectively a repayment of the income equalisation paid by the investor as part of the purchase price. It is a return of capital, and is not taxable. Rather it should be deducted from the allowable cost of income (but not accumulation) the Shares for capital gains tax purposes. In respect of Shareholders subject to corporation tax holdings in these Funds will be treated as holdings of loan relationships. Gains will be recognised using the fair value method (which entails holdings being valued at the end of each accounting period and unrealised gains being recognised/taxed and unrealised losses being recognised/relieved). No indexation allowance is available. Inheritance tax A gift by a Shareholder of his Shares in a Fund or the death of a Shareholder may give rise to a liability to inheritance tax. A number of reliefs may apply to exempt a transfer from liability. Gifts are not liable to inheritance tax if the Shareholder is neither domiciled in the United Kingdom, nor deemed to be domiciled there under special rules relating to long residence or previous domicile in the United Kingdom. For these purposes, a transfer of a Shareholding at less than the full market value may be treated as a gift. LON_LIB1\ \46 61

64 Part 10: GENERAL INFORMATION Documents of the Company Copies of the latest Prospectus, Simplified Prospectus Key Investor Information Document (where available) and any other pre-contractual disclosure required by law or regulation, the Instrument of Incorporation and the annual and half-yearly reports and the material contracts referred to below are kept by and may be inspected at and obtained from the relevant distributor. Material Contracts The following contracts, not being contracts entered into in the ordinary course of business, have been entered into by the Company and are, or may be, material: (a) (b) (c) (d) (e) the ACD Agreement, dated 21 August 2007, between the Company and the ACD; the Depositary Agreement, dated 21 August 2007, between the Company, the ACD and the Depositary; the Administration Agreement, dated 2 September, between the Company, the ACD and the Administrator; the Investment Management Agreement, dated 21 August 2007, between the ACD and the Investment Manager; the Collateral Monitoring Agreement, dated 10 September 2007, between the ACD, Citibank N.A. and Citibank International Plc. Details of the above contracts are given under the heading The Service Providers in Part 2. Notice provisions All notices or other documents sent by the Company to a Shareholder will be sent by normal post to the last address notified in writing to the Company by the Shareholder. Changes to the Company or the Funds Where any changes are proposed to be made to a Company or a Fund the ACD will assess whether the change is fundamental, significant or notifiable in accordance with FCA Regulations. If the change is regarded as fundamental, Shareholder approval will be required. If the change is regarded as significant, 60 days prior written notice will be given to Shareholders. If the change is regarded as notifiable, Shareholders will receive suitable notice of the change. Strategy for the exercise of voting rights When applicable, the ACD will put in place a strategy for determining when and how voting rights attached to ownership of Scheme Property are to be exercised for the benefit of each Fund. Currently no strategy is applicable but if a Fund requires such a strategy to be put in place, a summary of this strategy including the details of the actions taken on the basis of this strategy in relation to such a Fund will be available on request from the ACD from the address in the Directory set out in Appendix G. Best Execution The ACD s best execution policy sets out the basis upon which the ACD will effect transactions and place orders in relation to the Company whilst complying with its obligations under the FCA Handbook to obtain the best possible result for the Company. Details of the best execution policy are available upon request from the ACD. LON_LIB1\ \46 62

65 Inducements The provision of any benefits described under section 5.2 (The ACD s Preliminary Charge) above will not result in any additional cost to the Company or the Funds. The ACD will make disclosures to the Company in relation to inducements as required under the FCA Regulations. Further details of any such inducements may be obtained on request from the ACD. Risk management In addition to inspecting the risk management process maintained by the ACD a Shareholder may also request information from the ACD relating to: (a) (b) (c) the quantitative limits applying to the risk management of the Company; the methods used in relation to (a); and any recent development of the risk and yields of the main categories of investment. Investor profile The Funds are marketable to investors who wish to gain the investment exposure as set out in the relevant Fund s investment objective and policy, have considered and acknowledge the risk warnings in relation to that Fund and can meet the minimum subscription levels. Complaints If you wish to make a complaint about the operation of the Company you should contact the Compliance Officer of the ACD in the first instance at 440 Strand, London WC2R 0QS and thereafter direct to the Financial Ombudsman Service, South Quay Plaza, 183 Marsh Wall, London E14 5HS. A copy of the Company s complaints policy is also available upon request. Genuine diversity of ownership Shares in the Funds are and will continue to be widely available. The intended categories of investors are retail investors (who should seek financial advice before investing in a Fund) and institutional investors. Different Share Classes of a Fund are issued to different types of investors. Shares in the Funds are and will continue to be marketed and made available sufficiently widely to reach the intended categories of investors for each Share Class, and in a manner appropriate to attract those categories of investors. Distance Marketing If a Shareholder has not had a face to face discussion with the ACD, an intermediary or distributor or other agent about making this investment they are entering into this transaction at a distance. Shareholders who have read this document, including this section, will have seen all the information applicable to the investment. If Shareholders have used an agent, they should also ask them for details of their identity, geographical address and the capacity in which they are acting. The ACD is authorised and regulated by the FCA and is entered on the FCA register with number The main service we are providing to Shareholders is the management and administration of the Fund in which Shareholders are proposing, on the application form, to invest. Details of LON_LIB1\ \46 63

66 all fees and expenses associated with the provision of this service are provided in this document. There are no additional costs levied by the ACD for investing, but there may be other taxes or third party costs that apply in a Shareholder s particular circumstances. The investment contract is governed by English Law and, by investing, Shareholders agree that the Courts of England have exclusive jurisdiction to settle any disputes. All communications in connection with this investment will be in the English language. Any information in this document is valid only at the date of publication which is disclosed on the front page. All such information can change at any time and it will not necessarily be possible for the ACD to notify Shareholders of any such changes in advance. Please check the following internet site or contact the ACD for updates on any of the enclosed information. Under certain circumstances a Shareholder may be entitled to claim under the Financial Services Compensation Scheme (FSCS). Shareholders should be aware that whether they are eligible to claim under the FSCS will depend on various factors and that there are limits on the amount of compensation the FSCS will pay. Most types of investment business are covered for up to 50,000. Further information about compensation arrangements is available from the Financial Conduct Authority ( FATCA - Compliance with US reporting and withholding requirements As part of the process of buying Shares, and at various points throughout ownership of Shares, investors in the Company will be required to provide the ACD (or its delegate) with any information that the Company considers necessary to enable it to comply with its domestic (and any overseas) obligations relating to FATCA. This may be in addition to information required for anti-money laundering purposes (see Money Laundering Prevention ). FATCA aims to prevent US tax evasion by requiring foreign financial institutions (such as the Company) to report certain information in relation to any Shareholder who is a Specified US Person to the Internal Revenue Service of the US ( IRS ). As a result of an intergovernmental agreement entered into between the US and UK governments, the ACD may be required to disclose information relating to Shareholders who fall within the definition of Specified US Person (and their investments in the Company) to HM Revenue & Customs, who will in turn exchange this information with the IRS. By signing the application form to subscribe for Shares in the Company, each Shareholder is agreeing to provide such information upon request from the Company or its delegate. Please note that the Company may treat Shareholders as a Specified U.S. Person where the Administrator is unable to establish that this is not the case. Shareholders who are concerned about their position are encouraged to consult with their own tax advisers regarding the possible implications of FATCA on their interest in the Company. LON_LIB1\ \46 64

67 Part 11: RISK WARNINGS Potential investors should consider the following risk factors (which are relevant to all the Funds) before investing in the Company. Specific risk warnings applicable to particular Funds or categories of Fund are set out in Appendix A for Capital Protected Funds and Appendix B for Investment Funds. General Risks 11.1 General The investments of the Company are subject to normal fluctuations and other risks inherent in investing in securities. There can be no assurance that any appreciation in value of investments will occur. The value of investments and the income derived from them may fall as well as rise and investors may not recoup the original amount invested in the Company. There is no assurance that the investment objectives of any Fund will actually be achieved Past performance Past performance should not be seen as an indication of future performance Counterparty risk The Funds may enter into derivative transactions in order to meet their investment objectives with various financial institutions. These financial institutions are acting as a counterparty. This means that Shareholders investment in the Funds will be exposed to the counterparty risk of these financial institutions. RBS plc is currently the sole counterparty to the Funds. When an investment is exposed to counterparty risk, it means that if the counterparty were to default or become insolvent, some or all of the value of the investment could be lost. This means that in the event that the counterparty, were to default or become insolvent, Shareholders could lose some or all of their money. In order to reduce the counterparty risk in this type of investment, a collateral arrangement is used. Collateral is like a deposit or a security agreement used to satisfy any potential liability arising from a transaction, for example property provided as security for a loan, such as a mortgage arrangement. The counterparties with which the Funds enter into derivative contracts provide Collateral to the Fund. This collateral is made up of government bonds, and is held by the Fund s independent Depositary. The Fund has full legal rights to this collateral. In the event that the counterparty were to default or become insolvent, this collateral would be used to enable investors to recoup at least some of their money. Whilst the collateral may not cover the full value of the Fund, it aims to cover at least 90% of the value of the Fund at all times. The collateral therefore provides a degree of mitigation to customers in relation to the counterparty risk. Please refer to the Counterparty risk warning applicable to Capital Protected Funds in Appendix A and to Investment Funds in Appendix B for further information Effect of Preliminary Charge Where a preliminary charge is imposed, an investor who realises his or her Shares after a short period may not (even in the absence of a fall in the value of the relevant investments) realise the amount originally invested. Therefore, the Shares should be viewed as a long term investment. LON_LIB1\ \46 65

68 11.5 Suspension of Dealings in Shares Investors are reminded that in certain circumstances their right to redeem Shares may be suspended (see Suspension of Dealings in the Company in section above) Currency Exchange Rates Depending on an investor s currency of reference, currency fluctuations may adversely affect the value of an investment Liabilities of the Company Under the Regulations, each Fund is a segregated portfolio of assets and those assets can only be used to meet the liabilities of, or claims against, that Fund. Whilst the provisions of the Regulations provide for segregated liability between Funds, the concept of segregated liability is relatively new. Accordingly, where claims are brought by local creditors in foreign courts or under foreign law contracts, it is not yet known whether a foreign court would give effect to the segregated liability and crossinvestment provisions contained in the Regulations. Therefore, it is not possible to be certain that the assets of a Fund will always be completely insulated from the liabilities of another Fund of the Company in every circumstance. Shareholders are not liable for the debts of the Company. A Shareholder is not liable to make any further payment to the Company after he or she has paid the purchase price of the Shares Taxation Tax regulations and concessions are not guaranteed and can change at any time; their value to a Shareholder will depend on his or her circumstances Limited Issue Shares Where a Fund is a Limited Issue Fund it will not be able to issue Shares after its Limited Issue Period and therefore investors must ensure that in respect of Class 1 Shares their subscription monies are received by a distributor during the relevant distributor s offer period Non-cash assets Cash In the event of the insolvency of the Depositary, there may be an administrative delay for the Company or its delegates in getting access to the non-cash assets of the Funds held in custody. Cash is held by the Depositary for a Fund in a bank deposit account, and represents an amount owed by the bank to the Depositary for the benefit of such Fund. In the event of the insolvency of the Depositary, the cash claim of the Fund would be protected. However, in the event of the insolvency of the bank with which the cash is held, the cash claim held by Depositary on behalf of the Fund would become a claim of the Depositary as a general unsecured creditor in the insolvency of the bank (subject to any applicable deposit protection schemes), and as a result, the Fund will be at risk of the loss of some or all of the cash held on deposit with the insolvent bank. LON_LIB1\ \46 66

69 APPENDIX A CAPITAL PROTECTED FUNDS Full details of each of the Funds offering full or partial capital protection ( Capital Protected Funds ) including the investment objectives and policies, are set out in this Appendix A. Capital Protected Funds may take the form of Limited Issue Funds or Non-Limited Issue Funds. The defined terms set out below are used in relation to the Capital Protected Funds only: Averaging Business Day the basis upon which the return provided by an, basket of Indices or basket of Stocks (as defined in relation to each relevant Fund) will be calculated by using the Level or Stock Price and the Final Level or the Final Stock Price or Early Maturity Level (as applicable). For Capital Protected Funds where Averaging is applicable, the Final Level or Early Maturity Level (as applicable) for each, basket of Indices or basket of Stocks (as applicable) will be calculated using an average number of observations over a particular period, as more specifically set out in this Appendix A, in respect of the relevant Capital Protected Fund. a UK Business Day on which the level of the applicable (or Indices) is calculated and published in accordance with the applicable rules or, if applicable, the price of the relevant Stock is quoted on an exchange or quotation system. If an applicable level is not calculated and published or the applicable Stock price is not quoted on an exchange or quotation system as a result of a holiday or for any other reason or there is a holiday elsewhere or other reason which impedes the calculation of the fair market value of a Fund s portfolio of securities or a significant portion thereof, the ACD may decide that any Business Day shall not be construed as such. Early Maturity Date The date on which an Early Maturity Level is reached and a Capital Protected Fund ceases to invest in derivatives and instead either invests in cash, near cash and/or deposits and/or money market based collective investment schemes or redeems Shareholders investments. Early Maturity Level for each this means the final level of that for the purpose of calculating the performance of that between the Investment Date and the Early Maturity Date normally calculated using the closing level of that on the Early Maturity Date or such other method including the use of Averaging as set out for each Capital Protected Fund (if applicable) in the Fund Specific Details in this Appendix A. Early Maturity Level Only on a specified anniversary/ies of the Investment Date of a Capital Protected Fund (or where the anniversary of that Capital Protected Fund s Investment Date is not a Business Day, on the next Business Day following the anniversary of the Investment Date- see the Fund Specific Details in this Appendix for the precise dates); a fixed percentage of the positive performance of the or Indices for the relevant Capital Protected Fund calculated using the Level and the Early Maturity Level as set out for each Capital Protected Fund (if LON_LIB1\ \46 67

70 applicable) in the Fund Specific Details in this Appendix A. Final Level Final Stock Price Fixed Return or Indices Business Day Level Stock Price Investment Date Maturity Date Participation Rate for each this means the final level of that used for the purpose of calculating the performance of that between the Investment Date and the Maturity Date normally using the closing level of that on the Maturity Date or such other method, including the use of Averaging, as set out under the applicable Capital Protected Fund Specific Details in this Appendix A. for each Stock this means the closing price of that Stock used for the purpose of calculating the performance of that Stock between the Investment Date and the Maturity Date normally using the closing price of that Stock on the Maturity Date or such other method, including the use of Averaging, as set out under the applicable Fund Specific Details in this Appendix A. where a Capital Protected Fund has an Early Maturity Date, the fixed return payable to Shareholders as detailed in the Fund Specific Details in this Appendix A. an index or indices which may be used as a benchmark for calculating growth for a Capital Protected Fund. Details of the relevant index or indices for a Capital Protected Fund are set out in the Fund Specific Details in this Appendix A. a day on which the relevant (or Indices) level is calculated and published in accordance with the applicable rules. If an applicable is not calculated and published as a result of a holiday or for any other reason, or there is a holiday elsewhere or other reason which impedes the calculation of the fair market value of a Capital Protected Fund s portfolio or a significant portion thereof, the ACD may decide that any Business Day shall not be construed as such. for each this means the initial level of that used for the purpose of calculating the performance of that between the Investment Date and the Maturity Date or Early Maturity Date (if applicable) normally using the closing level of that on the Investment Date or such other method as set out under Fund Specific Details in this Appendix A. for each Stock this means the initial price of that Stock used for the purpose of calculating the performance of that Stock between the Investment Date and the Maturity Date normally using the closing price of that Stock on the Investment Date or such other method as set out under the applicable Fund Specific Details in this Appendix A. the date on which a Capital Protected Fund invests up to 100% in derivatives. the date on which a Capital Protected Fund ceases to invest in derivatives and instead either invests in cash, near cash and/or deposits and/or money market based collective investment schemes or redeems Shareholders investments. the percentage of any increase in an or basket of Indices from which a Capital Protected Fund benefits after taking account of Averaging, if applicable. LON_LIB1\ \46 68

71 Protected Amount Protected Maturity Share Price Scheduled Trading Day Stock UK Business Day the Protected Maturity Share Price multiplied by the number of Shares held by a Shareholder provided those Shares are held to Maturity Date or Early Maturity Date (if applicable). the price of Shares (including the preliminary charge) at the Launch Date and which Shareholders will receive back if they hold Shares to the Maturity Date or Early Maturity Date (if applicable). Details of the relevant price for each Capital Protected Fund are set out in the Fund Specific Details in this Appendix A. a day on which the exchange, related exchange or quotation system on which the price of a Stock is quoted, are scheduled to be open for trading for their respective regular trading sessions. If the price of a Stock is not quoted as a result of a holiday or for any other reason, or there is a holiday elsewhere or other reason which impedes the calculation of the fair market value of a Capital Protected Fund s portfolio or a significant portion thereof, the ACD may decide that any Scheduled Trading Day shall not be construed as such. a stock or basket of stocks which may be used as a benchmark for calculating growth for a Capital Protected Fund. Details of the relevant stock or stocks for a Fund are set out in the applicable Fund Specific Details in this Appendix A. a day on which the ACD is open for Business. The ACD may decide that any UK Business Day shall not be construed as such. UK/Hong Kong Business Day a day on which both the London Stock Exchange and the Hong Kong Stock Exchange is open. If the London Stock Exchange or the Hong Kong Stock Exchange is closed as a result of a holiday or for any other reason, or there is a holiday elsewhere or other reason which impedes the calculation of the fair market value of a Capital Protected Fund s portfolio of securities or a significant portion thereof, the ACD may decide that any UK/Hong Kong Business Day shall not be construed as such. Launch of Capital Protected Funds A Capital Protected Fund may have an Offer Period during which subscriptions may be made in accordance with the instructions given by the ACD or a distributor. A Capital Protected Fund may be launched as a Limited Issue Fund or a Non-Limited Issue Fund. Where a Limited Issue Fund is launched investors may only subscribe for Shares in the relevant Limited Issue Period, details of which are set out as relevant in this Appendix A. From the Investment Date (which may also but will not necessarily be the Launch Date) to the Maturity Date or Early Maturity Date (if applicable), each Capital Protected Fund will normally invest principally in derivatives. This is to provide the capital protection and the participation as set out in a Capital Protected Fund s objective. The derivatives will be entered into with financial institutions known as counterparties. Please note that RBS plc is currently the sole counterparty used to provide derivatives in relation to a Capital Protected Fund. Details of how each Capital Protected Fund uses derivatives are available upon request. It is only possible to switch into other Funds in the Company which are not Limited Issue Funds. LON_LIB1\ \46 69

72 Each of the Funds have different features and in particular offer varying degrees of capital protection. Shareholders will only benefit from the level of protection available in the Fund into which they switch (and this may be a lesser degree of protection than that afforded to Shareholders of the Fund in which they originally invested). When switching, Shareholders will receive Shares in the new Fund at a price which relates to the Net Asset Value of that Fund at the time at which the switch takes place. This price may be higher than the Protected Maturity Share Price in the new Fund (if applicable) and therefore not necessarily all of the amount which a Shareholders switches into the new Fund will be protected. Maturity of the Capital Protected Funds Capital Protected Funds may either take the form of funds which will be wound up once Shareholders have been paid the proceeds of redemption calculated as at the Maturity Date or Early Maturity Date (if applicable - see further explanation below) or which continue after the Maturity Date on comparable terms and investment objective but with a new Maturity Date. In either case, at the Maturity Date or Early Maturity Date (if applicable), the Funds will cease to invest in derivatives and will either invest in cash/near cash, money market instruments and money market based collective investment schemes or redeem Shareholders holdings. Some of the Capital Protected Funds (currently the Protected Investment Fund 4 China Growth and Protected Investment Fund 5 China Growth) may have an Early Maturity Date which may be triggered on specified anniversaries of the Investment Date of the Capital Protected Fund (or where the anniversary of that Fund s Investment Date is not a Business Day, on the next Business Day following the anniversary of the Investment Date) but only if an Early Maturity Level is reached on a relevant anniversary date. If an Early Maturity Level is not reached on any of the specified anniversary dates, then the Fund will continue until the Maturity Date. The relevant Early Maturity Levels, Early Maturity Dates and Maturity Dates for these Funds are set out in the Fund Specific Details in this Appendix A. Before the Maturity Date of the relevant Capital Protected Fund, the ACD or its appointed agent will write to Shareholders who will be notified that the fixed term of the Capital Protected Fund is about to end to outline the options available to them for payment of their proceeds of investment. Where the ACD or its appointed agent receives Shareholders' written instructions (and any other outstanding information requested by the ACD or its appointed agent) prior to the Maturity Date, Shareholders will normally receive their proceeds of investment within 10 business days following the Maturity Date. Where Shareholders' written instructions (and any other outstanding information requested by us) are received after the Maturity Date, Shareholders will normally receive their proceeds of investment within 10 business days of receipt of such instructions and/or information. In respect of the Capital Protected Funds which may have an Early Maturity Date, the ACD or its appointed agent will contact Shareholders before an Early Maturity Date is triggered, to outline the options available to them for payment of their proceeds of investment. Where the ACD or its appointed agent receives Shareholders' written instructions (and any other outstanding information requested by the ACD or its appointed agent) prior to the Early Maturity Date, Shareholders will normally receive their proceeds of investment within 10 business days following the Early Maturity Date. Where Shareholders' written instructions (and any other outstanding information requested by us) are received after the Early Maturity Date, Shareholders will normally receive their proceeds of investment within 10 business days of receipt of such instructions and/or information. Where an Early Maturity Date is not triggered, the process for the Maturity Date, as detailed above will be followed. Please note that Shareholders may be requested to provide a chosen UK bank or building society account for the proceeds to be credited or alternatively payment will be made to the account nominated on the application form. If no bank account details are held, and Shareholders invested via Cheque or where a Shareholder holds their investment in a Stocks and Shares ISA, proceeds may not be paid until that Shareholder s written instructions have been received. LON_LIB1\ \46 70

73 Specific Risk Warnings Applicable to Capital Protected Funds 1. Capital Protection The Capital Protected Funds have a capital protection feature, but are not guaranteed investments and Shareholders may not get back the full amount of their investment. Shareholders capital may be at risk where Shares are not held until the Maturity Date or Early Maturity Date (if applicable) (see Early Redemption below) or in circumstances where a counterparty defaults (see Counterparty Risk below). 2. Derivatives Derivatives will be used in the Capital Protected Funds for the purposes of investment. Where the ACD invests in derivatives and forward transactions in the pursuit of a Capital Protected Fund s objectives, the net asset value of that Fund may at times be volatile (in the absence of compensating investment techniques). However, it is the ACD s intention that the Capital Protected Fund will not have volatility over and above the general market volatility of the markets of the Capital Protected Fund s underlying investments owing to the use of the derivatives and/or forward transactions in the pursuit of its objectives. It is not the ACD s intention that the use of derivatives and forward transactions in the pursuit of a Capital Protected Fund s objective will cause its risk profile to change. 3. Counterparty risk The Capital Protected Funds may enter into derivative transactions in order to meet their investment objectives with various financial institutions. These financial institutions are acting as a counterparty. This means that Shareholders investment in the Capital Protected Funds is exposed to the counterparty risk of these financial institutions. RBS plc is currently the sole counterparty to the Capital Protected Funds. When an investment is exposed to counterparty risk, it means that if the counterparty were to default or become insolvent, the capital protection feature of the Capital Protected Funds will not apply and some or all of the value of the investment could be lost. This means that in the event that the counterparty, including RBS plc, were to default or become insolvent, Shareholders could lose some or all of their money. Credit ratings can be a useful way to help understand the relative risks associated with different counterparties and their financial strength. The ratings are assigned by independent companies known as ratings agencies and reviewed regularly. RBS plc s long term issuer credit ratings are A by Standard & Poor s, A3 by Moody s Investor Service and A by Fitch Ratings (as at the date of this Prospectus). Moody s rate companies from Aaa (highest quality with minimal credit risk) to C (obligations are typically in default with little prospect of recovery of principal or interest), Standard & Poor s rate companies from AAA (extremely strong capacity to meet its financial commitments) to D (payment in default) and Fitch rate companies from AAA (highest credit quality) to D (default). These credit ratings are reviewed on a regular basis and are subject to change by these agencies. In order to reduce the counterparty risk in this type of investment, a collateral arrangement is used. Collateral is like a deposit or a security agreement used to satisfy any potential liability arising from a transaction, for example property provided as security for a loan, such as a mortgage arrangement. LON_LIB1\ \46 71

74 The counterparties with which the Capital Protected Funds enter into derivative contracts provide collateral to the Capital Protected Fund. This collateral is made up of government bonds, and is held by the Depositary (who is independent of RBS plc). The Capital Protected Fund has full legal rights to this collateral. In the event that the counterparty were to default or become insolvent, this collateral would be used to enable investors to recoup at least some of their money. Whilst the collateral may not cover the full value of the Fund, it aims to cover at least 90% of the value of the Fund at all times. The collateral therefore provides a degree of mitigation to customers in relation to the counterparty risk. 4. Early Maturity Dates Some Capital Protected Funds may mature early on one or more specified anniversaries of their Investment Date (or where the anniversary of that Fund s Investment Date is not a Business Day on the next Business Day following the anniversary of the Investment Date) but only where that Capital Protected Fund s Early Maturity Level (as set out in the Fund Specific Details in this Appendix) for the appropriate anniversary is met. For example a Capital Protected Fund may have an Early Maturity Date on its third anniversary where the Early Maturity Level is 30% growth in its relevant Indices since the Investment Date. In order for a Capital Protected Fund to mature early it must have met or exceeded its Early Maturity Level on the relevant Early Maturity Date. If an Early Maturity Date is triggered then Shareholders will receive back their initial investment plus a fixed return (as set out in the applicable Fund Specific Details). For example if an Early Maturity Date is triggered and the Early Maturity Level for that Capital Protected Fund is 30% for that particular Early Maturity Date then Shareholders will receive a return of 30% on their initial investment even if a higher percentage growth has been achieved by the. The fixed return may vary for different Early Maturity Dates and Capital Protected Funds. 5. Early Redemption Shareholders who redeem their Shares prior to the Maturity Date or Early Maturity Date (if applicable) may receive less than the relevant Protected Amount. Capital protection only applies to those Shares held until the Maturity Date or Early Maturity Date (if applicable). You can redeem all or part of your investment before that time, although you could get back less than you originally invested as the value of your Shares can go down as well as up and a redemption charge may be levied. Although some of the Capital Protected Funds may mature early, Shareholders should be prepared to invest in the Capital Protected Funds until the relevant Maturity Date. 6. Features of the Funds For equity linked investments stock market prices or indices can move erratically and be affected by many diverse factors, including political and economic events but also rumours and sentiment. The level of the, basket of Indices or value of Stocks to which an investment may be linked can fall as well as rise. If the applicable level or Stock value falls or remains the same, this would mean that your investment has not grown and the spending power of your returned invested capital could be eroded by the effects of inflation. The amount of capital appreciation (if any) achieved may depend not only on the Participation Rate (if applicable) but also on the level of any or value of any Stock against which performance is benchmarked, if any. The level of an or LON_LIB1\ \46 72

75 value of a Stock can fall as well as rise which means that there may be no capital appreciation and Shareholders may only receive the return of the Protected Amount. Where an ceases to be calculated or published, is modified, disrupted or cancelled or is otherwise unable to be used for the purpose of the investment objective of the relevant Capital Protected Fund, the ACD will take steps to substitute another which resembles as closely as possible the existing or take any steps which it considers necessary to achieve (in so far as it is possible to do so in the circumstances) the investment objective of the relevant Capital Protected Fund. It may be necessary in these circumstances to seek Shareholder approval for this change or to give Shareholders 60 days notice of the change. Where there is no suitable replacement the ACD may seek the FCA s approval to wind up the relevant Fund. New taxation or accounting law or practice concerning the derivatives into which a Capital Protected Fund has invested could adversely affect the Capital Protected Funds. This is because any unforeseen tax liability would have to be paid by the applicable Capital Protected Fund. Averaging (as defined in respect of relevant Capital Protected Funds in this Appendix) to calculate the extent of participation in the growth in an or Stock value has potential benefits and drawbacks from taking one final level (for an /Indices) or one final value (for a Stock) at the Maturity Date or Early Maturity Date (if applicable). Using averaging could protect the investor from a large downward move in the relevant or Indices or value of the relevant Stock towards the end of the investment. However it is also possible that the final level may be higher than the average of the number of observations taken. 7. Emerging Markets Exposure to emerging markets assets generally entails greater risks than exposure to well-developed markets, including potentially significant legal economic and political risks. Emerging markets are by definition "in transformation" and are therefore exposed to the risk of swift political change and economic downturn. In recent years, many emerging market countries have undergone significant political, economic and social change. In many cases, political concerns have resulted in significant economic and social tensions and in some cases both political and economic instability has occurred. Political or economic instability may affect investor confidence, which could in turn have a negative impact on the prices of emerging market exchange rates, securities or other assets. The prices of emerging market exchange rates, securities or other assets are often highly volatile. Movements in such prices are influenced by, among other things, interest rates, changing market supply and demand, external market forces (particularly in relation to major trading partners), trade, fiscal, monetary programmes, policies of governments, and international political and economic events and policies. In emerging markets, the development of securities markets usually is at an early stage. This could lead to risks and practises (such as increased volatility) that are not common in more developed securities markets, which may negatively affect the value of securities listed on the exchanges of such countries. In addition, markets of emerging market countries are often characterised by illiquidity in the form of a low turnover of some of the listed securities. It is important to note that, during times of global economic slowdown, emerging market exchange rates, securities and other assets are more likely than other forms of investment with lower risks to be sold during any flight to quality, and their value may decrease accordingly. LON_LIB1\ \46 73

76 8. Risk warnings specific to Protected Investment Fund 6 RICI Enhanced SM Global Commodities and Protected Investment Fund 8 RICI Enhanced SM Global Commodities (for the purposes of this section both referred to as RICI Funds ) The RICI Funds are subject to market fluctuation risks and volatility risks relating to the Rogers International Commodity - Enhanced SM Excess Return (the RICI Enhanced SM Global ). The RICI Funds are intended for investors who are looking for exposures to futures contracts the underlying assets of which are commodities. Accordingly, investors should note that the volatility of the RICI Enhanced SM Global may affect the value of their investment. Investors should note that one or more futures contracts making up the RICI Enhanced SM Global may dominate its composition. Consequently, such an investment should only be made as part of a diversified portfolio by investors with sufficient experience to be able to evaluate its merits and risks. In addition, the RICI Enhanced SM Global is an index of futures contracts, the prices of which are affected by a variety of factors, including weather, governmental programs and policies, national and international political and economic events, changes in interest and exchange rates and trading activities in commodities and related contracts. These factors may adversely affect the level of the RICI Enhanced SM Global and the value of the Shares in the RICI Funds. LON_LIB1\ \46 74

77 FUND SPECIFIC DETAILS PART 1 - NON-LIMITED ISSUE FUNDS Name: Type of Fund: Protected Investment Fund 1 UK Growth (This fund has matured and is in the process of being terminated) UCITS scheme Investment objective and policy: The objective of the Fund is to provide a return linked to the performance of the FTSE 100 * (the ) during a fixed participation period. Providing Shareholders remain invested until the Maturity Date, the objective is to return Shareholders the Protected Maturity Share Price of 1 per Share plus a return linked to the (the Linked Return ) depending upon whether the has risen or fallen as measured by reference to the Level and Final Level. The Level is the level of the prevailing at the close of business on the Investment Date. The Final Level is the average of the closing levels of the on the 19th day of each month beginning (and including) November 2012 to (and including) November In the event that any day is not a Business Day the closing level of the will be calculated on the next Business Day. The percentage growth of the (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level; If the has fallen by more than 50% the Linked Return will be zero and investors will receive back the Protected Maturity Share Price. If the has not fallen by more than 50% investors will receive back the Protected Maturity Share Price plus an Linked Return equal to 60% of the rise in the with a minimum Linked Return of 25 pence per Share. If growth in the when multiplied by the participation rate of 60% is higher than 25%, then Shareholders will receive the higher return. The worked example below sets out how the Fund will work in practice. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the capital appreciation and to protect Shareholders initial investment. At the Maturity LON_LIB1\ \46 75

78 Date, the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes and money market instruments and deposits. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: 0.92 Protected Maturity Share Price 1 Launch Date: 19 November 2007 Investment Date: 19 November 2007 Maturity Date: 21 November 2013 Averaging The Final Level is the average of the closing levels of the on the 19th day of each month beginning (and including) November 2012 to (and including) November In the event that any day is not a Business Day the closing level of the will be calculated on the next Business Day. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through the RBS plc and National Westminster Bank Plc (distributors of the Fund) prior to the Launch Date) Class 2 Shares (Accumulation) (Direct investors through the ACD after the Launch Date) Valuation Point: Cut Off Point: Dealing Days: 5:00pm on each Dealing Day Applications and cleared monies must be received by close of business on the UK Business Day prior to a Dealing Day The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of LON_LIB1\ \46 76

79 each month Preliminary charge: Current: Class 1-8% Class 2-10% Redemption charge Current: Class 1-1% Class 2-1% The Redemption Charge will be made in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date. Annual ACD fee: Current: Nil Investment minima** Class 1 Class 2 Lump sum 5, ,000 Holding 5, ,000 Top-up N/A N/A Monthly saving N/A N/A Redemption 1,000 Shares 10,000 Shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each purchase and redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Distributions (if any) Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the FTSE 100 is a capital index, and does not pay income. The only income received by the Fund will be interest arising post the Maturity Date. The Fund s capital will be invested to protect the LON_LIB1\ \46 77

80 investors capital and to produce a capital gain linked to the performance of the FTSE 100. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). LON_LIB1\ \46 78

81 Name: Type of Fund: Investment objective and policy: Protected Investment Fund 2 UK Growth (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a return linked to the performance of the FTSE 100 * (the ) during a fixed participation period. Providing Shareholders remain invested until the Maturity Date, the objective is to return Shareholders the Protected Maturity Share Price of 1 per Share plus a return linked to the (the Linked Return depending upon whether the has risen or fallen as measured by reference to the Level and Final Level. The Level is the level of the prevailing at the close of business on the Investment Date. The Final Level is the average of the closing levels of the on the 23rd day of each month beginning (and including) January 2013 to (and including) January In the event that any day is not a Business Day the closing level of the will be calculated on the next Business Day. The percentage growth of the (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level; If the has fallen by more than 30% the Linked Return will be zero and investors will receive back the Protected Maturity Share Price. If the has not fallen by more than 30% investors will receive back the Protected Maturity Share Price plus an Linked Return equal to 60% of the rise in the with a minimum Linked Return of 25 pence per Share. If growth in the when multiplied by the participation rate of 60% is higher than 25%, then Shareholders will receive the higher return. The worked example below sets out how the Fund will work in practice. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the capital appreciation and to protect Shareholders initial investment. At the Maturity Date, the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes. LON_LIB1\ \46 79

82 The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes and money market instruments and deposits. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Protected Maturity Share Price 1 Launch Date: 23 January 2008 Investment Date: 23 January 2008 Maturity Date: 27 January 2014 Averaging The Final Level is the average of the closing levels of the on the 23rd day of each month beginning (and including) January 2013 to (and including) January In the event that any day is not a Business Day the closing level of the will be calculated on the next Business Day. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through the RBS plc and National Westminster Bank Plc (distributors of the Fund) prior to the Launch Date) Class 2 Shares (Accumulation) (Direct investors through the ACD after the Launch Date) Valuation Point: Cut Off Point: Dealing Days: 5:00pm on each Dealing Day Applications and cleared monies must be received by close of business on the UK Business Day prior to a Dealing Day The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month Preliminary charge: Current: Class % Class 2-10% LON_LIB1\ \46 80

83 Redemption charge Current: Class 1-1% Class 2-1% The Redemption Charge will be made in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date. Annual ACD fee: Current: Nil Investment minima** Class 1 Class 2 Lump sum 5, ,000 Holding 5, ,000 Top-up N/A N/A Monthly saving N/A N/A Redemption 1,000 Shares 10,000 Shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each purchase and redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Distributions (if any) Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the FTSE 100 is a capital index, and does not pay income. The only income received by the Fund will be interest arising post the Maturity Date. The Fund s capital will be invested to protect the investors capital and to produce a capital gain linked to the performance of the FTSE 100. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains LON_LIB1\ \46 81

84 will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. LON_LIB1\ \46 82

85 Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the tables on page 86 to 88 for examples of how the index return may affect your investment. Buying Class 1 Shares This example sets out the calculations that would be applied if an investor were to invest 10,000 in Class 1 Shares. The Shares will be initially priced at 0.92 per Share for Protected Investment Fund 1 UK Growth and at per Share for Protected Investment Fund 2 UK Growth, with a Protected Maturity Share Price of 1.00 per Share, therefore ensuring that the investor will have a protected return of 10,000 if they hold the Shares to the Maturity Date. investment -Example for Protected Investment Fund 1 UK Growth 10,000 Less Preliminary charge of 8% 800 Equals Money remaining to purchase Shares 9,200 Number of Shares at 0.92 each 10,000 Value of 10,000 Shares 9, Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 10,000 investment-example for Protected Investment Fund 2 UK Growth 10,000 Less Preliminary charge of 7.80% 780 Equals Money remaining to purchase Shares 9,220 Number of Shares at each 10,000 Value of 10,000 Shares 9, Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 10,000 LON_LIB1\ \46 83

86 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 10,000 such Shares in the Fund. In this example the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). NB The Protected Maturity Share Price is only applicable to Shares held on the Maturity Date and is not available on Shares redeemed before then, and therefore Shareholders may receive back less than the original subscription amount. Prior to redemption Number of Shares held 10,000 NAV per Share 1.10 Value of Shares held 11,000 Protected Amount ( 1 per Share) 10,000 On redemption Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds Post redemption Remaining Shares 9,000 Current value of remaining Shares 9,900 Protected Amount (number of Shares x Protected Maturity Share Price) 9,000 Buying Shares after the Launch Date This example sets out the calculations that would be applied if an investor were to invest 100,000 in Class 2 Shares (which will be the only class of Shares available once the Fund has launched). In this example the Class 2 Shares have a Share price of 1.10, and a Protected Maturity Share Price of 1.00 per Share, therefore ensuring that the investor will have a protected return of 100,000 if they hold the Shares to the Maturity Date. The Dilution Levy used in this example assumes net subscriptions on the relevant Dealing Day, and is used to demonstrate the possible effect this would have on the number of Shares a Shareholder may receive. LON_LIB1\ \46 84

87 NB For Class 2 Share a minimum investment amount of 100,000 is applicable. investment 100,000 Less Preliminary charge of 10% 10,000 Money remaining to purchase Shares 90,000 Dilution Levy of 2% 1,800 Money remaining to purchase Shares after Dilution Levy and preliminary charge applied 88,200 NAV per Share 1.10 Number of Shares purchased at 1.10 each 80, Value of 80, Shares at Valuation Point 88,200 Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 80, LON_LIB1\ \46 85

88 Applying the growth or reduction in the level of to the value of your investment at the Maturity Date The table below assumes investment is made into Protected Investment Fund 1 UK Growth. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, this table should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. The following table sets out the expected returns of an investment of 10,000 in the Protected Investment Fund 1 UK Growth at certain Final Levels. This example assumes that the Level is Final Level movement (Final Level expressed as a percentage of the Participation amount return % fall As the has fallen by more than 50% from the Level of 6000, the return will be the Protected Maturity Share Price of 1.00 per Share. Therefore the total return would be 10,000 Shares multiplied by % fall As the has not fallen by more than 50% from the Level of 6000, the return will be 1.25 which is made up of the Protected Maturity Share Price of 1.00 per Share plus a minimum return of 25% per Share (the Target Minimum Return ). Therefore the total return would be 10,000 Shares multiplied by Application of the Target Minimum Return The Target Minimum Return will be paid in all cases where the has not fallen by more than 50%. However, where the growth of the multiplied by 60% results in a percentage that is higher than 25%, then the higher percentage will be applied 6000 No move As the has not moved from the Level of 6000, the return will be 1.25 which is made up of the Protected Maturity Share Price of 1.00 per Share plus and the Target Minimum Return of 25% per Share. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 50% from the Level of 6000, the return will be 1.30 which is made up of the Protected Maturity Share Price of 1.00 per Share plus 30% per Share. The 30% per Share is derived from the rise in the (50%) multiplied by 60%. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 100% from the Level of 6000, the return will be 1.60, which is made up of the Protected Maturity Share Price of 1.00 per Share plus 60% per Share. The 60% per Share is derived from the rise in the (100%) multiplied by 60%. Therefore the total return would be 10,000 Shares Total return 10,000 12,500 12,500 13,000 16,000 LON_LIB1\ \46 86

89 multiplied by Please note that although the fund offers a Protected Maturity Share Price, the Fund is not a guaranteed product. The following table sets out the expected returns of an investment of 10,000 in the Protected Investment Fund 2 UK Growth at certain Final Levels. This example assumes that the Level is Final Level movement (Final Level expressed as a percentage of the Participation amount return % fall As the has fallen by more than 30% from the Level of 6000, the return will be the Protected Maturity Share Price of 1.00 per Share. Therefore the total return would be 10,000 Shares multiplied by % fall As the has not fallen by more than 30% from the Level of 6000, the return will be 1.25 which is made up of the Protected Maturity Share Price of 1.00 per Share plus a minimum return of 25% per Share (the Target Minimum Return ). Therefore the total return would be 10,000 Shares multiplied by Application of the Target Minimum Return The Target Minimum Return will be paid in all cases where the has not fallen by more than 30%. However, where the growth of the multiplied by 60% results in a percentage that is higher than 25%, then the higher percentage will be applied 6000 No move As the has not moved from the Level of 6000, the return will be 1.25 which is made up of the Protected Maturity Share Price of 1.00 per Share plus and the Target Minimum Return of 25% per Share. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 50% from the Level of 6000, the return will be 1.30 which is made up of the Protected Maturity Share Price of 1.00 per Share plus 30% per Share. The 30% per Share is derived from the rise in the (50%) multiplied by 60%. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 100% from the Level of 6000, the return will be 1.60, which is made up of the Protected Maturity Share Price of 1.00 per Share plus 60% per Share. The 60% per Share is derived from the rise in the (100%) multiplied by 60%. Therefore the total return would be 10,000 Shares multiplied by Total return 10,000 12,500 12,500 13,000 16,000 Please note that although the fund offers a Protected Maturity Share Price, the Fund is not a guaranteed product. LON_LIB1\ \46 87

90 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. LON_LIB1\ \46 88

91 PART 2 - LIMITED ISSUE FUNDS Name: Type of Fund: Investment objective and policy: Protected Investment Fund 3 UK Growth (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a return linked to the performance of the FTSE 100 * (the ) during a fixed participation period. Providing Shareholders remain invested until the Maturity Date, the objective is to return Shareholders the Protected Maturity Share Price of 1per Share plus a return linked to the (the Linked Return ) depending upon whether the has risen or fallen as measured by reference to the Level and Final Level. The Level is the level of the prevailing at the close of business on the Investment Date. The Final Level is the average of the closing levels of the on the 2nd day of each month beginning (and including) April 2013 to (and including) April In the event that any day is not a Business Day the closing level of the will be calculated on the next Business Day. The percentage growth of the (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level; If the has fallen by more than 30% the Linked Return will be zero and investors will receive back the Protected Maturity Share Price. If the has not fallen by more than 30% investors will receive back the Protected Maturity Share Price plus an Linked Return equal to 50% of the rise in the with a minimum Linked Return of 25 pence per Share. If growth in the when multiplied by the participation rate of 50% is higher than 25%, then Shareholders will receive the higher return. The worked example below sets out how the Fund will work in practice. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the capital appreciation and to protect Shareholders initial investment. At the Maturity Date, the Fund will revert to being invested in LON_LIB1\ \46 89

92 cash, near cash and/or deposits or money market based collective investment schemes. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Protected Maturity Share Price 1 Limited Issue Period 2 April 2008 Limited Issue Limit N/A Launch Date: 2 April 2008 Investment Date: 2 April 2008 Maturity Date: 7 April 2014 Averaging The Final Level is the average of the closing levels of the on the 2nd day of each month beginning (and including) April 2013 to (and including) April In the event that any day is not a Business Day the closing level of the will be calculated on the next Business Day. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: Dealing Days: 5:00pm on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund) The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of LON_LIB1\ \46 90

93 each month Preliminary charge: Current: Class 1-7.5% Redemption charge Current: Class 1-1% The Redemption Charge will be made in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date. Annual ACD fee: Current: Nil Investment minima** Class 1 Lump sum 5,000 Holding 5,000 Top-up Monthly saving Redemption N/A N/A 1,000 Shares Dilution Levy Policy Past Performance: The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Distributions (if any) Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the FTSE 100 is a capital index, and does not pay income. The only income received by the Fund will be interest arising post the Maturity Date. The Fund s capital will be invested to protect the investors capital and to produce a capital gain linked to the performance of the FTSE 100. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. LON_LIB1\ \46 91

94 * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. LON_LIB1\ \46 92

95 Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the table on page 95 for examples of how the index return may affect your investment. Buying Class 1 Shares This example sets out the calculations that would be applied if an investor were to invest 10,000 in Class 1 Shares. The Shares will be initially priced at per Share for Protected Investment Fund 3 UK Growth, with a Protected Maturity Share Price of 1.00 per Share, therefore ensuring that the investor will have a protected return of 10,000 if they hold the Shares to the Maturity Date. investment -Example for Protected Investment Fund 3 UK Growth 10,000 Less Preliminary charge of 7.5% 750 Equals Money remaining to purchase Shares 9,250 Number of Shares at each 10,000 Value of 10,000 Shares 9, Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 10,000 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 10,000 such Shares in the Protected Investment Fund 3 UK Growth. In this example the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). NB The Protected Maturity Share Price is only applicable to Shares held on the Maturity Date and is not available on Shares redeemed before then, and therefore Shareholders may receive back less than the original subscription amount. Prior to redemption Number of Shares held 10,000 NAV per Share 1.10 Value of Shares held 11,000 Protected Amount ( 1 per Share) 10,000 LON_LIB1\ \46 93

96 On redemption Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds Post redemption Remaining Shares 9,000 Current value of remaining Shares 9,900 Protected Amount (number of Shares x Protected Maturity Share Price) 9,000 LON_LIB1\ \46 94

97 Applying the growth or reduction in the level of to the value of your investment at the Maturity Date The table below assumes investment is made into Protected Investment Fund 3 UK Growth. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, this table should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. The following table sets out the expected returns of an investment of 10,000 in the Protected Investment Fund 3 UK Growth at certain Final Levels. This example assumes that the Level is Final Level movement (Final Level expressed as a percentage of the Participation amount return % fall As the has fallen by more than 30% from the Level of 6000, the return will be the Protected Maturity Share Price of 1.00 per Share. Therefore the total return would be 10,000 Shares multiplied by % fall As the has not fallen by more than 30% from the Level of 6000, the return will be 1.25 which is made up of the Protected Maturity Share Price of 1.00 per Share plus a minimum return of 25% per Share (the Target Minimum Return ). Therefore the total return would be 10,000 Shares multiplied by Total return 10,000 12,500 Application of the Target Minimum Return. The Target Minimum Return will be paid in all cases where the has not fallen by more than 30%. However, where the growth of the multiplied by 50% results in a percentage that is higher than 25%, then the higher percentage will be applied 6000 No move As the has not moved from the Level of 6000, the return will be 1.25 which is made up of the Protected Maturity Share Price of 1.00 per Share plus and the Target Minimum Return of 25% per Share. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 60% from the Level of 6000, the return will be 1.30 which is made up of the Protected Maturity Share Price of 1.00 per Share plus 30% per Share. The 30% per Share is derived from the rise in the (60%) multiplied by 50%. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 100% from the Level of 6000, the return will be 1.50, which is made up of the Protected Maturity Share Price of 1.00 per Share plus 50% per Share. The 50% per Share is derived from the rise in the (100%) multiplied by 12,500 13,000 15,000 LON_LIB1\ \46 95

98 50%. Therefore the total return would be 10,000 Shares multiplied by Please note that although the fund offers a Protected Maturity Share Price, the Fund is not a guaranteed product. The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. LON_LIB1\ \46 96

99 Name: Type of Fund: Investment objective and policy: Protected Investment Fund 4 China Growth (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a return linked to the performance of a composite index comprising of an equally weighted basket of two stock market indices; the Hang Seng China Enterprises (HSCEI) and the Hang Seng (HSI)*(each an and together the Basket ) during a fixed participation period until the Maturity Date. Providing Shareholders remain invested until the Maturity Date, the objective is to return Shareholders the Protected Maturity Share Price of 1 per Share plus a return linked to the Basket (the Linked Return ) depending upon whether the Basket has risen or fallen as measured by reference to the Level and Final Level. The Level is the closing level of the Basket on the Investment Date. The Final Level is the average of the closing levels of the Basket on the 23rd day of each month beginning (and including) April 2013 to (and including) April In the event that any day is not a Hong Kong Business Day the closing level of each will be calculated on the next Hong Kong Business Day. The percentage growth of the Basket (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level; If the Basket has fallen the Linked Return will be zero and shareholders will receive back the Protected Maturity Share Price. If the Basket has risen investors will receive back the Protected Maturity Share Price plus an Linked Return equal to 100% of the rise in the Basket. The worked example below sets out how the Fund will work in practice. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the capital appreciation and to protect Shareholders initial investment. At the Maturity Date or Early Maturity Date (if applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes and money market instruments and deposits. The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back the Protected Maturity Share Price plus a Fixed Return as detailed below: LON_LIB1\ \46 97

100 Early Early Maturity Level: Fixed Return: Maturity Date: 26/04/ % growth or more since 30p per Share the Investment Date 23/04/ % growth or more since 40p per Share the Investment Date 23/04/ % growth or more since 50p per Share the Investment Date The performance of the Basket is measured by reference to the Level and the Early Maturity Level. The Early Maturity Level will be calculated by using the average of the closing levels of the Basket on the five Hong Kong Business Days up to and including the relevant Early Maturity Date. If the Fund matures early it will then be wound up. Please see the risk warning on page 65 in relation to Early Maturity. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Protected Maturity Share Price 1 Limited Issue Period 23 April 2008 Limited Issue Limit N/A Launch Date: 23 April 2008 Investment Date: 23 April 2008 Maturity Date: 25 April 2014 Averaging The Final Level will be calculated by using the average of the closing levels of the Basket on the 23rd day of each month beginning (and including) April 2013 to (and including) April In the event that any day is not a Hong Kong Business Day, the closing level of the Basket will be calculated on the next Hong Kong Business Day. The Early Maturity Level will be calculated by using the average of the closing levels of the Basket on the five Hong Kong Business Days up to and including the relevant Early Maturity Date. The percentage growth of the Basket (if any) is calculated by subtracting the Level from the Final Level or Early Maturity Level (if applicable) and dividing the result by the Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and LON_LIB1\ \46 98

101 National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: Dealing Days: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund) The 15th day of each month (or where this is not a UK/Hong Kong Business Day on the next following UK/Hong Kong Business Day) and on the last UK/Hong Kong Business Day of each month Preliminary charge: Current: Class 1-7.5% Redemption charge Current: Class 1-1% The Redemption Charge will be made in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date or at an Early Maturity Date (if applicable). Annual ACD fee: Current: Nil Investment minima** Class 1 Lump sum 5,000 Holding 5,000 Top-up Monthly saving Redemption N/A N/A Minimum of 1,000 Shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on LON_LIB1\ \46 99

102 each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Distributions (if any) Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices forming part of the Basket are capital indices, and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (if applicable). The Fund s capital will be invested to protect the investors capital and to produce a capital gain linked to the performance of the Basket. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. The Hang Seng China Enterprises ("HSCEI") is a freefloat-adjusted market capitalisation weighted index comprised of H-Shares listed on the main board of the Hong Kong Stock Exchange. There are 40 constituent stocks with a 10% cap on each constituent weighting. The base value of HSCEI is 2,000 as of 3rd January * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. More information on the Basket, including details of its performance history, is available on the ACD s website: ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. Worked Example for illustrative purposes only LON_LIB1\ \46 100

103 N.B: The following three examples do not include any growth in your investment based on the return on the Basket and reference should be made to the table on page 104 and 105 for examples of how the index return may affect your investment. Buying Class 1 Shares This example sets out the calculations that would be applied if an investor were to invest 10,000 in Class 1 Shares. The Shares will be initially priced at per Share for Protected Investment Fund 4 China Growth, with a Protected Maturity Share Price of 1.00 per Share, therefore ensuring that the investor will have a protected return of 10,000 if they hold the Shares to the Maturity Date. investment -Example for Protected Investment Fund 4 China Growth 10,000 Less Preliminary charge of 7.5% 750 Equals Money remaining to purchase Shares 9,250 Number of Shares at each 10,000 Value of 10,000 Shares 9, Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 10,000 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 10,000 such Shares in the Protected Investment Fund 4 China Growth. In this example the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). NB The Protected Maturity Share Price is only applicable to Shares held on the Maturity Date and is not available on Shares redeemed before then, and therefore Shareholders may receive back less than the original subscription amount. Prior to redemption Number of Shares held 10,000 NAV per Share 1.10 Value of Shares held 11,000 Protected Amount ( 1 per Share) 10,000 On redemption LON_LIB1\ \46 101

104 Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds Post redemption Remaining Shares 9,000 Current value of remaining Shares 9,900 Protected Amount (number of Shares x Protected Maturity Share Price) 9,000 LON_LIB1\ \46 102

105 Applying the growth or reduction in the level of the Basket to the value of your investment at an Early Maturity Date. The tables below assume investment is made into Protected Investment Fund 4 China Growth. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. Early Maturity of the Fund The following table sets out what happens to an investment of 10,000 in the Protected Investment Fund 4 China Growth at an Early Maturity Date if the Basket has risen by certain amounts. This example assumes the Early Maturity Date is 26/04/2011, the Early Maturity Level is 30% growth in the Basket and the Fixed Return is 30p per Share. Growth Participation amount return (Early Maturity Level expressed as a percentage of the Less than 30% The Early Maturity Level has not been reached, rise therefore the Fund does not mature 30% rise The Early Maturity Level has been reached and the Fund shall mature. The Fixed Return is 30p per Share. The Protected Maturity Share Price is 1 per Share. Therefore the total return would be 10,000 Shares multiplied by % rise The Early Maturity Level has been reached and the Fund shall mature. The Fixed Return is 30p per Share. The Protected Maturity Share Price is 1 per Share. Shareholders do not benefit from any rise in the Basket over the Early Maturity Level. Therefore the total return would be 10,000 Shares multiplied by 1.30 (as outlined above). Total return Fund does not mature 13,000 13,000 The Protected Investment Fund 4 China Growth has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Level and Fixed Return. Early Maturity Early Maturity Level (Growth in the Basket ) Fixed Return Date 26/04/ % growth or more 30p per Share 23/04/ % growth or more 40p per Share 23/04/ % growth or more 50p per Share Holding Shares to the Maturity Date. Applying the growth or reduction in the level of Basket to the value or your investment at the Maturity Date. LON_LIB1\ \46 103

106 The following table sets out the expected returns of an investment of 10,000 in the Protected Investment Fund 4 China Growth at certain levels of movement in the Basket. movement (Final Level expressed as a percentage of the No move or a fall in the Basket Participation amount return As the has not moved from the Level or has fallen, the return will be 1.00 which is the Protected Maturity Share Price. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 20% from the Level, the return will be 1.20 which is made up of the Protected Maturity Share Price of 1.00 per Share plus an Linked Return of 20% per Share. The 20% per Share represents 100% of the rise in the Basket. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 60% from the Level, the return will be 1.60, which is made up of the Protected Maturity Share Price of 1.00 per Share plus 60% per Share. The 60% per Share represents 100% of the rise in the Basket. Therefore the total return would be 10,000 Shares multiplied by Total return 10,000 12,000 16,000 Please note that although the Fund offers a Protected Maturity Share Price, the Fund is not a guaranteed product. The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. LON_LIB1\ \46 104

107 Name: Type of Fund: Investment objective and policy: Protected Investment Fund 5 China Growth (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a return linked to the performance of a composite index comprising of an equally weighted basket of two stock market indices; the Hang Seng China Enterprises (HSCEI) and the Hang Seng (HSI)*(each an and together the Basket ) during a fixed participation period until the Maturity Date. Providing Shareholders remain invested until the Maturity Date, the objective is to return Shareholders the Protected Maturity Share Price of 1 per Share plus a return linked to the Basket (the Linked Return ) depending upon whether the Basket has risen or fallen as measured by reference to the Level and Final Level. The Level is the closing level of the Basket on the Investment Date. The Final Level is the average of the closing levels of the Basket on the 9th day of each month beginning (and including) July 2013 to (and including) July In the event that any day is not a Hong Kong Business Day the closing level of each will be calculated on the next Hong Kong Business Day. The percentage growth of the Basket (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level; If the Basket has fallen the Linked Return will be zero and shareholders will receive back the Protected Maturity Share Price. If the Basket has risen investors will receive back the Protected Maturity Share Price plus an Linked Return equal to 100% of the rise in the Basket. The worked example below sets out how the Fund will work in practice. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the capital appreciation and to protect Shareholders initial investment. At the Maturity Date or Early Maturity Date (if applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes and money market instruments and deposits. The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back the Protected Maturity Share Price plus a Fixed Return as detailed below: LON_LIB1\ \46 105

108 Early Early Maturity Level: Fixed Return: Maturity Date: 11/07/ % growth or more since 30p per Share the Investment Date 09/07/ % growth or more since 40p per Share the Investment Date 09/07/ % growth or more since 50p per Share the Investment Date The performance of the Basket is measured by reference to the Level and the Early Maturity Level. The Early Maturity Level will be calculated by using the average of the closing levels of the Basket on the five Hong Kong Business Days up to and including the relevant Early Maturity Date. If the Fund matures early it will then be wound up. Please see the risk warning on page 65 in relation to Early Maturity. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Protected Maturity Share Price 1.00 Limited Issue Period 9 July 2008 Limited Issue Limit N/A Launch Date: 9 July 2008 Investment Date: 9 July 2008 Maturity Date: 11 July 2014 Averaging The Final Level will be calculated by using the average of the closing levels of the Basket on the 9th day of each month beginning (and including) July 2013 to (and including) July In the event that any day is not a Hong Kong Business Day, the closing level of the Basket will be calculated on the next Hong Kong Business Day. The Early Maturity Level will be calculated by using the average of the closing levels of the Basket on the five Hong Kong Business Days up to and including the relevant Early Maturity Date. The percentage growth of the Basket (if any) is calculated by subtracting the Level from the Final Level or Early Maturity Level (if applicable) and dividing the result by the Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the LON_LIB1\ \46 106

109 Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: Dealing Days: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund) The 15th day of each month (or where this is not a UK/Hong Kong Business Day on the next following UK/Hong Kong Business Day) and on the last UK/Hong Kong Business Day of each month Preliminary charge: Current: Class 1-7.6% Redemption charge Current: Class 1-1% The Redemption Charge will be made in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date or at an Early Maturity Date (if applicable). Annual ACD fee: Current: Nil Investment minima** Class 1 Lump sum 5,000 Holding 5,000 Top-up Monthly saving Redemption N/A N/A Minimum of 1,000 Shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however LON_LIB1\ \46 107

110 have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Distributions (if any) Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices forming part of the Basket are capital indices, and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (if applicable). The Fund s capital will be invested to protect the investors capital and to produce a capital gain linked to the performance of the Basket. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. The Hang Seng China Enterprises ("HSCEI") is a freefloat-adjusted market capitalisation weighted index comprised of H-Shares listed on the main board of the Hong Kong Stock Exchange. There are 40 constituent stocks with a 10% cap on each constituent weighting. The base value of HSCEI is 2,000 as of 3rd January * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. More information on the Basket, including details of its performance history, is available on the ACD s website: ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. Worked Example for illustrative purposes only LON_LIB1\ \46 108

111 N.B: The following three examples do not include any growth in your investment based on the return on the Basket and reference should be made to the table on page 113 and 114 for examples of how the index return may affect your investment. Buying Class 1 Shares This example sets out the calculations that would be applied if an investor were to invest 10,000 in Class 1 Shares. The Shares will be initially priced at per Share for Protected Investment Fund 5 China Growth, with a Protected Maturity Share Price of 1.00 per Share, therefore ensuring that the investor will have a protected return of 10,000 if they hold the Shares to the Maturity Date. investment -Example for Protected Investment Fund 4 China Growth 10,000 Less Preliminary charge of 7.6% 760 Equals Money remaining to purchase Shares 9,240 Number of Shares at each 10,000 Value of 10,000 Shares 9, Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 10,000 LON_LIB1\ \46 109

112 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 10,000 such Shares in the Protected Investment Fund 5 China Growth. In this example the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). NB The Protected Maturity Share Price is only applicable to Shares held on the Maturity Date and is not available on Shares redeemed before then, and therefore Shareholders may receive back less than the original subscription amount. Prior to redemption Number of Shares held 10,000 NAV per Share 1.10 Value of Shares held 11,000 Protected Amount ( 1 per Share) 10,000 On redemption Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds Post redemption Remaining Shares 9,000 Current value of remaining Shares 9,900 Protected Amount (number of Shares x Protected Maturity Share Price) 9,000 LON_LIB1\ \46 110

113 Applying the growth or reduction in the level of the Basket to the value of your investment at an Early Maturity Date. The tables below assume investment is made into Protected Investment Fund 5 China Growth. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. Early Maturity of the Fund The following table sets out what happens to an investment of 10,000 in the Protected Investment Fund 5 China Growth at an Early Maturity Date if the Basket has risen by certain amounts. This example assumes the Early Maturity Date is 11/07/2011, the Early Maturity Level is 30% growth in the Basket and the Fixed Return is 30p per Share. Growth Participation amount return (Early Maturity Level expressed as a percentage of the Less than 30% The Early Maturity Level has not been reached, rise therefore the Fund does not mature 30% rise The Early Maturity Level has been reached and the Fund shall mature. The Fixed Return is 30p per Share. The Protected Maturity Share Price is 1 per Share. Therefore the total return would be 10,000 Shares multiplied by % rise The Early Maturity Level has been reached and the Fund shall mature. The Fixed Return is 30p per Share. The Protected Maturity Share Price is 1 per Share. Shareholders do not benefit from any rise in the Basket over the Early Maturity Level. Therefore the total return would be 10,000 Shares multiplied by 1.30 (as outlined above). Total return Fund does not mature 13,000 13,000 The Protected Investment Fund 5 China Growth has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Level and Fixed Return. Early Maturity Early Maturity Level (Growth in the Basket ) Fixed Return Date 11/07/ % growth or more 30p per Share 09/07/ % growth or more 40p per Share 09/07/ % growth or more 50p per Share Holding Shares to the Maturity Date. Applying the growth or reduction in the level of Basket to the value or your investment at the Maturity Date. LON_LIB1\ \46 111

114 The following table sets out the expected returns of an investment of 10,000 in the Protected Investment Fund 5 China Growth at certain levels of movement in the Basket. movement (Final Level expressed as a percentage of the No move or a fall in the Basket Participation amount return As the has not moved from the Level or has fallen, the return will be 1.00 which is the Protected Maturity Share Price. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 20% from the Level, the return will be 1.20 which is made up of the Protected Maturity Share Price of 1.00 per Share plus an Linked Return of 20% per Share. The 20% per Share represents 100% of the rise in the Basket. Therefore the total return would be 10,000 Shares multiplied by % rise As the has risen by 60% from the Level, the return will be 1.60, which is made up of the Protected Maturity Share Price of 1.00 per Share plus 60% per Share. The 60% per Share represents 100% of the rise in the Basket. Therefore the total return would be 10,000 Shares multiplied by Total return 10,000 12,000 16,000 Please note that although the Fund offers a Protected Maturity Share Price, the Fund is not a guaranteed product. The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. LON_LIB1\ \46 112

115 Name: Type of Fund: Investment objective and policy: Protected Investment Fund 6 RICI Enhanced SM Global Commodities (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a return linked to the performance of the Rogers International Commodity - Enhanced SM Excess Return* (the RICI Enhanced SM Global ) during a fixed participation period until the Maturity Date. Providing Shareholders remain invested until the Maturity Date, the objective is to return Shareholders the Protected Maturity Share Price of 1 per Share plus a return linked to the (the Linked Return ) depending upon whether the RICI Enhanced SM Global has risen or fallen as measured by reference to the Level and Final Level. The Level is the closing level of the on the Investment Date. The Final Level is the average of the closing levels of the RICI Enhanced SM Global on the 3rd day of each month beginning (and including) March 2013 to (and including) March In the event that any day is not an Business Day the closing level of the RICI Enhanced SM Global will be calculated on the next Business Day. The percentage growth of the RICI Enhanced SM Global (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level. If the RICI Enhanced SM Global has fallen the Linked Return will be zero and shareholders will receive back the Protected Maturity Share Price. If the RICI Enhanced SM Global has risen investors will receive back the Protected Maturity Share Price plus an Linked Return equal to 70% of the rise in the RICI Enhanced SM Global. The worked example below sets out how the Fund will work in practice. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the capital appreciation and to protect Shareholders initial investment. At the Maturity Date, the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes and money market instruments and deposits. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: LON_LIB1\ \46 113

116 Protected Maturity Share Price 1.00 Limited Issue Period 3 September 2008 Limited Issue Limit N/A Launch Date: 3 September 2008 Investment Date: 3 September 2008 Maturity Date: 5 March 2014 Averaging The Final Level will be calculated by using the average of the closing levels of the Indices on the 3rd day of each month beginning (and including) March 2013 to (and including) March In the event that any day is not an Business Day, the closing level of the will be calculated on the next Business Day. The percentage growth of the (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: Dealing Days: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund) The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month Preliminary charge: Current: Class 1-7.2% Redemption charge Current: Class 1-1% The Redemption Charge will be LON_LIB1\ \46 114

117 made in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date Annual ACD fee: Current: Nil Investment minima** Class 1 Lump sum 20,000 Holding 20,000 Top-up Monthly saving Redemption N/A N/A Minimum of 1,000 Shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Distributions (if any) Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices forming part of the are capital indices, and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date. The Fund s capital will be invested to protect the investors capital and to produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be taxexempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * Jim Rogers", "James Beeland Rogers, Jr.", "Rogers", "Rogers International Commodity ", "RICI", Rogers International Commodity Enhanced and RICI Enhanced are trademarks, service marks and/or registered trademarks of Beeland LON_LIB1\ \46 115

118 Interests, Inc., which is owned and controlled by James Beeland Rogers, Jr., and are used subject to licence. The personal names and likeness of Jim Rogers/James Beeland Rogers, Jr. are owned and licensed by James Beeland Rogers, Jr. Protected Investment Fund 6 RICI Enhanced SM Global Commodities is not sponsored, endorsed, sold or promoted by Beeland Interests Inc. ("Beeland Interests"), James Beeland Rogers, Jr. or Diapason Commodities Management SA ( Diapason ). Neither Beeland Interests, James Beeland Rogers, Jr. nor Diapason makes any representation or warranty, express or implied, nor accepts any responsibility, regarding the accuracy or completeness of this prospectus, or the advisability of investing in securities or commodities generally, in Protected Investment Fund 6 RICI Enhanced SM Global Commodities or in futures particularly. NEITHER BEELAND INTERESTS NOR DIAPASON NOR ANY OF THEIR RESPECTIVE AFFILIATES OR AGENTS GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE ROGERS INTERNATIONAL COMMODITY INDEX ("RICI"), THE RICI ENHANCED INDEX, ANY SUB-INDEX THEREOF OR ANY DATA INCLUDED THEREIN. SUCH PERSON SHALL NOT HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN AND MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF PROTECTED INVESTMENT FUND 6 RICI ENHANCED SM GLOBAL COMMODITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RICI, THE RICI ENHANCED INDEX, ANY SUB-INDEX THEREOF, ANY DATA INCLUDED THEREIN OR PROTECTED INVESTMENT FUND 6 RICI ENHANCED SM GLOBAL COMMODITIES. NEITHER BEELAND INTERESTS NOR DIAPASON NOR ANY OF THEIR RESPECTIVE AFFILIATES OR AGENTS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RICI, THE RICI ENHANCED INDEX, ANY SUB-INDEX THEREOF AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BEELAND INTERESTS, DIAPASON OR ANY OF THEIR RESPECTIVE AFFILIATES OR AGENTS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. The Protected Investment Fund 6 RICI Enhanced SM Global Commodities is not and will not be offered or sold in the United States, or to or for the account of U.S. persons as defined by U.S. securities laws. Each purchaser of Shares in Protected Investment Fund 6 RICI Enhanced SM Global Commodities will be asked to certify that such purchaser is not a U.S. person, is not receiving the Protected Investment Fund 6 RICI Enhanced SM Global Commodities in the United States, and is not acquiring the Protected Investment Fund 6 RICI Enhanced SM Global Commodities for the account of a U.S. person The product is not in any way sponsored, sold or promoted by any relevant stock market, relevant indices, related exchange or index sponsor, and they 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 indices or related exchange stands at any particular time on any particular day or otherwise. They shall not be liable (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. The RICI Enhanced SM Global is published on the following websitewww.bloomberg.com- and can be found by typing the code or ticker RIEHGLER:IND in the search box containing Enter Symbol and clicking the Quote button. You should remember that past performance is not a guide to future performance. LON_LIB1\ \46 116

119 ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. Worked Example for illustrative purposes only N.B: The following two examples do not include any growth in your investment based on the return on the RICI Enhanced SM Global and reference should be made to the table on page 122 for an example of how the level of the RICI Enhanced SM Global may affect your investment. Buying Class 1 Shares This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares. The Shares will be initially priced at per Share for Protected Investment Fund 6 RICI Enhanced SM Global Commodities, with a Protected Maturity Share Price of 1.00 per Share, therefore ensuring that the investor will have a protected return of 20,000 if they hold the Shares to the Maturity Date. investment -Example for Protected Investment Fund 6 RICI Enhanced SM Global Commodities 20,000 Less Preliminary charge of 7.2% 1,440 Equals Money remaining to purchase Shares 18,560 Number of Shares at each 20,000 Value of 20,000 Shares 18,560 Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 20,000 LON_LIB1\ \46 117

120 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 such Shares in the Protected Investment Fund 6 RICI Enhanced SM Global Commodities. In this example the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). NB The Protected Maturity Share Price is only applicable to Shares held on the Maturity Date and is not available on Shares redeemed before then, and therefore Shareholders may receive back less than the original subscription amount. Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 Protected Amount ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 Protected Amount (number of Shares x Protected Maturity Share Price) 19,000 LON_LIB1\ \46 118

121 Holding Shares to the Maturity Date. Applying the growth or reduction in the level of the RICI Enhanced SM Global to the value of your investment at the Maturity Date. The following table sets out the expected returns of an investment of 20,000 in the Protected Investment Fund 6 RICI Enhanced SM Global Commodities at certain levels of movement in the RICI Enhanced SM Global. RICI Enhanced SM Global movement (Final Level expressed as a percentage of the No move or a fall in the RICI Enhanced SM Global Participation amount return As the RICI Enhanced SM Global has not moved from the Level or has fallen, the return will be 1.00 which is the Protected Maturity Share Price. Therefore the total return would be 20,000 Shares multiplied by % rise As the RICI Enhanced SM Global has risen by 20% from the Level, the return will be 1.14 which is made up of the Protected Maturity Share Price of 1.00 per Share plus an Linked Return of 14% per Share. The 14% per Share represents 70% of the rise in the RICI Enhanced SM Global. Therefore the total return would be 20,000 Shares multiplied by % rise As the RICI Enhanced SM Global has risen by 60% from the Level, the return will be 1.42, which is made up of the Protected Maturity Share Price of 1.00 per Share plus 42% per Share. The 42% per Share represents 70% of the rise in the RICI Enhanced SM Global. Therefore the total return would be 20,000 Shares multiplied by Total return 20,000 22,800 28,400 Please note that although the Fund offers a Protected Maturity Share Price, the Fund is not a guaranteed product. The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. LON_LIB1\ \46 119

122 Name: Type of Fund: Investment objective and policy: Protected Investment Fund 7 UK Growth (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a return linked to the performance of the FTSE 100 * (the ) during a fixed participation period. Providing Shareholders remain invested until the Maturity Date, the objective is to return to Shareholders the Protected Maturity Share Price of 1 per Share plus a return linked to the (the Linked Return) depending upon whether the has risen or fallen as measured by reference to the Level and Final Level. The Level is the level of the prevailing at the close of business on the Investment Date. The Final Level is the average of the closing levels of the on the 24th day of each month beginning (and including) September 2013 to (and including) September In the event that any day is not a Business Day the closing level of the will be calculated on the next Business Day. The percentage growth of the (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level; If the has fallen by more than 30% the Linked Return will be zero and investors will receive back the Protected Maturity Share Price. If the has not fallen by more than 30% investors will receive back the Protected Maturity Share Price plus an Linked Return equal to 55% of the rise in the with a minimum Linked Return of 25 pence per Share. If growth in the when multiplied by the participation rate of 55% is higher than 25%, then Shareholders will receive the higher return. The worked example below sets out how the Fund will work in practice. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the capital appreciation and to protect Shareholders initial investment. At the Maturity Date, the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes. LON_LIB1\ \46 120

123 The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Protected Maturity Share Price 1.00 Limited Issue Period 24 September 2008 Limited Issue Limit N/A Launch Date: 24 September 2008 Investment Date: 24 September 2008 Maturity Date: 26 September 2014 Averaging The Final Level is the average of the closing levels of the on the 24th day of each month beginning (and including) September 2013 to (and including) September In the event that any day is not an Business Day the closing level of the will be calculated on the next Business Day. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: Dealing Days: 5:00pm on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund) The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month LON_LIB1\ \46 121

124 Preliminary charge: Current: Class 1-7.1% Redemption charge Current: Class 1-1% The Redemption Charge will be made in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date. Annual ACD fee: Current: Nil Investment minima** Class 1 Lump sum 20,000 Holding 20,000 Top-up Monthly saving Redemption N/A N/A 1,000 Shares Dilution Levy Policy Past Performance: The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Distributions (if any) Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the FTSE 100 is a capital index, and does not pay income. The only income received by the Fund will be interest arising post the Maturity Date. The Fund s capital will be invested to protect the investors capital and to produce a capital gain linked to the performance of the FTSE 100. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. LON_LIB1\ \46 122

125 * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. LON_LIB1\ \46 123

126 Worked Example for illustrative purposes only N.B: The following two examples do not include any growth in your investment based on the return on the and reference should be made to the table on page 129 for examples of how the index return may affect your investment. Buying Class 1 Shares This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares. The Shares will be initially priced at per Share for Protected Investment Fund 7 UK Growth, with a Protected Maturity Share Price of 1.00 per Share, therefore ensuring that the investor will have a protected return of 20,000 if they hold the Shares to the Maturity Date. investment -Example for Protected Investment Fund 7 UK Growth 20,000 Less Preliminary charge of 7.1% 1,420 Equals Money remaining to purchase Shares 18,580 Number of Shares at each 20,000 Value of 20,000 Shares 18,580 Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 20,000 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 such Shares in the Protected Investment Fund 7 UK Growth. In this example the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). NB The Protected Maturity Share Price is only applicable to Shares held on the Maturity Date and is not available on Shares redeemed before then, and therefore Shareholders may receive back less than the original subscription amount. Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 Protected Amount ( 1 per Share) 20,000 LON_LIB1\ \46 124

127 On redemption Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 Protected Amount (number of Shares x Protected Maturity Share Price) 19,000 LON_LIB1\ \46 125

128 Applying the growth or reduction in the level of the to the value of your investment at the Maturity Date The table below assumes investment is made into Protected Investment Fund 7 UK Growth. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, this table should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. The following table sets out the expected returns of an investment of 20,000 in the Protected Investment Fund 7 UK Growth at certain Final Levels. This example assumes that the Level is Final Level Movement (Final Level expressed as a percentage of the Participation amount return % fall As the has fallen by more than 30% from the Level of 6000, the return will be the Protected Maturity Share Price of 1.00 per Share. Therefore the total return would be 20,000 Shares multiplied by % fall As the has not fallen by more than 30% from the Level of 6000, the return will be 1.25 which is made up of the Protected Maturity Share Price of 1.00 per Share plus a minimum return of 25]% per Share (the Target Minimum Return ). Therefore the total return would be 20,000 Shares multiplied by Total return 20,000 25,000 Application of the Target Minimum Return: The Target Minimum Return will be paid in all cases where the has not fallen by more than 30%. However, where the growth of the multiplied by 55% results in a percentage that is higher than 25%, then the higher percentage will be applied 6000 No move As the has not moved from the Level of 6000, the return will be 1.25 which is made up of the Protected Maturity Share Price of 1.00 per Share plus and the Target Minimum Return of 25% per Share. Therefore the total return would be 20,000 Shares multiplied by % rise As the has risen by 50% from the Level of 6000, the return will be which is made up of the Protected Maturity Share Price of 1.00 per Share plus 27.5% per Share. The 27.5% per Share is derived from the rise in the (50%) multiplied by 55%. Therefore the total return would be 20,000 Shares multiplied by % rise As the has risen by 100% from the Level of 6000, the return will be 1.55, which is made up of the Protected Maturity Share Price of 1.00 per Share plus 55% per Share. The 55% per Share is derived from the rise in the (100%) multiplied by 25,000 25,500 31,000 LON_LIB1\ \46 126

129 55%. Therefore the total return would be 20,000 Shares multiplied by Please note that although the Fund offers a Protected Maturity Share Price, the Fund is not a guaranteed product. The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. LON_LIB1\ \46 127

130 Name: Type of Fund: Investment objective and policy: Protected Investment Fund 8 RICI Enhanced SM Global Commodities UCITS scheme The objective of the Fund is to provide a return linked to the performance of the Rogers International Commodity - Enhanced SM Excess Return* (the RICI Enhanced SM Global ) during a fixed participation period until the Maturity Date. Providing Shareholders remain invested until the Maturity Date, the objective is to return Shareholders the Protected Maturity Share Price of 1 per Share plus a return linked to the (the Linked Return ) depending upon whether the RICI Enhanced SM Global has risen or fallen as measured by reference to the Level and Final Level. The Level is the closing level of the on the Investment Date. The Final Level is the average of the closing levels of the RICI Enhanced SM Global on the 19th day of each month beginning (and including) November 2013 to (and including) November In the event that any day is not an Business Day the closing level of the RICI Enhanced SM Global will be calculated on the next Business Day. The percentage growth of the RICI Enhanced SM Global (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level. If the Final Level is lower than the Level the Linked Return will be zero and shareholders will receive back the Protected Maturity Share Price. If the Final Level is higher than the Level investors will receive back the Protected Maturity Share Price plus an Linked Return equal to 65% of the rise in the RICI Enhanced SM Global. The worked example below sets out how the Fund will work in practice. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the capital appreciation and to protect Shareholders initial investment. At the Maturity Date, the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes and money market instruments and deposits. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Protected Maturity

131 Share Price Limited Issue Period 19 November 2008 Limited Issue Limit N/A Launch Date: 19 November 2008 Investment Date: 19 November 2008 Maturity Date: 21 November 2014 Averaging The Final Level will be calculated by using the average of the closing levels of the on the 19th day of each month beginning (and including) November 2013 to (and including) November In the event that any day is not an Business Day, the closing level of the will be calculated on the next Business Day. The percentage growth of the (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: Dealing Days: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund) The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month Preliminary charge: Current: Class % Redemption charge Current: Class 1-1% The Redemption Charge will be made in respect of any 129

132 redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date Annual ACD fee: Current: Nil Investment minima** Class 1 Lump sum 20,000 Holding 20,000 Top-up Monthly saving Redemption N/A N/A Minimum of 1,000 Shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: See Appendix D Taxation: Category of Fund for tax purposes Distributions (if any) Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices forming part of the are capital indices, and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date. The Fund s capital will be invested to protect the investors capital and to produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be taxexempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * Jim Rogers", "James Beeland Rogers, Jr.", "Rogers", "Rogers International Commodity ", "RICI", Rogers International Commodity Enhanced and RICI Enhanced are trademarks, service marks and/or registered trademarks of Beeland Interests, Inc., which is owned and controlled by James Beeland Rogers, Jr., and are 130

133 used subject to licence. The personal names and likeness of Jim Rogers/James Beeland Rogers, Jr. are owned and licensed by James Beeland Rogers, Jr. Protected Investment Fund 8 RICI EnhancedSM Global Commodities is not sponsored, endorsed, sold or promoted by Beeland Interests, Inc. ("Beeland Interests"), James Beeland Rogers, Jr. or Diapason Commodities Management SA ( Diapason ). Neither Beeland Interests, James Beeland Rogers, Jr. nor Diapason makes any representation or warranty, express or implied, nor accepts any responsibility, regarding the accuracy or completeness of this prospectus, or the advisability of investing in securities or commodities generally, in Protected Investment Fund 8 RICI Enhanced SM Global Commodities or in futures particularly. NEITHER BEELAND INTERESTS NOR DIAPASON NOR ANY OF THEIR RESPECTIVE AFFILIATES OR AGENTS GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE ROGERS INTERNATIONAL COMMODITY INDEX ("RICI"), THE RICI ENHANCED INDEX, ANY SUB-INDEX THEREOF OR ANY DATA INCLUDED THEREIN. SUCH PERSON SHALL NOT HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN AND MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF PROTECTED INVESTMENT FUND 8 RICI ENHANCED SM GLOBAL COMMODITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RICI, THE RICI ENHANCED INDEX, ANY SUB-INDEX THEREOF, ANY DATA INCLUDED THEREIN OR PROTECTED PROTECTED INVESTMENT FUND 8 RICI ENHANCED SM GLOBAL COMMODITIES. NEITHER BEELAND INTERESTS NOR DIAPASON, NOR ANY OF THEIR RESPECTIVE AFFILIATES OR AGENTS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RICI, THE RICI - ENHANCED INDEX, ANY SUB-INDEX THEREOF AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL BEELAND INTERESTS, DIAPASON OR ANY OF THEIR RESPECTIVE AFFILIATES OR AGENTS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. The Protected Investment Fund 8 RICI Enhanced SM Global Commodities is not and will not be offered or sold in the United States, or to or for the account of U.S. persons as defined by U.S. securities laws. Each purchaser of Shares in Protected Investment Fund 8 RICI Enhanced SM Global Commodities will be asked to certify that such purchaser is not a U.S. person, is not receiving the Protected Investment Fund 8 RICI Enhanced SM Global Commodities in the United States, and is not acquiring the Protected Investment Fund 8 RICI Enhanced SM Global Commodities for the account of a U.S. person. The product is not in any way sponsored, sold or promoted by any relevant stock market, relevant indices, related exchange or index sponsor, and they 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 indices or related exchange stands at any particular time on any particular day or otherwise. They shall not be liable (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. The RICI Enhanced SM Global is published on the following websitewww.bloomberg.com- and can be found by typing the code or ticker RIEHGLER:IND in the search box containing Enter Symbol and clicking the Quote button. You should remember that past performance is not a guide to future performance. 131

134 ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. Worked Example for illustrative purposes only N.B: The following two examples do not include any growth in your investment based on the return on the RICI Enhanced SM Global and reference should be made to the table on page 138 for an example of how the level of the RICI Enhanced SM Global may affect your investment. Buying Class 1 Shares This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares. The Shares will be initially priced at per Share for Protected Investment Fund 8 RICI Enhanced SM Global Commodities, with a Protected Maturity Share Price of 1.00 per Share, therefore ensuring that the investor will have a protected return of 20,000 if they hold the Shares to the Maturity Date. investment - Example for Protected Investment Fund 8 RICI Enhanced SM Global Commodities 20,000 Less Preliminary charge of 6.25% 1,250 Equals Money remaining to purchase Shares 18,750 Number of Shares at each 20,000 Value of 20,000 Shares 18,750 Protected Maturity Share Price 1 per Share Protected Amount (number of Shares x Protected Maturity Share Price) 20,

135 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 such Shares in the Protected Investment Fund 8 RICI Enhanced SM Global Commodities. In this example the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). NB The Protected Maturity Share Price is only applicable to Shares held on the Maturity Date and is not available on Shares redeemed before then, and therefore Shareholders may receive back less than the original subscription amount. Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 Protected Amount ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 Protected Amount (number of Shares x Protected Maturity Share Price) 19,

136 Holding Shares to the Maturity Date. Applying the growth or reduction in the level of the RICI Enhanced SM Global to the value of your investment at the Maturity Date. The following table sets out the expected returns of an investment of 20,000 in the Protected Investment Fund 8 RICI Enhanced SM Global Commodities at certain levels of movement in the RICI Enhanced SM Global. RICI Enhanced SM Global movement (Final Level expressed as a percentage of the No move or a fall in the RICI Enhanced SM Global Participation amount return As the RICI Enhanced SM Global has not moved from the Level or has fallen, the return will be 1.00 which is the Protected Maturity Share Price. Therefore the total return would be 20,000 Shares multiplied by % rise As the RICI Enhanced SM Global has risen by 20% from the Level, the return will be 1.13 which is made up of the Protected Maturity Share Price of 1.00 per Share plus an Linked Return of 13% per Share. The 13% per Share represents 65% of the rise in the RICI Enhanced SM Global. Therefore the total return would be 20,000 Shares multiplied by % rise As the RICI Enhanced SM Global has risen by 60% from the Level, the return will be 1.39, which is made up of the Protected Maturity Share Price of 1.00 per Share plus 39% per Share. The 39% per Share represents 65% of the rise in the RICI Enhanced SM Global. Therefore the total return would be 20,000 Shares multiplied by Total return 20,000 22,600 27,800 Please note that although the Fund offers a Protected Maturity Share Price, the Fund is not a guaranteed product. The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 134

137 APPENDIX B INVESTMENT FUNDS Investment Funds do not offer full capital protection although some may provide partial capital protection or capital protection which is limited and will only apply in certain circumstances and some offer no capital protection at all. Full details of each of the Investment Funds with no capital protection or limited/partial capital protection ( Investment Funds ) including the investment objectives and policies, are set out in this Appendix B. Investment Funds may take the form of Limited Issue Funds or Non-Limited Issue Funds. The defined terms set out below are used in relation to the Investment Funds only: Anniversary Date Annual Accumulated Return Annual Averaging Date Where applicable for a particular Investment Fund, the anniversary dates listed for that Investment Fund on which the Annual Level is determined as set out under the Fund Specific Details for the particular Investment Fund in this Appendix B. Where relevant for a particular Investment Fund, the annual accumulated return which may be payable to Shareholders as detailed in the Fund Specific Details for that Investment Fund in this Appendix B. As set out for each Investment Fund (if applicable) in the Fund Specific Details in this Appendix B. If any Annual Averaging Date is a Disrupted Day, such date will be replaced as an Annual Averaging Date by the next Scheduled Business Day which is not a Disrupted Day and which is not already an Annual Averaging Date (as applicable). Annual Level Averaging Business Day Counterparty Where relevant for a particular Investment Fund, for each this means the final level of that on the Anniversary Date normally calculated using the closing level of that on the Anniversary Date or such other method including the use of Averaging as set out for each Investment Fund (if applicable) in the Fund Specific Details in this Appendix B. The basis upon which the return provided by an or basket of Indices (as defined in relation to each relevant Investment Fund) will be calculated by using the Level, the Final Level, the Early Maturity Level (as applicable), or the Annual Level(as applicable). For Investment Funds where Averaging is applicable, the Final Level, Early Maturity Level (as applicable), or the Annual Level (as applicable)for each or basket of Indices (as applicable) will be calculated using the average of a number of observations over a particular period, as more specifically set out in this Appendix B, in respect of the relevant Investment Fund. A day which is a UK Business Day and a day on which the applicable level of the (or Indices) is calculated and published. The counterparty to any derivative transaction entered into by the relevant Investment Fund, or any successor to such counterparty (as applicable). As of the date of this Prospectus, the counterparty 135

138 to all Investment Funds is RBS plc. Disrupted Day Disruption Event In respect of each, a day on which (a) the relevant Exchange or Related Exchange fails to open for trading during its regular trading session or (b) a Disruption Event occurs or is continuing. The occurrence or existence of any of the following events shall constitute a Disruption Event unless the ACD determines in good faith that such event is not sufficiently material to constitute a Disruption Event. Market Disruption Event. A market disruption event, howsoever defined, in respect of any, or the components of any, as determined by the ACD; or Price Source Disruption. It becomes impossible to obtain a level in respect of any, or the components of any, on any Scheduled Trading Day; or Change in Law. On or after the Investment Date (A) due to the adoption of or any change in any applicable law or regulation (including, without limitation, any tax law), or (B) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law or regulation (including any action taken by a taxing authority), it has become illegal for the Counterparty or the Investment Fund to hold, acquire or dispose of hedging positions in relation to any or Investment Fund or Hedging Disruption. The Counterparty is unable, after using commercially reasonable efforts, to (A) acquire, establish, reestablish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) the Counterparty deems necessary to hedge the exposure or other price risk of the Counterparty in performing its obligations with respect to any derivative transaction entered into with an Investment Fund, or (B) realise, recover or remit the proceeds of any such transaction(s) or asset(s); or Increased Cost of Hedging. The Counterparty or the Investment Fund would incur a materially increased amount of tax, duty, expense or fee (other than brokerage commissions) to (A) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) it deems necessary to hedge the equity price risk of entering into and performing its obligations with respect to the relevant transaction, or (B) realise, recover or remit the proceeds of any transaction(s) or asset(s), provided that any such materially increased amount that is incurred solely due to the deterioration of the creditworthiness of the relevant party shall not be deemed an Increased Cost of Hedging; or Material Event. The occurrence or existence of (A) a Trading Disruption; (B) an Exchange Disruption at any time during the one hour period that ends at the Valuation Time in respect of any Related Exchange; or (C) an Early Closure. For the purpose of this Document: Early Closure means the closure on any Scheduled Trading Day of the Exchange or Related Exchange in respect of any or the components of any, prior to its Scheduled Closing Time unless such earlier closing is announced by the Exchange or Related Exchange, as the case may be, at least 136

139 one hour prior to the earlier of: (i) the actual closing time for the regular trading session on the Exchange or Related Exchange, as the case may be, on such Scheduled Trading Day; and (ii) the submission deadline for orders to be entered into the Exchange or Related Exchange, as the case may be, system for execution on such Scheduled Trading Day; Exchange Disruption means any event (other than an Early Closure) that disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for any, or the components of any, including, but not limited to, for the purpose of hedging any obligations in connection with the ; and Trading Disruption means (1) any suspension of or limitation imposed on trading by any Exchange or Related Exchange, as the case may be, or otherwise and whether by reason of movements in price exceeding limits permitted by any Exchange or Related Exchange, as the case may be, or otherwise: (i) relating to any, or the components of any or (ii) in futures, options contracts or any other derivatives contracts relating to any. Scheduled Closing Time means, in respect of each Exchange and Related Exchange and a Scheduled Trading Day, the scheduled weekday closing time of the Exchange and Related Exchange on such Scheduled Trading Day, without regard to after hours or any other trading outside of the regular trading session hours. Scheduled Trading Day means, in respect of an, a day (other than a Saturday or Sunday) on which the Exchange and Related Exchange (where applicable) for such are open for trading and the sponsor of such is scheduled to publish a level of such. Valuation Time means, in respect of each on any Scheduled Business Day (which is not a Disrupted Day) the time by reference to which the closing level for such is calculated for such day. Early Maturity Averaging Date As set out for each Investment Fund (if applicable) in the Fund Specific Details in this Appendix B. If any Early Maturity Averaging Date is a Disrupted Day, such date will be replaced as an Early Maturity Averaging Date by the next Scheduled Business Day which is not a Disrupted Day and is not already an Early Maturity Averaging Date (as applicable). Early Maturity Date The date on a specified anniversary/ies of the Investment Date of an Investment Fund (or where the anniversary of that Investment Fund s Investment Date is not a Business Day, on the next Business Day following the anniversary of the Investment Date) on which the Early Maturity Level reaches the level as set out for each Investment Fund in the Funds Specific Details in this Appendix B. On this date an Investment Fund ceases to invest in derivatives and instead either invests in cash, near cash and/or deposits and/or money market based collective investment schemes or redeems Shareholders investments. Early Maturity Level For each this means the final level of that on the Early Maturity Date normally calculated using the closing level of that on the Early Maturity Date or such other method including the use of Averaging as set out for each Investment 137

140 Fund (if applicable) in the Fund Specific Details in this Appendix B. Exchange Final Level Final Level Averaging Date Fixed Return or Indices Business Day Level Investment Date Maturity Date Related Exchange In relation to the FTSE 100, the London Stock Exchange and, in relation to the S&P 500, the New York Stock Exchange, American Stock Exchange, NASDAQ Global Select Market and NASDAQ Global Market, or in each case any successor exchange(s) thereto. In relation to any further index, as set out for each Investment Fund (if applicable) in the Fund Specific Details in this Appendix B. For each this means the final level of that on the Maturity Date normally using the closing level of that on the Maturity Date or such other method, including the use of Averaging, as set out under the applicable Fund Specific Details in this Appendix B. As set out for each Investment Fund (if applicable) in the Fund Specific Details in this Appendix B. If any Final Level Averaging Date is a Disrupted Day, such date will be replaced as a Final Level Averaging Date by the next Scheduled Business Day which is not a Disrupted Day and which is not already a Final Level Averaging Date. Where an Investment Fund has an Early Maturity Date, the fixed return payable to Shareholders as detailed in the Fund Specific Details in this Appendix B. An index or indices which may be used as a benchmark for calculating growth for an Investment Fund. Details of the relevant index or indices for an Investment Fund are set out in the Fund Specific Details in this Appendix B. A day on which the relevant level of the (or Indices) is calculated and published in accordance with the applicable rules. If an applicable is not calculated and published as a result of a holiday or for any other reason, or there is a holiday elsewhere or other reason which impedes the calculation of the fair market value of a Fund s portfolio or a significant portion thereof, the ACD may decide that any Business Day shall not be construed as such. For each this means the initial level of that on the Investment Date normally using the closing level of that on the Investment Date or such other method as set out under Fund Specific Details in this Appendix B. The date on which an Investment Fund invests up to 100% in derivatives. The date on which an Investment Fund ceases to invest in derivatives and instead either invests in cash, near cash and/or deposits and/or money market based collective investment schemes or redeems Shareholders investments. In respect of each, the exchange or quotation system or any substitute exchange or quotation system in which trading of the futures or options contracts linked to the or the components of the principally occurs, or the exchange or quotation system where trading has a material effect on the 138

141 overall market for futures or options contracts relating to the or the components of the, in each case as determined by the ACD. Scheduled Business Day UK Business Day In respect of each, a day on which that is scheduled to be calculated and published, save for the occurrence of a Disrupted Day A day on which commercial banks and foreign exchange markets settle payments and are open for general business in London. The ACD may decide that any UK Business Day shall not be construed as such. Launch of Investment Funds An Investment Fund may have an Offer Period during which subscriptions may be made in accordance with the instructions given by the ACD or a distributor. An Investment Fund may be launched as a Limited Issue Fund or a Non-Limited Issue Fund. Where a Limited Issue Fund is launched investors may only subscribe for Shares in the relevant Limited Issue Period, details of which are set out as relevant in this Appendix B. From the Investment Date (which may also but will not necessarily be the Launch Date) to the Maturity Date or Early Maturity Date (if applicable), each Investment Fund will normally invest principally in derivatives. This is to provide the partial/limited capital protection (if applicable) and any return linked to the performance of an or Indices as set out in an Investment Fund s objective. The derivatives will be entered into with financial institutions known as counterparties. Please note that RBS plc is currently the sole counterparty used to provide derivatives in relation to an Investment Fund. It should be noted that some Investment Funds offer no partial or limited capital protection and Shareholders in any such Fund may not receive back the amount they initially invested. Details of how each Investment Fund uses derivatives are available upon request. It is only possible to switch into other Funds in the Company which are not Limited Issue Funds. Non-Limited Issue Funds are listed in Part 1 of the Fund Specific Details in this Appendix B and Limited Issue Funds are listed in Part 2 of the Fund Specific Details in this Appendix B. Each of the Investment Funds have different features and in particular offer varying degrees of capital protection (in some cases no capital protection at all). Shareholders will only benefit from the level of protection available in the Fund into which they switch (and this may be a lesser degree of protection than that afforded to Shareholders of the Fund in which they originally invested, and possibly no protection at all). When switching, Shareholders will receive Shares in the new Fund at a price which relates to the Net Asset Value of that Fund at the time at which the switch takes place. This price may be higher than the Protected Maturity Share Price in the new Fund (if applicable) and therefore not necessarily all of the amount which a Shareholders switches into the new Fund will be protected. Maturity of the Investment Funds Investment Funds may either take the form of funds which will be wound up once Shareholders have been paid the proceeds of redemption calculated as at the Maturity Date or Early Maturity Date (if applicable - see further explanation below) or which continue after the Maturity Date on comparable terms and investment objective but with a new Maturity Date. In either case, at the Maturity Date or Early Maturity Date (if applicable), the Investment Funds will cease to invest in derivatives and will either invest in cash/near cash, money market 139

142 instruments and money market based collective investment schemes or redeem Shareholders holdings. Some of the Investment Funds may have an Early Maturity Date which may be triggered on specified anniversaries of the Investment Date of that Investment Fund (or where the anniversary of that Investment Fund s Investment Date is not a Business Day, on the next Business Day following the anniversary of the Investment Date) but only where the Early Maturity Level reaches the level as set out for each Investment Fund in the Funds Specific Details in this Appendix B on the specified anniversary of the Investment Date. If the Early Maturity Level is not reached on any of the specified anniversary dates, then the Investment Fund will continue until the Maturity Date. The relevant Early Maturity Dates and Maturity Dates where applicable are set out in the Fund Specific Details of this Appendix B. Before the Maturity Date of the relevant Investment Fund, the ACD or its appointed agent will write to Shareholders who will be notified that the fixed term of the Investment Fund is about to end to outline the options available to them for payment of their proceeds of investment. Where the ACD or its appointed agent receives Shareholders' written instructions (and any other outstanding information requested by the ACD or its appointed agent) prior to the Maturity Date, Shareholders will normally receive their proceeds of investment within 10 business days following the Maturity Date. Where Shareholders' written instructions (and any other outstanding information requested by us) are received after the Maturity Date, Shareholders will normally receive their proceeds of investment within 10 business days of receipt of such instructions and/or information. In respect of the Investment Funds which may have an Early Maturity Date, the ACD or its appointed agent will contact Shareholders before an Early Maturity Date is triggered, to outline the options available to them for payment of their proceeds of investment. Where the ACD or its appointed agent receives Shareholders' written instructions (and any other outstanding information requested by the ACD or its appointed agent) prior to the Early Maturity Date, Shareholders will normally receive their proceeds of investment within 10 business days following the Early Maturity Date. Where Shareholders' written instructions (and any other outstanding information requested by us) are received after the Early Maturity Date, Shareholders will normally receive their proceeds of investment within 10 business days of receipt of such instructions and/or information. Where an Early Maturity Date is not triggered, the process for the Maturity Date, as detailed above will be followed. Please note that Shareholders may be requested to provide a chosen UK bank or building society account for the proceeds to be credited or alternatively payment will be made to the account nominated on the application form. If no bank account details are held, and Shareholders invested via Cheque or where a Shareholder holds their investment in a Stocks and Shares ISA, proceeds may not be paid until that Shareholder s written instructions have been received. 140

143 Specific Risk Warnings Applicable to Investment Funds 1. Conditional capital protection Shareholders should note that the Investment Funds are not guaranteed investments and they could lose some or all of their money. The Investment Funds are only capital protected in certain circumstances. Shareholders may not therefore receive back the full amount of their original investment even if they hold their Shares until the Maturity Date. Shareholders will lose capital where the Final Level of the relevant (or where there are two Indices referenced in the Investment Fund s investment objective and policy, one of those Indices) has fallen below the applicable percentage (defined in the Investment Fund s objective and policy) from its Level and the Daily Closing Level of that (or where there are two Indices referenced in the Investment Fund s investment objective and policy, one of those Indices) has fallen by more than the applicable percentage (defined in the Investment Fund s objective and policy) from its Level. Shareholders capital will also be at risk where Shares are not held to the Maturity Date or Early Maturity Date (if applicable) (see Early Redemption below) or in circumstances where a counterparty defaults (see Counterparty Risk below). 2. Derivatives Derivatives will be used in the Investment Funds for the purposes of investment. Where the ACD invests in derivatives and forward transactions in the pursuit of an Investment Fund s objectives, the net asset value of that Investment Fund may at times be volatile (in the absence of compensating investment techniques). However, it is the ACD s intention that the Investment Fund will not have volatility over and above the general market volatility of the markets of the Investment Fund s underlying investments owing to the use of the derivatives and/or forward transactions in the pursuit of its objectives. It is not the ACD s intention that the use of derivatives and forward transactions in the pursuit of an Investment Fund s objective will cause its risk profile to change. 3. Counterparty Risk The Investment Funds may enter into derivative transactions in order to meet their investment objectives with various financial institutions. These financial institutions are acting as a counterparty. This means that Shareholders investment in the Investment Funds is exposed to the counterparty risk of these financial institutions. When an investment is exposed to counterparty risk, it means that if the counterparty were to default or become insolvent, any partial or limited capital protection feature of the Investment Funds will not apply and some or all of the value of the investment could be lost. This means that in the event that the counterparty were to default or become insolvent, Shareholders could lose some or all of their money. RBS plc is currently the sole counterparty to the Investment Funds. Credit ratings can be a useful way to help understand the relative risks associated with different counterparties and their financial strength. The ratings are assigned by independent companies known as ratings agencies and reviewed regularly. RBS plc s long term issuer credit ratings are A by Standard & Poor s, A3 by Moody s Investor Service and A by Fitch Ratings (as at the date of this Prospectus). 141

144 Moody s rate companies from Aaa (highest quality with minimal credit risk) to C (obligations are typically in default with little prospect of recovery of principal or interest), Standard & Poor s rate companies from AAA (extremely strong capacity to meet its financial commitments) to D (payment in default) and Fitch rate companies from AAA (highest credit quality) to D (default). These credit ratings are reviewed on a regular basis and are subject to change by these agencies. In order to reduce the counterparty risk in this type of investment, a collateral arrangement is used. Collateral is like a deposit or a security agreement used to satisfy any potential liability arising from a transaction, for example property provided as security for a loan, such as a mortgage arrangement. The counterparties with which the Investment Funds enter into derivative contracts provide collateral to the Investment Fund. This collateral is made up of government bonds. This collateral is held by the Investment Fund s independent Depositary. The Investment Fund has full legal rights to this collateral. In the event that the counterparty, including RBS plc were to default or become insolvent, this collateral would be used to enable investors to recoup at least some of their money. Whilst the collateral may not cover the full value of the Investment Fund, it aims to cover at least 90% of the value of the Investment Fund at all times. The collateral therefore provides a degree of mitigation to customers in relation to the counterparty risk. 4. Early Maturity Dates Some Investment Funds may mature early on one or more specified anniversaries of their Investment Date (or where the anniversary of that Investment Fund s Investment Date is not a Business Day on the next Business Day following the anniversary of the Investment Date) but only where the Early Maturity Level reaches the level as set out for each Investment Fund in the Funds Specific Details in this Appendix B on the specified anniversary of the Investment Date. If an Early Maturity Date is triggered then investors will receive back their initial investment plus a Fixed Return (as set out in the applicable Investment Fund Specific Details). For example, if an Early Maturity Date is triggered and the pre-determined Fixed Return for the Investment Fund is 25% for that particular Early Maturity Date, then shareholders will receive a Fixed Return of 25%, even if a higher percentage growth has been achieved by the. The return may vary for different Early Maturity Dates. 5. Early Redemption Shareholders who redeem their Shares prior to the Maturity Date or Early Maturity Date (if applicable) may receive less than the amount they initially invested. Any limited or partial capital protection that may be available in an Investment Fund is only applicable to those Shares held until the Maturity Date or the Early Maturity Date (if applicable). You can redeem all or part of your investment before that time, although you could get back less than you originally invested as the value of your Shares can go down as well as up and a redemption charge may be levied. Shareholders should note that some Investment Funds do not offer any capital protection at all and even for those Funds that offer partial or limited capital protection, holding Shares until the Maturity Date may not necessarily mean that you will receive back the amount you originally invested (please see the Fund Specific Details for the each Investment Fund to see if it offers partial or limited capital protection and if so the terms on which this protection is available). Although some of the Investment Funds may mature early, Shareholders should be prepared to invest in the Investment Funds until the relevant Maturity Date. 142

145 6. Features of the Funds For equity linked investments stock market prices or indices can move erratically and be affected by many diverse factors, including political and economic events but also rumours and sentiment. Any limited/partial capital protection only applies to those Shares held for the full term until the Maturity Date or Early Maturity Date (if applicable). However for some of the Investment Funds with limited or partial protection even where Shares are held to the Maturity Date Shareholders may not be eligible to receive the limited/partial capital protection. How any partial/limited capital protection feature may work is set out in the Fund Specific Details for the relevant Investment Funds. The level of the or basket of Indices to which an investment may be linked can fall as well as rise. If the applicable level falls or remains the same, this would mean that your investment may depreciate in value or not grow and the spending power of your returned invested capital could be eroded by the effects of inflation. The amount of capital appreciation (if any) achieved will depend on the level of an. The level of an can fall as well as rise which means that there may be no capital appreciation and Shareholders may not receive back the amount they originally invested. Where an ceases to be calculated or published, is modified, disrupted or cancelled or is otherwise unable to be used for the purpose of the investment objective of the relevant Investment Fund, the ACD will take steps to substitute another which resembles as closely as possible the existing or take any steps which it considers necessary to achieve (in so far as it is possible to do so in the circumstances) the investment objective of the relevant Investment Fund. It may be necessary in these circumstances to seek Shareholder approval for this change or to give Shareholders 60 days notice of the change. Where there is not suitable replacement the ACD may seek the FCA s approval to wind up the relevant Investment Fund. New taxation or accounting law or practice concerning the derivatives into which an Investment Fund has invested could adversely affect the Investment Funds. This is because any unforeseen tax liability would have to be paid by the Investment Fund. Averaging (as defined in respect of relevant Funds in this Appendix) to calculate the Early Maturity level and the Final Level has potential benefits and drawbacks from taking one final level at the Maturity Date or Early Maturity Date (if applicable). Using averaging could protect the investor from a large downward move in the relevant or Indices towards the end of the investment. However it is also possible that the final level may be higher than the average of the number of observations taken. Where the investment objective and policy of an Investment Fund refers to two indices, the return on a Shareholder's investment depends on the performance of both stock market Indices. There is therefore a greater risk of the Investment Fund only achieving either a return of a Shareholder's original investment or a loss of capital than would apply were only one of the Indices used. This risk can be greater if the Indices used vary in terms of factors such as geographical base, type of assets represented, volatility and maturity of market. 7. Emerging Markets Exposure to emerging markets assets generally entails greater risks than exposure to well-developed markets, including potentially significant legal economic and political risks. Emerging markets are by definition "in transformation" and are therefore exposed 143

146 to the risk of swift political change and economic downturn. In recent years, many emerging market countries have undergone significant political, economic and social change. In many cases, political concerns have resulted in significant economic and social tensions and in some cases both political and economic instability has occurred. Political or economic instability may affect investor confidence, which could in turn have a negative impact on the prices of emerging market exchange rates, securities or other assets. The prices of emerging market exchange rates, securities or other assets are often highly volatile. Movements in such prices are influenced by, among other things, interest rates, changing market supply and demand, external market forces (particularly in relation to major trading partners), trade, fiscal, monetary programmes, policies of governments, and international political and economic events and policies. In emerging markets, the development of securities markets usually is at an early stage. This could lead to risks and practises (such as increased volatility) that are not common in more developed securities markets, which may negatively affect the value of securities listed on the exchanges of such countries. In addition, markets of emerging market countries are often characterised by illiquidity in the form of a low turnover of some of the listed securities. It is important to note that, during times of global economic slowdown, emerging market exchange rates, securities and other assets are more likely than other forms of investment with lower risks to be sold during any flight to quality, and their value may decrease accordingly. 144

147 FUND SPECIFIC DETAILS PART 1 - NON-LIMITED ISSUE FUNDS N/A PART 2 - LIMITED ISSUE FUNDS Name: Type of Fund: Investment objective and policy: Investment Fund 4 European Defined Returns UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of the Eurostoxx 50 * (the ) during a fixed participation period until either the Maturity Date or Early Maturity Date. The performance of the is measured by reference to the Level and the Final Level. At the Maturity Date Shareholders will receive one of the three following levels of return (the Linked Return ), as determined by the performance of the : i) if the Final Level is equal to or higher than the Level, 1.50 per Share; or ii) 1 per Share, if the Final Level is lower than the Level but the Daily Closing Level has not fallen (as measured by reference to the by more than 50%; or iii) a return calculated by dividing the Final Level by the Level and multiplying the result by 1 per Share, if the Final Level is lower than the Level and the Daily Closing Level has fallen by more than 50%. The Level is the level of the at the close of business on the Investment Date. The Final Level is the average of the closing levels of the on the 24th day of each month from (and including) 24 February 2014 to (and including) 24 February The Daily Closing Level is the closing level of the on any Business Day from 24 February 2010 to 24 February In the event that any day is not an Business Day, the closing level of the will be calculated on the next Business Day. The worked example below sets out how the Fund will work in practice. The Fund will mature early on the Early Maturity Date which will be 25 February 2013 (the 3 rd anniversary of the Investment Date) if the Early Maturity Level is equal to or higher than the Level. In such circumstances Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return of 30%. The performance of the is measured by reference to the Level and the Early Maturity Level. The Early Maturity Level will be calculated by using the average of the closing levels on the five Business Days up to and including the Early Maturity Date. If the Fund matures 145

148 early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return. At the Maturity Date, the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. Please see the risk warnings in Part 11 and the specific risks from page 141 in this Appendix B ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Limited Issue Period 24 February 2010 Limited Issue Limit N/A Launch Date: 24 February 2010 Investment Date: 24 February 2010 Maturity Date: 24 February 2015 Averaging The Final Level will be calculated by using the average of the closing level of the on the 24th day of each month beginning (and including) 24 February 2014 to (and including) 24 February In the event that any day is not an Business Day, the closing level of the will be calculated on the next Business Day. The percentage growth of the (if any) is calculated by subtracting the Level from the Final Level and dividing the result by the Level. The Early Maturity Level will be calculated by using the average of the closing levels of the on the five Business Days up to and including the Early Maturity Date. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Class 2 Shares (Accumulation) (Direct investors through the ACD after the Launch Date) 146

149 Valuation Point: Cut Off Point: Dealing Days: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund) The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month Preliminary charge: Current: Class % Class 2 10% Redemption charge Current: Class 1-1% Class 2 1% The Redemption Charge will be applied in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date or Early Maturity Date (if applicable) The Redemption Charge will not be charged at the Early Maturity Date. The Redemption Charge will be applied in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date or Early Maturity Date (if applicable) Annual ACD fee: Current: Nil Nil Investment minima** Class 1 Class 2 Lump sum 20,000 1,000,000 Holding 20,000 1,000,000 Top-up N/A N/A Monthly saving N/A N/A 147

150 Redemptio n Minimum of 1,000 Shares Minimum of 10,000 Shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each purchase and redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: See Appendix D. Taxation: Category of Fund for tax purposes Distributions Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the is a capital index, and does not pay income. The only income received by the Fund will be interest arising post the Maturity Date. The Investment Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Investment Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the tables on page for examples of how the index returns may affect your investment. 148

151 Buying Class 1 Shares This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share for Investment Fund 4 European Defined Returns. investment 20,000 Less Preliminary charge of 6.90% 1,380 Equals Money remaining to purchase Shares 18,620 Number of Shares at each 20,000 Value of 20,000 Shares 18,620 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 such Shares in the Fund prior to the Maturity Date. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 On redemption Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,

152 Current value of remaining Shares 20,900 Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 4 European Defined Returns at an Early Maturity Date of 25 February movement (Early Maturity Level expressed as a % of 80% on 25 February % on 25 February 2013 Participation amount return The Early Maturity Level is not equal to or higher than the Level; therefore the Fund does not mature. The Early Maturity Level is higher than the Level and the Fund will mature. The Fixed Return is 30 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Total return Fund does not mature early. 26,000 Investment Fund 4 European Defined Returns has one possible Early Maturity Date which is 25 February If on this date, the Early Maturity Level (subject to averaging) is equal to or higher than the Level then the Fixed Return of 30p per Share will be paid. The table below assumes investment is made into Investment Fund 4 European Defined Returns. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, this table should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. The following table sets out the expected returns of an investment of 20,000 in Investment Fund 4 European Defined Returns at certain Final Levels if the Daily Closing Level has or has not fallen by more than 50%. This example assumes that the Level is 3,000. Level Final Level Lowest Daily Eurosto xx 50 Closing Level Has the Eurostoxx 50 Closing Level fallen by more than 50% from the Level? Participation amount return 3,000 2,400 1,400 Yes As the Final Level is below the Level and the Daily Closing Level has fallen by more than 50% from the Level of 3,000, the Linked Return 16,

153 return will be calculated by dividing the Final Level by the Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 2,400 2,000 No As the Final Level is below the Level and the Daily Closing Level has not fallen by more than 50% from the Level of 3,000, the return will be the initial capital invested by the Shareholder of 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by 1. In this scenario, the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level is below the Level. 3,000 3,200 1,400 Yes As the Final Level is higher than the Level of 3,000, the return will be the initial capital invested by the Shareholder of 1 plus 50 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 3,400 2,000 No As the Final Level is higher than the Level of 3,000, the return will be the initial capital invested by the Shareholder of 1 plus 50 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 30,000 30,000 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 151

154 Name: Type of Fund: Investment objective and policy: Investment Fund 5 European Accumulator (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of the Eurostoxx 50 * (the ) during a fixed participation period until either an Early Maturity Date or the Maturity Date. Providing Shareholders remain invested until the Maturity Date, they will receive one of the three following levels of return (the Linked Return, as determined by the performance of the : (i) 1.40 per Share, comprising the 1 initially invested plus 40 pence, if the Final Level is equal to or higher than the Level; or (ii) 1 per Share if the Final Level is lower than the Level but the Daily Closing Level has not fallen (as measured by reference to the by more than 50%; or (iii) a return calculated by dividing the Final Level by the Level and multiplying the result by 1 per Share, if the Final Level is lower than the Level and the Daily Closing Level has fallen by more than 50%. The Level is the level of the at the close of business on the Investment Date. The Final Level will be calculated by using the average of the closing levels of the on the five Business Days up to and including the Maturity Date. The Daily Closing Level is the closing level of the on any Business Day from 21 April 2010 to 21 April In the event that a day is not an Business Day, the closing level of the will be calculated on the next Business Day. The worked example below sets out how the Fund will work in practice. The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Date: Early Maturity Level: 23 April 2012 Equal to or higher than the Level 22 April 2013 Equal to or higher than the Level 22 April 2014 Equal to or higher than the Level Fixed Return: 16p per Share 24p per Share 32p per Share 152

155 The performance of the is measured by reference to the Level and the Early Maturity Level. The Early Maturity Level will be calculated by using the average of the closing levels of the on the five Business Days up to and including the relevant Early Maturity Date. If the Fund matures early it will then be wound up. Please see the risk warnings in Part 11 in relation to Early Maturity. ISA status: To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will cease investment in derivatives. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. Qualifying investment for stocks and shares ISAs Launch Price: 0.94 Limited Issue Period 21 April 2010 Limited Issue Limit N/A Launch Date: 21 April 2010 Investment Date: 21 April 2010 Maturity Date: 21 April 2015 Averaging The Final Level will be calculated by using the average of the closing levels of the on the five Business Days up to and including the Maturity Date. The Early Maturity Level will be calculated by using the average of the closing levels of the on the five Business Days up to and including the relevant Early Maturity Date. The percentage growth of the (if any) is calculated by subtracting the Level from the Final Level or Early Maturity Level (where applicable) and dividing the result by the Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: 5:00pm UK time on each 153

156 Dealing Day Cut Off Point: Dealing Days: Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund). The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Preliminary charge: Current: Class 1 6% Redemption charge Current: Class 1-1% The redemption Charge will be made in respect of any redemption prior to the Maturity Date but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date Annual ACD fee: Current: Class 1 - Nil Investment minima** Class 1 Lump sum 20,000 Holding 20,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated 154

157 Taxation: Category of Fund for tax purposes Distributions Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the is a capital index and does not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Investment Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Investment Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). See the following Worked Example for an illustration of how the Fund works in practice. 155

158 Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the tables on page 186 for examples of how the index returns may affect your investment. Buying Class 1 Shares in Investment Fund 5 European Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at 0.94 per Share for Investment Fund 5 European Accumulator. investment - Example for -Investment Fund 5 European Accumulator 20,000 Less Preliminary charge of 6% 1,200 Equals Money remaining to purchase Shares 18,800 Number of Shares at 0.94 each 20,000 Value of 20,000 Shares 18,800 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 such Shares in either the Investment Fund 5 European Accumulator. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,000 multiplied by Redemption Price 1.10) 1,100 Dilution Levy of 2% 22 Redemption proceeds after dilution 1,

159 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 5 European Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 5 European Accumulator at an Early Maturity Date of 23 April movement (Early Maturity Level expressed as a % of 80% on 23 April % on 23 April 2012 Participation amount return The Early Maturity Level is not equal or higher than the Level; therefore the Fund does not mature. The Early Maturity Level is higher than the Level and the Fund shall mature. The Fixed Return is 16 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Total return Fund does not mature early. 23,200 Investment Fund 5 European Accumulator has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Level and Fixed Return. Early Maturity Date Early Maturity Level Fixed Return 23 April 2012 Equal to or higher than Level 22 April 2013 Equal to or higher than Level 22 April 2014 Equal to or higher than Level 16 pence per Share 24 pence per Share 32 pence per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 5 European Accumulator at certain Final Levels if the Daily Closing Level has or has not fallen by more than 50%. This example assumes that the Level is 3,

160 Level Final Level Lowest Daily Closing Level Has the Eurostoxx 50 Daily Closing Level fallen by more than 50% from the Level? Participation amount return Linked Return 3,000 2,400 1,400 Yes As the Final Level is below the 16,000 Level and the Daily Closing Level has fallen by more than 50% from Level of 3,000, the return will be calculated by dividing the Final Level by the Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 2,400 2,000 No As the Final Level is below the 20,000 Level and the Daily Closing Level has not fallen by more than 50% from Level of 3,000, the return will be the initial capital invested by the Shareholder of 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by 1. In this scenario, the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level is below the Level. 3,000 3,200 1,400 Yes As the Final Level is higher than 28,000 the Level of 3,000, the return will be the initial capital invested by the Shareholder of 1 plus 40 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 3,400 2,000 No As the Final Level is higher than 28,000 the Level of 3,000, the return will be the initial capital invested by the Shareholder of 1 plus 40 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 158

161 Name: Type of Fund: Investment objective and policy: Investment Fund 9 Transatlantic Accumulator (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing Shareholders remain invested until the Maturity Date, being 23 February 2016, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (i) per Share, comprising the 1 initially invested plus pence, if the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels; (ii) 1 per Share; if, the Final Level of either the FTSE 100 and the S&P 500 is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50%; or (iii) the return calculated by dividing the Final Level by the Level of the with the greater fall and multiplying that figure by 1 per Share; if the Final Level of the with the greater fall is lower than the Level of that and the Daily Closing Level of either the FTSE 100 and the S&P 500 has fallen by more than 50%. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. The Final Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the Maturity Date. The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Business Day (being, in respect of each, a day on which that is calculated and published) from 24th February 2011 to 23rd February In the event that any day is not an Business Day for either of the FTSE 100 or the S&P 500, the closing level of that 159

162 will be calculated on its next Business day. The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Date: Early Maturity Level: 25 February 2013 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 24 February 2013 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 23 February 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return: 19p per Share 28.5p per Share 38p per Share The Early Maturity Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the relevant Early Maturity Date. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. 160

163 The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Limited Issue Period 23 February 2011 Limited Issue Limit N/A Launch Date: 23 February 2011 Investment Date: 23 February 2011 Maturity Date: 23 February 2016 Averaging The Final Level will be calculated by using the average of the closing levels of the FTSE 100 and the S&P 500 on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the Maturity Date. The Early Maturity Level of each of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of the FTSE 100 and the S&P 500 on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the relevant Early Maturity Date. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited 161

164 Issue Fund). Dealing Days: The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Preliminary charge: Current: Class % Redemption charge Current: Class 1-1% The redemption Charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 - Nil Investment minima*** Class 1 Lump sum 20,000 Holding 20,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax Equity Fund 162

165 purposes Distributions Capital Gains The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). 163

166 Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the tables on pages for examples of how the index returns may affect your investment. Buying Class 1 Shares in Investment Fund 9 Transatlantic Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.25% 1,250 Equals Money remaining to purchase Shares 18,750 Number of Shares at each 20,000 Value of 20,000 Shares 18,750 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 9 Transatlantic Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. 164

167 Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 9 Transatlantic Accumulator on the first Early Maturity Date. movement (Early Maturity Levels of the FTSE 100 and the S&P 500 expressed as a % of their Levels) on 25 February 2013 FTSE 100 : 80% S&P 500 : 85% FTSE 100 : 110% S&P 500 : 80% FTSE 100 : 110% S&P 500 : 115% Participation amount return The Early Maturity Levels of the FTSE 100 and the S&P 500 are not equal or higher than their respective Levels; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 is higher than its Level. However, the Early Maturity Level of the S&P 500 is not equal or higher than its Level. Therefore the Fund does not mature. The Early Maturity Levels the FTSE 100 and the S&P 500 are equal or higher than their respective Levels. Therefore, the Fund shall mature. The Fixed Return is 19 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Total return Fund does not mature early. Fund does not mature early. 23,800 Investment Fund 9 Transatlantic Accumulator has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the S&P February 2013 Equal to or higher than their respective Levels 24 February 2014 Equal to or higher than their respective Levels 23 February 2015 Equal to or higher than their respective Levels Fixed Return 19 pence per Share 28.5 pence per Share 38 pence per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 9 Transatlantic Accumulator at certain Final Levels of the FTSE 100 and the S&P 500 if the Daily Closing Levels of the FTSE 100 and the S&P 500 have or have not fallen by more than 50%. This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,

168 Final Levels FTSE 100 S&P 500 Lowest Daily Closing Levels FTSE 100 S&P 500 Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? 4, , Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. 4,500 1,200 3, Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. Participation amount return As the Final Level of the with the greatest fall (the FTSE 100 ) is below its Level and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the return will be calculated by dividing the Final Level of the FTSE 100 by the Level of the FTSE 100 and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of the with the greatest fall (the FTSE 100 ) is below its Level and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the S&P 500 has fallen by more than 50% from its Level of 1,000), Total Return 18,000 18,

169 the return will be calculated by dividing the Final Level of the FTSE 100 by the Level of the FTSE 100 and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,500 1,200 4, No As the Final Level of either the FTSE 100 or the S&P 500 is below its respective Level (in this example, the Final Level of the FTSE 100 is below its and the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen by more than 50% from their respective Levels (of 5,000 and 1,000 respectively), the return will be the initial capital invested by the Shareholder of 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by 1. In this scenario, the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. 5,800 1,250 4, Yes As the Final Levels of both the FTSE 100 and the S&P 500 are higher than their respective Levels (of 5,000 and 1,000), the return will be the initial capital invested by the Shareholder of 1 plus pence per Share. 20,000 29,

170 Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 1,300 3, No As the Final Levels of both the FTSE 100 and the S&P 500 are higher than their respective Levels of (of 5,000 and 1,000), the return will be the initial capital invested by the Shareholder of 1 plus pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,500 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 168

171 Name: Type of Fund: Investment objective and policy: Investment Fund 10 Transatlantic Annual Accumulator (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing Shareholders remain invested until the Maturity Date, being 20 April 2016, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (i) per Share, comprising the 1 initially invested plus pence, if the Final Levels of both FTSE 100 and the S&P 500 are equal to or higher than their respective Levels; (ii) 1 per Share; if, the Final Level of either the FTSE 100 and the S&P 500 is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50%; or (iii) the return calculated by dividing the Final Level by the Level of the with the greater fall and multiplying that figure by 1 per Share; if the Final Level of the with the greater fall is lower than the Level of that and the Daily Closing Level of either the FTSE 100 and the S&P 500 has fallen by more than 50%. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. The Final Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the Maturity Date. The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Business Day (being, in respect of each, a day on which that is calculated and published) from 21 April 2011 to 20 April In the event that any day is not an Business Day for either of the FTSE 100 or the S&P 500, the closing level of that will be calculated on its next Business day. 169

172 The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Date: Early Maturity Level: 20 April 2012 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 22 April 2013 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 22 April 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 20 April 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return: 8.25p per Share 16.5p per Share 24.75p per Share 33p per Share The Early Maturity Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the relevant Early Maturity Date. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds 170

173 are paid out to Shareholders. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Limited Issue Period 20 April 2011 Limited Issue Limit N/A Launch Date: 20 April 2011 Investment Date: 20 April 2011 Maturity Date: 20 April 2016 Averaging The Final Level will be calculated by using the average of the closing levels of the FTSE 100 and the S&P 500 on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the Maturity Date. The Early Maturity Level of each of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of the FTSE 100 and the S&P 500 on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the relevant Early Maturity Date. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of 171

174 business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund). Dealing Days: The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Preliminary charge: Current: Class % Redemption charge Current: Class 1-1% The redemption Charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 - Nil Investment minima*** Class 1 Lump sum 20,000 Holding 20,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated 172

175 Taxation: Category of Fund for tax purposes Distributions Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). 173

176 Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the tables on pages for examples of how the index returns may affect your investment. Buying Class 1 Shares in Investment Fund 10 Transatlantic Annual Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.25% 1,250 Equals Money remaining to purchase Shares 18,750 Number of Shares at each 20,000 Value of 20,000 Shares 18,750 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 10 Transatlantic Annual Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. 174

177 Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 10 Transatlantic Annual Accumulator on the first Early Maturity Date. movement (Early Maturity Levels of the FTSE 100 and the S&P 500 expressed as a % of their Levels) on 20 April 2012 FTSE 100 : 80% S&P 500 : 85% FTSE 100 : 110% S&P 500 : 80% FTSE 100 : 110% S&P 500 : 115% Participation amount return The Early Maturity Levels of the FTSE 100 and the S&P 500 are not equal or higher than their respective Levels; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 is higher than its Level. However, the Early Maturity Level of the S&P 500 is not equal or higher than its Level. Therefore the Fund does not mature. The Early Maturity Levels the FTSE 100 and the S&P 500 are equal or higher than their respective Levels. Therefore, the Fund shall mature. The Fixed Return is 8.25 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Total return Fund does not mature early. Fund does not mature early. 21,650 Investment Fund 10 Transatlantic Annual Accumulator has four possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the S&P April 2012 Equal to or higher than their respective Levels 22 April 2013 Equal to or higher than their respective Levels 22 April 2014 Equal to or higher than their respective Levels 20 April 2015 Equal to or higher than their respective Levels Fixed Return 8.25 pence per Share 16.5 pence per Share pence per Share 33 pence per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 10 Transatlantic Annual Accumulator at certain Final Levels of the FTSE 100 and the S&P 500 if the Daily Closing Levels of the FTSE 100 and the S&P 500 have or have not fallen by more than 50%. This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,

178 Final Levels FTSE 100 S&P 500 Lowest Daily Closing Levels FTSE 100 S&P 500 Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? 4, , Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. 4,500 1,200 3, Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. Participation amount return As the Final Level of the with the greatest fall (the FTSE 100 ) is below its Level and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the return will be calculated by dividing the Final Level of the FTSE 100 by the Level of the FTSE 100 and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of the with the greatest fall (the FTSE 100 ) is below its Level and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the S&P 500 has fallen by more than 50% from its Level of 1,000), Total Return 18,000 18,

179 the return will be calculated by dividing the Final Level of the FTSE 100 by the Level of the FTSE 100 and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,500 1,200 4, No As the Final Level of either the FTSE 100 or the S&P 500 is below its respective Level (in this example, the Final Level of the FTSE 100 is below its and the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen by more than 50% from their respective Levels (of 5,000 and 1,000 respectively), the return will be the initial capital invested by the Shareholder of 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by 1. In this scenario, the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. 5,800 1,250 4, Yes As the Final Levels of both the FTSE 100 and the S&P 500 are higher than their respective Levels (of 5,000 and 1,000), the return will be the initial capital invested by the Shareholder of 1 plus pence per Share. 20,000 28,

180 Therefore, the Linked Return will be 20,000 Shares multiplied by 1, ,000 1,300 3, No As the Final Levels of both the FTSE 100 and the S&P 500 are higher than their respective Levels of (of 5,000 and 1,000), the return will be the initial capital invested by the Shareholder of 1 plus pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by 1, ,250 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 178

181 Name: Type of Fund: Investment objective and policy: Investment Fund 11 Transatlantic Annual Accumulator (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing Shareholders remain invested until the Maturity Date, being 6 July 2016, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (i) per Share, comprising the 1 initially invested plus pence, if the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels; (ii) 1 per Share; if, the Final Level of either the FTSE 100 or the S&P 500 is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50% ; or (iii) the return calculated by dividing the Final Level by the Level of the with the greater fall and multiplying that figure by 1 per Share; if the Final Level of the with the greater fall is lower than the Level of that and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50%. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. The Final Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the Maturity Date. The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Business Day (being, in respect of each, a day on which that is calculated and published) from 7 July 2011 to 6 July In the event that any day is not an Business Day for either of the FTSE 100 or the S&P 500, the closing level of that will be 179

182 calculated on its next Business Day. The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Date: Early Maturity Level: 6 July 2012 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 8 July 2013 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 7 July 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 6 July 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return: 7.25 p per Share 14.50p per Share 21.75p per Share 29p per Share The Early Maturity Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the relevant Early Maturity Date. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds 180

183 are paid out to Shareholders. The Fund also has the power to invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: Limited Issue Period 6 July 2011 Limited Issue Limit N/A Launch Date: 6 July 2011 Investment Date: 6 July 2011 Maturity Date: 6 July 2016 Averaging The Final Level will be calculated by using the average of the closing levels of the FTSE 100 and the S&P 500 on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the Maturity Date. The Early Maturity Level of each of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of the FTSE 100 and the S&P 500 on the five Business Days (being, in respect of each, a day on which that is calculated and published) up to and including the relevant Early Maturity Date. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a 181

184 Dealing Day (top-up investment are not available as this is a Limited Issue Fund). Dealing Days: The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Preliminary charge: Current: Class % Redemption charge Current: Class 1-1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 - Nil Investment minima*** Class 1 Lump sum 20,000 Holding 20,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Equity Fund 182

185 Distributions Capital Gains The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the tables on pages for examples of how the index returns may affect your investment. Buying Class 1 Shares in Investment Fund 11 Transatlantic Annual Accumulator 183

186 This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.50% 1,300 Equals Money remaining to purchase Shares 18,700 Number of Shares at each 20,000 Value of 20,000 Shares 18,700 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 11 Transatlantic Annual Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 11 Transatlantic Annual Accumulator on the first Early Maturity Date. movement Participation amount return Total return 184

187 (Early Maturity Levels of the FTSE 100 and the S&P 500 expressed as a % of their Levels) on 6 July 2012 FTSE 100 : 80% S&P 500 : 85% FTSE 100 : 110% S&P 500 : 80% FTSE 100 : 110% S&P 500 : 115% The Early Maturity Levels of the FTSE 100 and the S&P 500 are not equal or higher than their respective Levels; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 is higher than its Level. However, the Early Maturity Level of the S&P 500 is not equal or higher than its Level. Therefore the Fund does not mature. The Early Maturity Levels the FTSE 100 and the S&P 500 are equal or higher than their respective Levels. Therefore, the Fund shall mature. The Fixed Return is 7.25 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Fund does not mature early. Fund does not mature early. 21,450 Investment Fund 11 Transatlantic Annual Accumulator has four possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the S&P July 2012 Equal to or higher than their respective Levels 8 July 2013 Equal to or higher than their respective Levels 7 July 2014 Equal to or higher than their respective Levels 6 July 2015 Equal to or higher than their respective Levels Fixed Return 7.25 pence per Share pence per Share pence per Share 29 pence per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 11 Transatlantic Annual Accumulator at certain Final Levels of the FTSE 100 and the S&P 500 if the Daily Closing Levels of the FTSE 100 and the S&P 500 have or have not fallen by more than 50%. This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,

188 Final Levels Lowest Daily Closing Levels Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? Participation amount return Total Return FTSE 100 4,500 (90% of 4,500 (90% of S&P (95% of 1,200 (120 % of FTSE 100 2,000 (40% of 3,000 (60% of S&P (70% of 450 (45% of Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. As the Final Level of the with the greater fall (the FTSE 100 ) is below its Level and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the return will be calculated by dividing the Final Level of the FTSE 100 by the Level of the FTSE 100 and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of the with the greater fall (the FTSE 100 ) is below its Level and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the S&P 500 has fallen by more than 50% from its Level of 18,000 18,

189 4,500 (90% of 5,800 (116% of 1,200 (120 % of 1,250 (125 % of 4,000 (80% of 4,000 (80% of 700 (70% of 450 (45% of No Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. 5,000), the return will be calculated by dividing the Final Level of the FTSE 100 by the Level of the FTSE 100 and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either the FTSE 100 or the S&P 500 is below its respective Level (in this example, the Final Level of the FTSE 100 is below its and the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen by more than 50% from their respective Levels (of 5,000 and 1,000 respectively), the return will be the initial capital invested by the Shareholder of 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by 1. In this scenario, the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. As the Final Levels of both the FTSE 100 and the S&P 500 are higher than their respective Levels (of 5,000 and 1,000), the return will be the initial capital invested by the Shareholder of 1 plus 20,000 27,

190 6,000 (120% of 1,300 (130 % of 3,800 (76% of 700 (70% of No pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are higher than their respective Levels of (of 5,000 and 1,000), the return will be the initial capital invested by the Shareholder of 1 plus pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,250 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 188

191 Name: Type of Fund: Investment objective and policy: Investment Fund 12 Transatlantic Defensive Growth UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until the Maturity Date. Providing Shareholders remain invested until the Maturity Date, they will receive one of the following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (1) If the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels, then 1 per Share plus the sum, if any, of the Annual Accumulated Returns (as set out below) or; (2) if the Final Levels of either or both the FTSE 100 or the S&P 500 are lower than their respective Levels, but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50% then 1 per Share plus the sum, if any, of the Annual Accumulated Returns (as set out below) or; (3) if the Final Levels of either or both the FTSE 100 or the S&P 500 are lower than their respective Levels, and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen (as measured by reference to their respective Levels) by more than 50%, then the return calculated by dividing the Final Level by the Level of the with the greater fall and multiplying that figure by 1 per Share plus the sum, if any, of the Annual Accumulated Returns (as set out below) Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. If the Investment Date is a Disrupted Day for one of the Indices, the Level shall be taken on the next Scheduled Business Day for that which is not a Disrupted Day. The Final Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the Maturity Date (each a Final Level Averaging Date ). The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Scheduled Business Day from 29 September 2011 to and including 28 September The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated as follows: 189

192 (Final Level - / Level Annual Accumulated Return If, on each Anniversary Date the Annual Level meets the following criteria, an Annual Accumulated Return of 8.0p per Share for that year will be paid following the Maturity Date. If, on each Anniversary Date, the Annual Level does not meet the following criteria, the Annual Accumulated Return for that year will be zero. Anniversary Dates 28 September September September September September 2016 Annual Level Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level multiplied by 90% Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level multiplied by 90% Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level multiplied by 90% Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level multiplied by 90% Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level multiplied by 90% Annual Accumulated Retu 8.0p per Share 8.0p per Share 8.0p per Share 8.0p per Share 8.0p per Share The Annual Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the relevant Anniversary Date (each an Annual Averaging Date ). To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Annual Accumulated Return. At the Maturity Date the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. 190

193 The Fund may also invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Launch Price: Limited Issue Period Limited Issue Limit Launch Date: Investment Date: Maturity Date: Averaging Qualifying investment for stocks and shares ISAs September 2011 N/A 28 September September September 2016 The Final Level will be calculated by using the average of the closing levels of the FTSE 100 and the S&P 500 on the five Scheduled Business Days up to and including the Maturity Date (each a Final Level Averaging Date ). The Annual Level of each of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of the FTSE 100 and the S&P 500 on the five Scheduled Business Days up to and including the relevant Anniversary Date (each an Annual Averaging Date ). Where any Final Level Averaging Date or any Annual Averaging Date is a Disrupted Day, such date will be replaced by the next Scheduled Business Day which is not a Disrupted Day and which is not already a Final Level Averaging Date or an Annual Averaging Date. Therefore in such a case, the Maturity Date or an Anniversary Date could change from those listed above. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Class 2 Shares (Accumulation) (Direct investors through the ACD after the Launch Date) Valuation Point: 5:00pm UK time on each Dealing 191

194 Day Cut Off Point: Dealing Days: Preliminary charge: Redemption charge Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund). The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Current: Current: Class % Class 1-1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date Class 2 10% Class 2 1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date Annual ACD fee: Current: Class 1 - Nil Class 2 - Nil Investment minima*** Class 1 Class 2 Lump sum 20,000 1,000,000 Holding 20,000 1,000,000 Top-up N/A N/A Monthly saving N/A N/A Redemption 1,000 shares 10,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each purchase and redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: See Appendix D Taxation: Category of Fund for tax Equity Fund 192

195 purposes Distributions Capital Gains The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). Worked Example for illustrative purposes only N.B: The following examples do not include any growth in your investment based on the return on the and reference should be made to the tables on pages for examples of how the index returns may affect your investment. Buying Class 1 Shares in Investment Fund 12 Transatlantic Defensive Growth 193

196 This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.85% 1,370 Equals Money remaining to purchase Shares 18,360 Number of Shares at each 20,000 Value of 20,000 Shares 18,630 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example assumes net redemptions on the Dealing Day, and is used to demonstrate the possible effect this would have on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 12 Transatlantic Defensive Growth. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. Holding Shares to the Maturity Date The following table sets out a range of potential returns assuming and initial investment of 20,000 for different levels of the FTSE 100 and the S&P 500 during the life of the Fund This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,

197 Final Levels FTSE 100 6,000 (120% of the 4,000 (80% of the S&P 500 1,200 (120 % of the 800 (80% of the Lowest Daily Closing Levels FTSE 100 4,000 (80% of the 4,000 (80% of the S&P (80% of the 800 (80% of the Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50%from their respective Levels? No No Linked Return As the Final Level of both the FTSE 100 ) and the S&P 500 are higher than their respective Levels, capital is protected. The return of capital will be 20,000 shares multiplied by 1.00 = 20,000 As the Daily Closing Levels of both the FTSE 100 and the S&P 500 have never fell below 50% from their Annual Accumula ted Returns Achieved The FTSE 100 and the S&P 500 were equal to or higher than their Levels on all 5 Anniversar y Dates. 5 years x 8.5%= 41.75%. The sum payable will therefore be 20,000 shares multiplied by 8.35p per share multiplied by 5 = 8,350, The FTSE 100 and the S&P 500 were equal to or higher than their Levels on 4 out of 5 Anniversar y Dates. 4 years x Total Return 28,350 26,

198 4,000 (80% of the 4,000 (80% of the 800 (80% of the 1,000 (100 % of the 3,000 (60% of the 2,000 (40% of the 600 (60% of the 600 (60% of the No Yes respective Levels, capital is protected. The return of capital will be 20,000 shares multiplied by 1.00 = 20,000 As the Daily Closing Levels of both the FTSE 100 and the S&P 500 have never fell below 50% from their respective Levels, capital is protected. The return of capital will be 20,000 shares multiplied by 1.00 = 20,000 As the Final Levels of the FTSE 100 is below its Level and the Daily Closing Level of 8.5%= 33.40%. The sum payable will therefore be 20,000 shares multiplied by 8.5p per share multiplied by 4 = 6,680, The FTSE 100 and the S&P 500 were never equal or greater than 90%of their Levels on any of the Anniversar y Dates. No Annual Accumulat ed returns will be payable. The FTSE 100 and the S&P 500 were equal or greater than 90% of their Levels on 2 out of 5 Anniversar y Dates. 2 20,000 19,

199 3,000 (60% of the 800 (80% of the 2,000 (40% of the 500 (60% of the Yes the FTSE 100 has fallen below 50% from its Level during the term of the plan, the return of capital is calculated by dividing the Final Level of the FTSE 100 (4,000) by the Level of the FTSE 100 which is the with the greater fall, (5,000) and multiplied by 1 per share. The capital return will be, 20,000 shares multiplied by 0.80 = 16,000 As the Daily Closing Level of the FTSE 100 has fallen years x 8.5%= 16.70%. The sum payable will therefore be 20,000 shares multiplied by 8.5p per share multiplied by 2 = 3,340, The FTSE 100 and the S&P 500 were never equal or 12,

200 below 50% from its Level during the term of the plan, the return of capital is calculated by dividing the Final Level of the FTSE 100 (3,000) by the Level of the FTSE 100 which is the with the greater fall, (5,000) and multiplied by 1 per share. The capital return will be, 20,000 shares multiplied by 0.60 = 12,000 greater than 90%of their Levels on any of the Anniversar y Dates. No Annual Accumulat ed returns will be payable. The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 198

201 Name: Type of Fund: Investment objective and policy: Investment Fund 13 UK & China Defensive Accumulator (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the Hang Seng China Enterprises ( HSCEI )** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing the Fund does not mature early and the Shareholders remain invested until the Maturity Date, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the HSCEI : (i) If the Final Levels of both the FTSE 100 and the HSCEI are equal to or higher than 95% of their respective Levels, then 1.525per Share, comprising the 1 initially invested plus 52.5 pence return; (ii) If the Final Level of either or both the FTSE 100 or the HSCEI is lower than 95% of its respective Level but the Daily Closing Levels of both the FTSE 100 and the HSCEI have not fallen (as measured by reference to their respective Levels) by more than 50%, then 1 per Share; or (iii) If the Final Level of either or both the FTSE 100 or the HSCEI is lower than 95% of its respective Level, and the Daily Closing Levels of either or both the FTSE 100 or the HSCEI has fallen (as measured by reference to its respective by more than 50%, then the return calculated by dividing the Final Level of the with the greater fall by the Level of such and multiplying that figure by 1 per Share. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the HSCEI is the official closing level of each on the Investment Date. The Investment Date is the first date on which the Fund invests in over the counter derivatives and is defined below. If the Investment Date is a Disrupted Day for one or both of the Indices, the Level for each affected shall be taken on the next Scheduled Business Day for that which is not a Disrupted Day in respect of such. The Final Levels of the FTSE 100 and the HSCEI will be calculated by using the average of the closing 199

202 levels of each on the five Scheduled Business Days up to and including the Maturity Date (each a Final Level Averaging Date ). If any Final Level Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as a Final Level Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already a Final Level Averaging Date in respect of such. In such a case, the Maturity Date could change from the one defined below. The Daily Closing Level of the FTSE 100 and the HSCEI is the closing level of each on any Scheduled Business Day from and including 15 December 2011 to and including 14 December The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Early Maturity Date: Level: 16 December 2013 Where both the FTSE 100 and the HSCEI are equal to or higher than 95% of their respective Levels 15 December 2014 Where both the FTSE 100 and the HSCEI are equal to or higher than 95% of their respective Levels 14 December 2015 Where both the FTSE 100 and the HSCEI are equal to or higher than 95% of their respective Levels Fixed Return: 21p per Share 31.5p per Share 42p per Share The Early Maturity Levels of the FTSE 100 and the HSCEI will be calculated by using the average of the closing levels of each on the five Scheduled 200

203 Business Days up to and including the relevant Early Maturity Date (each an Early Maturity Averaging Date ). If any Early Maturity Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as an Early Maturity Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already an Early Maturity Averaging Date in respect of such. In such a case, the Early Maturity Date could change from those listed above. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. The Fund may also invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Launch Price: Limited Issue Period Limited Issue Limit Launch Date: Investment Date: Maturity Date: Averaging Qualifying investment for stocks and shares ISAs December 2011 N/A 14 December December December 2016 As described above in the Investment Objective and Policy, a technique called averaging is used to calculate the Early Maturity Level and the Final Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank 201

204 Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: Dealing Days: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investments are not available as this is a Limited Issue Fund). The 15th day of each month (or where this is not a Business Day, the next following Business Day) and on the last Business Day of each month Preliminary charge: Current: Class % Redemption charge Current: Class 1-1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 - Nil Investment minima*** Class 1 Lump sum 20,000 Holding 20,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however 202

205 have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: Category of Fund for tax purposes Distributions Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the Indices. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). 203

206 Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the Indices and reference should be made to the tables on pages for examples of how the Indices returns may affect your investment. Buying Class 1 Shares in Investment Fund 13 UK and China Defensive Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.50% 1,300 Equals Money remaining to purchase Shares 18,700 Number of Shares at each 20,000 Value of 20,000 Shares 18,700 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. This example is used to demonstrate the possible effect of the application of a Dilution Levy on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 13 UK and China Defensive Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 13 UK and China Defensive Accumulator on the first Early Maturity Date. 204

207 movement (Early Maturity Levels of the FTSE 100 and the HSCEI expressed as a % of their Levels) on 16 December 2013 FTSE 100 : 80% HSCEI : 85% FTSE 100 : 110% HSCEI : 80% FTSE 100 : 97% HSCEI : 115% Fixed Return The Early Maturity Levels of the FTSE 100 and the HSCEI are not equal or higher than 95% of their respective Levels; therefore the Fund does not mature early. The Early Maturity Level of the FTSE 100 is higher than 95% of its Level. However, the Early Maturity Level of the HSCEI is not equal or higher than 95% of its Level. Therefore the Fund does not mature early. The Early Maturity Levels of the FTSE 100 and the HSCEI are equal to or higher than 95% of their respective Level. Therefore, the Fund shall mature early. The Fixed Return is 21 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Total return Fund does not mature early. Fund does not mature early. 24,200 Investment Fund 13 UK and China Defensive Accumulator has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the HSCEI 16 December 2013 Equal to or higher than 95% of their respective Levels 15 December 2014 Equal to or higher than 95% of their respective Levels 14 December 2015 Equal to or higher than 95% of their respective Levels Fixed Return 21 pence per Share 31.5 pence per Share 42 pence per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 13 UK and China Defensive Accumulator at certain Final Levels of the FTSE 100 and the HSCEI, if the Daily Closing Levels of the FTSE 100 and the HSCEI have or have not fallen by more than 50% (as measured by reference to their respective. This example assumes that the Level of the FTSE 100 is 5,000 and the HSCEI is 12,

208 Final Levels FTSE 100 4,500 (90% of the 4,500 (90% of the HSCEI 12,500 (100% of the 15,000 (120% of the Lowest Daily Closing Levels FTSE 100 2,000 (40% of the 3,000 (60% of the HSCEI 8,750 (70% of the 5,000 (40% of the Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. Yes. The Daily Closing Level of the HSCEI has fallen by more than 50% from its Level. Linked Return As the Final Level of either or both the FTSE 100 or the HSCEI is below 95% of its respective Level (in this example the Final Level of the FTSE 100 is 90% of its, and the Daily Closing Level of either the FTSE 100 or the HSCEI has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the HSCEI is below 95% of its respective Level (in this example the Final Level of the FTSE 100 is Total Return 18,000 18,

209 4,500 (90% of the 15,000 (120% of the 4,000 (80% of the 8,750 (70% of the No 90% of its, and the Daily Closing Level of either the FTSE 100 or the HSCEI has fallen by more than 50% from its respective Level (in this example the HSCEI has fallen by more than 50% from its Level of 12,500), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the HSECI is below 95% of its respective Level (in this example, the Final Level of the FTSE 100 is 90% of its and the Daily Closing Levels of both the FTSE 100 and the HSCEI have not fallen by more than 50% from their respective Levels (of 5,000 and 12,500 respectively), the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. Therefore, the Linked Return will be 20,000 Shares 20,

210 5,800 (116% of the 4,750 (95% of the 15,625 (125% of the 12,125 (97% of the 4,000 (80% of the 3,800 (76% of the 5,000 (40% of the 8,750 (70% of the Yes. The Daily Closing Level of the HSCEI has fallen by more than 50% from its Level. No multiplied by 1. As the Final Levels of both the FTSE 100 and the HSCEI are higher than 95% of their respective Level (of 5,000 and 12,500), the return will be the initial capital invested by the Shareholder of 1 plus 52.5 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Levels of both the FTSE 100 and the HSCEI are higher than 95% of their respective Level (of 5,000 and 12,500), the Linked Return will be the initial capital invested by the Shareholder of 1 plus 52.5 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,500 30,500 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 208

211 Name: Investment Fund 14 Transatlantic Accumulator (This fund has matured and is in the process of being terminated) Type of Fund: Investment objective and policy: UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing Shareholders remain invested until the Maturity Date, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (i) If the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels, then 1.45 per Share, comprising the 1 initially invested plus 45 pence return; (ii) If, the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50%, then 1 per Share; or (iii) if the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level, and the Daily Closing Levels of either or both the FTSE 100 or the S&P 500 has fallen (as measured by reference to its respective by more than 50%, then the return calculated by dividing the Final Level of the with the greater fall by the Level of such and multiplying that figure by 1 per Share. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. The Investment Date is the first date on which the Fund invests in over the counter derivatives and is defined below. If the Investment Date is a Disrupted Day for one or both of the Indices, the Level for each affected shall be taken on the next Scheduled Business day for that which is not a Disrupted Day in respect of such. The Final Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the Maturity Date (each a 209

212 Final Level Averaging Date ). If any Final Level Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as a Final Level Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already a Final Level Averaging Date in respect of such. In such a case, the Maturity Date could change from the one defined below. The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Scheduled Business Day from and including 23 February 2012 to and including 22 February The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Early Maturity Date: Level: 24 February 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 23 February 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 22 February 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return: 18p per Share 27p per Share 36p per Share The Early Maturity Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the relevant Early Maturity Date (each an Early Maturity Averaging Date ). If any Early Maturity Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as an Early Maturity Averaging Date in respect of each affected by 210

213 the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already an Early Maturity Averaging Date in respect of such. In such a case, the Early Maturity Date could change from those listed above. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. The Fund may also invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Launch Price: Limited Issue Period Limited Issue Limit Launch Date: Investment Date: Maturity Date: Averaging Qualifying investment for stocks and shares ISAs February 2012 N/A 22 February February February 2017 As described above in the Investment objective and policy, a technique called averaging is used to calculate the Early Maturity Level and the Final Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) 211

214 Valuation Point: Cut Off Point: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund). Dealing Days: Preliminary charge: Redemption charge The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Current: Current: Class % Class 1-1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 - Nil Investment minima*** Class 1 Lump sum 10,000 Holding 10,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated 212

215 Taxation: Category of Fund for tax purposes Distributions Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the tables under the heading Holding 213

216 Shares to the Maturity Date on pages for examples of how the index returns may affect your investment. Buying Class 1 Shares in Investment Fund 14 Transatlantic Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.60% 1,320 Equals Money remaining to purchase Shares 18,680 Number of Shares at each 20,000 Value of 20,000 Shares 18,680 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example is used to demonstrate the possible effect the application of a dilution levy has on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 14 Transatlantic Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return in respect of Investment Fund 14 Transatlantic Accumulator. Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 14 Transatlantic Accumulator at the first Early Maturity Date. movement Fixed Return Total return 214

217 (Early Maturity Levels of the FTSE 100 and the S&P 500 expressed as a % of their Levels) on 24 February 2014 FTSE 100 : 80% S&P 500 : 85% FTSE 100 : 110% S&P 500 : 80% FTSE 100 : 110% S&P 500 : 115% The Early Maturity Levels of the FTSE 100 and the S&P 500 are not equal or higher than their respective Levels; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 is higher than its Level. However, the Early Maturity Level of the S&P 500 is not equal or higher than its Level. Therefore the Fund does not mature. The Early Maturity Levels of the FTSE 100 and the S&P 500 are equal or higher than their respective Levels. Therefore, the Fund shall mature early. The Fixed Return is 18 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Fund does not mature early. Fund does not mature early. 23,600 Investment Fund 14 Transatlantic Accumulator has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the S&P February 2014 Equal to or higher than their respective Levels 23 February 2015 Equal to or higher than their respective Levels 22 February 2016 Equal to or higher than their respective Levels Fixed Return 18 pence per Share 27 pence per Share 36 pence per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 14 Transatlantic Accumulator at certain Final Levels of the FTSE 100 and the S&P 500 if the Daily Closing Levels of the FTSE 100 and the S&P 500 have or have not fallen by more than 50%. This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,

218 Final Levels FTSE 100 4,500 (90% of 4,500 (90% of S&P (100 % of 1,200 (120 % of Lowest Daily Closing Levels FTSE 100 2,000 (40% of 3,000 (60% of S&P (70% of 400 (40% of Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. Linked Return As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is 90% of its, and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is Total Return 18,000 18,

219 4,500 (90% of 1,200 (120 % of 4,000 (80% of 700 (70% of No 90% of its, and the Daily Closing Level of either FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the S&P 500 has fallen by more than 50% from its Level of 1,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example, the Final Level of the FTSE 100 is 90% of its and the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen by more than 50% from their respective Levels (of 5,000 and 1,000 respectively), the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. Therefore the Linked Return will be 20,000 shares 20,

220 5,800 (116% of 5,200 (104% of 1,250 (125 % of 1,100 (110 % of index 4,000 (80% of 3,800 (76% of 400 (40% of 700 (70% of Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. No multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the return will be the initial capital invested of 1 plus 45 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the Linked Return will be the initial capital invested of 1 plus 45 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 29,000 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 218

221 Name: Type of Fund: Investment objective and policy: Investment Fund 15 Transatlantic Accumulator (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing Shareholders remain invested until the Maturity Date, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (i) If the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels, then 1.40 per Share, comprising the 1 initially invested plus 40 pence return; (ii) If the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50%, then 1 per Share; or (iii) If the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level, and the Daily Closing Level of either or both the FTSE 100 or the S&P 500 has fallen (as measured by reference to its respective by more than 50%, then the return calculated by dividing the Final Level of the with the greater fall by the Level of such and multiplying that figure by 1 per Share. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. The Investment Date is the first date on which the Fund invests in over the counter derivatives and is defined below. If the Investment Date is a Disrupted Day for one or both of the Indices, the Level for each affected shall be taken on the next Scheduled Business day for that which is not a Disrupted Day in respect of such. The Final Level of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the Maturity Date (each a 219

222 Final Level Averaging Date ). If any Final Level Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as a Final Level Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already a Final Level Averaging Date in respect of such. In such a case, the Maturity Date could change from 28 March The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Scheduled Business Day from and including 29 March 2012 to and including 28 March The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances, in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return, as detailed below: Early Maturity Early Maturity Date: Level: 28 March 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level 30 March 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level 29 March 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level Fixed Return: 16 p per Share 24 p per Share 32 p per Share The Early Maturity Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the relevant Early Maturity Date (each an Early Maturity Averaging Date ). If any Early Maturity Averaging Date is a Disrupted Day for 220

223 one or both of the Indices, such date will be replaced as an Early Maturity Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already an Early Maturity Averaging Date in respect of such. In such a case, the Early Maturity Date could change from those listed above. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. The Fund may also invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Launch Price: Limited Issue Period Limited Issue Limit Launch Date: Investment Date: Maturity Date: Averaging Qualifying investment for stocks and shares ISAs March 2012 N/A 28 March March March 2017 As described above in the Investment objective and policy, a technique called averaging is used to calculate the Early Maturity Level and the Final Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: 5:00pm UK time on each Dealing 221

224 Day Cut Off Point: Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund). Dealing Days: Preliminary charge: Redemption charge The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Current: Current: Class 1: 6.3% Class1: 1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 Nil Investment minima*** Class 1 Lump sum 10,000 Holding 10,000 Top-up Monthly saving N/A N/A Redemption 1,000 Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: 222

225 Category of Fund for tax purposes Distributions Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion. Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the and reference should be made to the tables under the heading Holding Shares to the Maturity Date on pages for examples of how the index returns may affect your investment. 223

226 Buying Class 1 Shares in Investment Fund 15 Transatlantic Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.3% 1,260 Equals Money remaining to purchase Shares 18,740 Number of Shares at each 20,000 Value of 20,000 Shares 18,740 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example is used to demonstrate the possible effect the application of a dilution levy has on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 15 Transatlantic Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return in respect of Investment Fund 15 Transatlantic Accumulator. Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 15 Transatlantic Accumulator at the first Early Maturity Date. movement Fixed Return Total return 224

227 (Early Maturity Levels of the FTSE 100 and the S&P 500 expressed as a % of their Levels) on 28 March 2014 FTSE 100 : 80% S&P 500 : 85% FTSE 100 : 110% S&P 500 : 80% FTSE 100 : 110% S&P 500 : 115% The Early Maturity Levels of the FTSE 100 and the S&P 500 are not equal to or higher than their respective Levels; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 is higher than its Level. However, the Early Maturity Level of the S&P 500 is not equal to or higher than its Level. Therefore the Fund does not mature. The Early Maturity Levels of the FTSE 100 and the S&P 500 are equal or higher than their respective Levels. Therefore, the Fund shall mature early. The Fixed Return is 16 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Fund does not mature early. Fund does not mature early. 23,200 Investment Fund 15 Transatlantic Accumulator has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the S&P March 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level 30 March 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level 29 March 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level Fixed Return 16 p per Share 24 p per Share 32 p per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 15 Transatlantic Accumulator at certain Final Levels of the FTSE 100 and the S&P 500 if the Daily Closing Levels of the FTSE 100 and the S&P 500 have or have not fallen by more than 50%. This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,

228 Final Levels FTSE 100 4,500 (90% of 4,500 (90% of S&P (100 % of 1,200 (120 % of Lowest Daily Closing Levels FTSE 100 2,000 (40% of 3,000 (60% of S&P (70% of 400 (40% of Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. Linked Return As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is 90% of its, and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is Total Return 18,000 18,

229 4,500 (90% of 1,200 (120 % of 4,000 (80% of 700 (70% of No 90% of its, and the Daily Closing Level of either FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the S&P 500 has fallen by more than 50% from its Level of 1,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example, the Final Level of the FTSE 100 is 90% of its and the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen by more than 50% from their respective Levels (of 5,000 and 1,000 respectively), the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. Therefore the Linked Return will be 20,000 shares 20,

230 5,800 (116% of 5,200 (104% of 1,250 (125 % of 1,100 (110 % of index 4,000 (80% of 3,800 (76% of 400 (40% of 700 (70% of Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. No multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the return will be the initial capital invested of 1 plus 40 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the Linked Return will be the initial capital invested of 1 plus 40 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 28,000 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 228

231 Name: Type of Fund: Investment objective and policy: Investment Fund 16 Transatlantic Accumulator (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing the Fund does not mature early, and Shareholders remain invested until the Maturity Date, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (i) If the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels, then per Share, comprising the 1 initially invested plus pence return; (ii) If the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50%, then 1 per Share; or (iii) If the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level, and the Daily Closing Level of either or both the FTSE 100 or the S&P 500 has fallen (as measured by reference to its respective by more than 50%, then the return calculated by dividing the Final Level of the with the greater fall by the Level of such and multiplying that figure by 1 per Share. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. The Investment Date is the first date on which the Fund invests in over the counter derivatives and is defined below. If the Investment Date is a Disrupted Day for one or both of the Indices, the Level for each affected shall be taken on the next Scheduled Business day for that which is not a Disrupted Day in respect of such. The Final Level of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the Maturity Date (each a 229

232 Final Level Averaging Date ). If any Final Level Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as a Final Level Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already a Final Level Averaging Date in respect of such. In such a case, the Maturity Date could change from the one defined below. The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Scheduled Business Day from and including 28 June 2012 to and including 27 June The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Early Maturity Date: Level: 27 June 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 29 June 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 27 June 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return: 16.5p per Share 24.75p per Share 33p per Share The Early Maturity Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the relevant Early Maturity Date (each an Early Maturity Averaging Date ). If any Early Maturity Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as an 230

233 Early Maturity Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already an Early Maturity Averaging Date in respect of such. In such a case, the Early Maturity Date could change from those listed above. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. The Fund may also invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Launch Price: Limited Issue Period Limited Issue Limit Launch Date: Investment Date: Maturity Date: Averaging Qualifying investment for stocks and shares ISAs June 2012 N/A 27 June June June 2017 As described above in the Investment objective and policy, a technique called averaging is used to calculate the Early Maturity Level and the Final Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: 5:00pm UK time on each Dealing Day 231

234 Cut Off Point: Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund). Dealing Days: Preliminary charge: The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Current: Class % Redemption charge Current: Class 1-1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 - Nil Investment minima*** Class 1 Lump sum 10,000 Holding 10,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This fund has matured and is in the process of being terminated Taxation: 232

235 Category of Fund for tax purposes Distributions Capital Gains Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the Indices and reference should be made to the tables under the heading Holding Shares to the Maturity Date on pages for examples of how the index returns may affect your investment. 233

236 Buying Class 1 Shares in Investment Fund 16 Transatlantic Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.10% 1,220 Equals Money remaining to purchase Shares 18,780 Number of Shares at each 20,000 Value of 20,000 Shares 18,780 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example is used to demonstrate the possible effect the application of a dilution levy has on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 16 Transatlantic Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return in respect of Investment Fund 16 Transatlantic Accumulator Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 16 Transatlantic Accumulator at the first Early Maturity Date. movement (Early Maturity Levels of the Fixed Return Total return 234

237 FTSE 100 and the S&P 500 expressed as a % of their Levels) on 27 June 2014 FTSE 100 : 80% S&P 500 : 85% FTSE 100 : 110% S&P 500 : 80% FTSE 100 : 110% S&P 500 : 115% The Early Maturity Levels of the FTSE 100 and the S&P 500 are not equal or higher than their respective Levels; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 is higher than its Level. However, the Early Maturity Level of the S&P 500 is not equal or higher than its Level. Therefore the Fund does not mature. The Early Maturity Levels of the FTSE 100 and the S&P 500 are equal or higher than their respective Levels. Therefore, the Fund shall mature early. The Fixed Return is 16.5 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Fund does not mature early. Fund does not mature early. 23,300 Investment Fund 16 Transatlantic Accumulator has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the S&P June 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 29 June 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 27 June 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return 16.5p per Share 24.75p per Share 33p per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 16 Transatlantic Accumulator at certain Final Levels of the FTSE 100 and the S&P 500 if the Daily Closing Levels of the FTSE 100 and the S&P 500 have or have not fallen by more than 50%. This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,

238 Final Levels FTSE 100 4,500 (90% of 4,500 (90% of S&P (100 % of 1,200 (120 % of Lowest Daily Closing Levels FTSE 100 2,000 (40% of 3,000 (60% of S&P (70% of 400 (40% of Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. Linked Return As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is 90% of its, and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is Total Return 18,000 18,

239 4,500 (90% of 1,200 (120 % of 4,000 (80% of 700 (70% of No 90% of its, and the Daily Closing Level of either FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the S&P 500 has fallen by more than 50% from its Level of 1,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example, the Final Level of the FTSE 100 is 90% of its and the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen by more than 50% from their respective Levels (of 5,000 and 1,000 respectively), the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. Therefore the Linked Return will be 20,000 shares 20,

240 5,800 (116% of 5,200 (104% of 1,250 (125 % of 1,100 (110 % of index 4,000 (80% of 3,800 (76% of 400 (40% of 700 (70% of Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. No multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the return will be the initial capital invested of 1 plus pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the Linked Return will be the initial capital invested of 1 plus pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,250 28,250 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 238

241 Name: Type of Fund: Investment objective and policy: Investment Fund 17 UK & Germany Accumulator (This fund has matured and is in the process of being terminated) UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the Dax Price ** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing the Fund does not mature early and the Shareholders remain invested until the Maturity Date, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the Dax Price : (i) If the Final Levels of both the FTSE 100 and the Dax Price are equal to or higher than their respective Levels, then 1.50 per Share, comprising the 1 initially invested plus 50 pence return; (ii) If, the Final Level of either or both the FTSE 100 or the Dax Price is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the Dax Price have not fallen (as measured by reference to their respective Levels) by more than 50%, then 1 per Share; or (iii) if the Final Level of either or both the FTSE 100 or the Dax Price is lower than its respective Level, and the Daily Closing Levels of either or both the FTSE 100 or the Dax Price has fallen (as measured by reference to its respective by more than 50%, then the return calculated by dividing the Final Level of the with the greater fall by the Level of such index and multiplying that figure by 1 per Share. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the Dax Price is the official closing level of each on the Investment Date. The Investment Date is the first date on which the Fund invests in over the counter derivatives and is defined below. If the Investment Date is a Disrupted Day for one or both of the Indices, the Level for each affected shall be taken on the next Scheduled Business day for that which is not a Disrupted Day in respect of such. The Final Levels of the FTSE 100 and the Dax Price will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the Maturity Date (each a Final Level Averaging Date ). 239

242 If any Final Level Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as a Final Level Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already a Final Level Averaging Date in respect of such. In such a case, the Maturity Date could change from the one defined below. The Daily Closing Level of the FTSE 100 and the Dax Price is the closing level of each on any Scheduled Business Day from and including 6 September 2012 to and including 5 September The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Early Maturity Date: Level: 5 September 2014 Where both the FTSE 100 and the Dax Price are equal to or higher than their respective Levels 7 September 2015 Where both the FTSE 100 and the Dax Price are equal to or higher than their respective Levels 5 September 2016 Where both the FTSE 100 and the Dax Price are equal to or higher than their respective Levels Fixed Return: 20 p per Share 30 p per Share 40 p per Share The Early Maturity Levels of the FTSE 100 and the Dax Price will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the relevant Early Maturity Date (each an Early Maturity Averaging Date ). If any Early Maturity Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as an Early Maturity Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not 240

243 already an Early Maturity Averaging Date in respect of such. In such a case, the Early Maturity Date could change from those listed above. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. The Fund may also invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Launch Price: Limited Issue Period Limited Issue Limit Launch Date: Investment Date: Maturity Date: Averaging [Qualifying investment for stocks and shares ISAs] p 5 September 2012 N/A 5 September September September 2017 As described above in the Investment Objective and Policy, a technique called averaging is used to calculate the Early Maturity Level and the Final Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on 241

244 Dealing Days: Preliminary charge: Redemption charge the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund). The 15th day of each month (or where this is not a Business Day, the next following Business Day) and on the last Business Day of each month. Current: Current: Class 1 6.5% % Class 1-1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 - Nil Investment minima*** Class 1 Lump sum 10,000 Holding 10,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: See Appendix D Taxation: Category of Fund for tax purposes Equity Fund 242

245 Distributions Capital Gains The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the Indices. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the Indices and reference should be made to the tables on pages for examples of how the Indices returns may affect your investment. Buying Class 1 Shares in Investment Fund 17 UK & Germany Accumulator 243

246 This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at per Share. investment 20,000 Less Preliminary charge of 6.5% 1,300 Equals Money remaining to purchase Shares 18,700 Number of Shares at each 20,000 Value of 20,000 Shares 18,700 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. This example is used to demonstrate the possible effect of the application of a Dilution Levy on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 17 UK & Germany Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return from an investment if the relevant fund terms were used. Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 17 UK & Germany Accumulator on the first Early Maturity Date. movement (Early Maturity Levels of the FTSE 100 and the Dax Price expressed as a % of their Fixed Return Total return 244

247 Levels) on 5 September 2014 FTSE 100 : 80% Dax Price : 85% FTSE 100 : 110% Dax Price : 80% FTSE 100 : 110% Dax Price : 115% The Early Maturity Levels of the FTSE 100 and the Dax Price are not equal or higher than their respective Levels; therefore the Fund does not mature early. The Early Maturity Level of the FTSE 100 is higher than its Level. However, the Early Maturity Level of the Dax Price is not equal or higher than its Level. Therefore the Fund does not mature early. The Early Maturity Levels of the FTSE 100 and the Dax Price are to equal or higher than their respective Levels. Therefore, the Fund shall mature early. The Fixed Return is 20 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Fund does not mature early. Fund does not mature early. 24,000 Investment Fund 17 UK & Germany Accumulator has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the Dax Price 5 September 2014 Equal to or higher than their respective Levels 7 September 2015 Equal to or higher than their respective Levels 5 September 2016 Equal to or higher than their respective Levels Fixed Return 20 pence per Share 30 pence per Share 40 pence per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 17 UK & Germany Accumulator at certain Final Levels of the FTSE 100 and the Dax Price, if the Daily Closing Levels of the FTSE 100 and the Dax Price have or have not fallen by more than 50% (as measured by reference to their respective. This example assumes that the Level of the FTSE 100 is 5,000 and the Dax Price is 4,

248 Final Levels FTSE 100 4,500 (90% of the 4,500 (90% of the Dax Price 4,000 (100% of the 4,800 (120% of the Lowest Daily Closing Levels FTSE 100 2,000 (40% of the 3,000 (60% of the Dax Price 2,800 (70% of the 1,600 (40% of the Have the Daily Closing Levels of the FTSE 100 and/or the Dax Price fallen by more than 50% from their respective Levels? Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. Yes. The Daily Closing Level of the Dax Price has fallen by more than 50% from its Level. Linked Return As the Final Level of either or both the FTSE 100 or the Dax Price is below its respective Level (in this example the Final Level of the FTSE 100 is 90% of its, and the Daily Closing Level of either the FTSE 100 or the Dax Price has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the Dax Price is below its respective Level (in this example the Final Level of the FTSE 100 is Total Return 18,000 18,

249 4,500 (90% of the 4,800 (120% of the 4,000 (80% of the 2,800 (70% of the No 90% of its, and the Daily Closing Level of either the FTSE 100 or the Dax Price has fallen by more than 50% from its respective Level (in this example the Dax Price has fallen by more than 50% from its Level of 4,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the Dax Price is below its respective Level (in this example, the Final Level of the FTSE 100 is below its, and the Daily Closing Levels of both the FTSE 100 and Dax Price have not fallen by more than 50% from their respective Level (of 5,000 and 4,000 respectively), the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. Therefore, the Linked Return will be 20,000 Shares multiplied by 1. 20,

250 5,800 (116% of the 6,000 (120% of the 5,000 (125% of the 5,200 (130% of the 4,000 (80% of the 3,800( 76% of the 1,600 (40% of the 2,800 (70% of the Yes The Daily Closing Level of the Dax Price has fallen by more than 50% from its Level. No As the Final Levels of both the FTSE 100 and the Dax Price are higher than their respective Level (of 5,000 and 4,000), the Linked Return will be the initial capital invested by the Shareholder of 1 plus 50pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Levels of both the FTSE 100 and the Dax Price are higher than their respective Levels of (of 5,000 and 4,000), the Linked Return will be the initial capital invested by the Shareholder of 1 plus 50 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 30,000 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 248

251 Name: Investment Fund 18 Transatlantic Accumulator Type of Fund: Investment objective and policy: UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until the Maturity Date. Providing the Fund does not mature early and Shareholders remain invested until the Maturity Date, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (1) If the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels, then 1.40 per Share comprising the 1 initially invested plus 40 pence return; or (2) if the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50% then 1 per Share; or (3) if the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level, and the Daily Closing Level of either or both the FTSE 100 or the S&P 500 has fallen (as measured by reference to its respective by more than 50%, then the return calculated by dividing the Final Level of the with the greater fall by the Level of such and multiplying that figure by 1 per Share. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. The Investment Date is the first date on which the Fund invests in over the counter derivatives and is defined below. If the Investment Date is a Disrupted Day for one or both of the Indices, the Level for each affected shall be taken on the next Scheduled Business Day for that which is not a Disrupted Day in respect of such. The Final Level of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the Maturity Date (each a Final Level Averaging Date ). If any Final Level Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as a Final Level Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already a Final level Averaging Date in respect of such. In such a case, the Maturity Date could change 249

252 from the one defined below. The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Scheduled Business Day from and including 8 November 2012 to and including 7 November The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated as follows: (Final Level - / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Date: Early Maturity Level: 7 November 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 9 November 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 7 November 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return: 16 p per Share 24 p per Share 32 p per Share The Early Maturity Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the relevant Early Maturity Date (each an Early Maturity Averaging Date ). If any Early Maturity Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as an Early Maturity Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already an Early Maturity Averaging Date in respect of such. In such a case, the Early Maturity Date could change from those listed above. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed 250

253 Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. The Fund may also invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Qualifying investment for stocks and shares ISAs Launch Price: 0.94 Limited Issue Period 7 November 2012 Limited Issue Limit N/A Launch Date: 7 November 2012 Investment Date: 7 November 2012 Maturity Date: 7 November 2017 Averaging As described above in the Investment Objective and Policy, a technique called averaging is used to calculate the Early Maturity Level and the Final Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: Dealing Days: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a Dealing Day (top-up investment are not available as this is a Limited Issue Fund). The 15th day of each month (or where this is not a Business Day, the next following Business Day) and the last Business Day of each month. Preliminary charge: Current: Class 1 6% 251

254 Redemption charge Annual ACD fee: Investment minima*** Current: Current: Class 1-1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date (if applicable) Class 1 Nil Class 1 Lump sum 10,000 Holding 10,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: See Appendix D Taxation: Category of Fund for tax purposes Distributions Equity Fund The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date 252

255 (as applicable). Capital Gains The Fund s capital will be invested to potentially produce a capital gain linked to the performance of the Indices. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. *** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). Worked Example for illustrative purposes only N.B: The following examples do not include any growth in your investment based on the return on the Indices and reference should be made to the tables on pages for examples of how the indices returns may affect your investment. Buying Class 1 Shares in Investment Fund 18 Transatlantic Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available once the Fund has launched). The Shares will be initially priced at 0.94 per Share. investment 20,000 Less Preliminary charge of 6% 1,200 Equals 253

256 Money remaining to purchase Shares 18,800 Number of Shares at 0.94 each 20,000 Value of 20,000 Shares 18,800 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. This example is used to demonstrate the possible effect of the application of a Dilution Levy on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 18 Transatlantic Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely in respect of Investment Fund 18 Transatlantic Accumulator. Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 18 Transatlantic Accumulator at the first Early Maturity Date. movement (Early Maturity Levels of the FTSE 100 and the S&P 500 expressed as a % of their Levels) FTSE 100 : 80% S&P 500 : 85% FTSE 100 : 110% S&P 500 : Fixed Return The Early Maturity Levels of the FTSE 100 and the S&P 500 are not equal or higher than their respective Levels; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 is higher than its Level. However, the Early Maturity Level of the Total return Fund does not mature early. Fund does not mature early. 254

257 80% S&P 500 is not equal or higher than its Level. Therefore the Fund does not mature. FTSE 100 : 110% The Early Maturity Levels of the FTSE 100 and the S&P 500 are equal or higher S&P 500 : than their respective Levels. 115% Therefore, the Fund shall mature early. The Fixed Return is 16 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by ,200 Investment Fund 18 Transatlantic Accumulator has three possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity Levels and Fixed Return. Early Maturity Date Early Maturity Levels of both of the FTSE 100 and the S&P November 2014 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level 9 November 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level 7 November 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Level Fixed Return 16 p per Share 24 p per Share 32 p per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 18 Transatlantic Accumulator at certain Final Levels of the FTSE 100 and the S&P 500 if the Daily Closing Levels of the FTSE 100 and the S&P 500 have or have not fallen by more than 50%. This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,

258 Final Levels FTSE 100 4,500 (90% of 4,500 (90% of S&P (100 % of 1,200 (120 % of Lowest Daily Closing Levels FTSE 100 2,000 (40% of 3,000 (60% of S&P (70% of 400 (40% of Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. Linked Return As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is 90% of its, and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is Total Return 18,000 18,

259 4,500 (90% of 1,200 (120 % of 4,000 (80% of 700 (70% of No 90% of its, and the Daily Closing Level of either FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the S&P 500 has fallen by more than 50% from its Level of 1,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example, the Final Level of the FTSE 100 is 90% of its and the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen by more than 50% from their respective Levels (of 5,000 and 1,000 respectively), the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. Therefore the Linked Return will be 20,000 shares 20,

260 5,800 (116% of 5,200 (104% of 1,250 (125 % of 1,100 (110 % of index 4,000 (80% of 3,800 (76% of ] 400 (40% of 700 (70% of Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. No multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the return will be the initial capital invested of 1 plus 40 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the Linked Return will be the initial capital invested of 1 plus 40 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 28,000 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. 258

261 Name: Investment Fund 19 Transatlantic Accumulator Type of Fund: Investment objective and policy: UCITS scheme The objective of the Fund is to provide a capital return linked to the performance of both the FTSE 100 * and the S&P 500 ** during a fixed participation period until either the Maturity Date or an Early Maturity Date. Providing the Fund does not mature early, and Shareholders remain invested until the Maturity Date, they will receive one of the three following levels of return (the Linked Return ), as determined by the performance of both the FTSE 100 and the S&P 500 : (i) If the Final Level of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels, then 1.40 per share, comprising the 1 initially inserted plus 40 pence return; (ii) If the Final Level of either or both the FTSE 100 and the S&P 500 is lower than its respective Level but the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen (as measured by reference to their respective Levels) by more than 50%, then 1 per Share; or (iii) If the Final Level of either or both the FTSE 100 or the S&P 500 is lower than its respective Level, and the Daily Closing Level of either or both the FTSE 100 and the S&P 500 has fallen (as measured by reference to its respective by more than 50%, then the return calculated by dividing the Final Level of the with the greater fall by the Level of such and multiplying that figure by 1 per Share. Following the Maturity Date, the Fund will be wound up. The Level of the FTSE 100 and the S&P 500 is the official closing level of each on the Investment Date. The Investment Date is the first date on which the Fund invests in over the counter derivatives and is defined below. If the Investment Date is a Disrupted Day for one or both of the Indices, the Level for each affected shall be taken on the next Scheduled Business day for that which is not a Disrupted Day in respect of such. The Final Level of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the Maturity Date (each a Final Level Averaging Date ). If any Final Level Averaging Date is a Disrupted Day for one or both of the Indices, such date will be replaced as a lon_lib1\ \46 259

262 Final Level Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already a Final Level Averaging Date in respect of such. In such a case, the Maturity Date could change from the one defined below. The Daily Closing Level of the FTSE 100 and the S&P 500 is the closing level of each on any Scheduled Business Day from and including 17 January 2013 to and including 16 January The with the greater fall shall be the with the largest negative difference between its Level and its Final Level in percentage terms calculated by: (Final Level / Level The Fund may mature early on one of the following Early Maturity Dates and in the following circumstances in which case Shareholders will receive back their initial capital of 1 per Share plus a Fixed Return as detailed below: Early Maturity Early Maturity Date: Level: 16 January 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 19 January 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 17 January 2017 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return: 16 p per Share 24 p per Share 32 p per Share The Early Maturity Levels of the FTSE 100 and the S&P 500 will be calculated by using the average of the closing levels of each on the five Scheduled Business Days up to and including the relevant Early Maturity Date (each an Early Maturity Averaging Date ). If any Early Maturity Averaging Date is a Disrupted Day for on or both of the Indices, such date will be replaced as an Early Maturity Averaging Date in respect of each affected by the next Scheduled Business Day for that which is not a Disrupted Day for such and which is not already an Early Maturity Averaging Date in respect of such. In such a case, the Early Maturity Date could lon_lib1\ \46 260

263 change from those listed above. If the Fund matures early it will be wound up. To aim to achieve the objective, the Fund will invest principally in over the counter derivatives to achieve the Linked Return or Fixed Return. At the Maturity Date or Early Maturity Date (as applicable), the Fund will revert to being invested in cash, near cash and/or deposits or money market based collective investment schemes until proceeds are paid out to Shareholders. The Fund may also invest in transferable securities, forward transactions, collective investment schemes, money market instruments and deposits. The worked example below sets out how the Fund will work in practice. Please read carefully the associated risks of investing in the Fund in Part 11 and the specific risks from page 141 of this Appendix B. ISA status: Qualifying investment for stocks and shares ISA's Launch Price: 0.94 Limited Issue Period 16 January 2013 Limited Issue Limit Launch Date: Investment Date: Maturity Date: Averaging N/A 16 January January January 2018 As described above in the Investment objective and policy, a technique called averaging is used to calculate the Early Maturity Level and the Final Level. Share Classes and type of Shares: Class 1 Shares (Accumulation) (Available only through RBS plc and National Westminster Bank Plc (distributors of the Fund) during the Limited Issue Period) Valuation Point: Cut Off Point: 5:00pm UK time on each Dealing Day Redemption instructions must be received by close of business on the UK Business Day prior to a lon_lib1\ \46 261

264 Dealing Day (top-up investment are not available as this is a Limited Issue Fund). Dealing Days: The 15th day of each month (or where this is not a Business Day on the next following Business Day) and on the last Business Day of each month. Preliminary charge: Current: Class 1 6 % Redemption charge Current: Class 1-1% The redemption charge will be made in respect of any redemption prior to the Maturity Date or Early Maturity Date (if applicable) but will not be applied to redemption at the Maturity Date nor at the Early Maturity Date (if applicable) Annual ACD fee: Current: Class 1 - Nil Investment minima** Class 1 Lump sum 10,000 Holding 10,000 Top-up Monthly saving Redemption N/A N/A 1,000 shares Dilution Levy Policy The ACD will charge a dilution levy (subject to the maximum level of 2%) on each redemption of Shares after the Launch Date. The ACD does, however have the discretion not to charge the dilution levy. Past Performance: This Fund will be launched on 16 January 2013 and currently no past performance data is available. Taxation: Category of Fund for tax purposes Equity Fund lon_lib1\ \46 262

265 Distributions Capital Gains The net income (if any) distributed or accumulated will constitute dividend distributions. The Fund is not intended to generate income; the indices are capital indices and do not pay income. The only income received by the Fund will be interest arising post the Maturity Date or Early Maturity Date (as applicable). The Fund s capital will be invested to potentially produce a capital gain linked to the performance of each. If the Fund realises a gain on the disposal of its investments, these will be tax-exempt capital gains, but when investors realise gains on the disposal of their holding, these gains will be taxable capital gains. * References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. FTSE is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under licence. All rights in and to the FTSE 100 vest in FTSE and/or its licensors. All information is provided for reference only. Neither FTSE nor its licensors shall be responsible for any error or omission in the FTSE 100. The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited ("FTSE") or by the London Stock Exchange Plc (the "Exchange") or by The Financial Times Limited ("FT") (together the Licensor Parties )and none of the Licensor Parties make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE 100 (the ") and/or the figure at which the said stands at any particular time on any particular day or otherwise. The is compiled and calculated by FTSE. None of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the and none of the Licensor Parties shall be under any obligation to advise any person of any error therein. **References to particular share indices are included only to indicate the basis upon which growth is calculated, not to indicate any association between the ACD, the Royal Bank of Scotland Group of companies or the Fund and the third party index provider, or endorsement of the product by the index provider. The Fund is not in any way sponsored, sold or promoted by any relevant stock market, relevant index, related exchange or index sponsor or investment fund provider, and they 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 (whether in negligence or otherwise) to any person for any error in the relevant stock market, relevant indices or related exchange and shall not be under any obligation to advise any person of any error therein. ** The ACD may waive the above minima at its discretion and may do so in respect of ISA investors who are only able to invest the statutory maximum amount in a single tax year ( 11,280 in ). Worked Example for illustrative purposes only N.B: The following three examples do not include any growth in your investment based on the return on the Indices and reference should be made to the tables under the heading Holding Shares to the Maturity Date on pages 319 to 321 for examples of how the respective index returns may affect your investment. lon_lib1\ \46 263

266 Buying Class 1 Shares in Investment Fund 19 Transatlantic Accumulator This example sets out the calculations that would be applied if an investor were to invest 20,000 in Class 1 Shares (the only class of Shares available). The Shares will be initially priced at 0.94 per Share. investment 20,000 Less Preliminary charge of 6% 1,200 Equals Money remaining to purchase Shares 18,800 Number of Shares at each 20,000 Value of 20,000 Shares 18,800 Selling Shares before the Maturity Date This example sets out the calculations that would be applied if an investor were to redeem 1,000 Class 1 Shares of an overall holding of 20,000 of such Shares in the Fund. In this example, the Class 1 Shares are priced at 1.10 on the Dealing Day. The dilution levy used in this example is used to demonstrate the possible effect the application of a dilution levy has on the net proceeds a Shareholder would receive when redeeming Shares. A dilution levy is applied to protect the interests of the remaining investors in the Fund and is used to cover the costs of unwinding or purchasing Fund assets to cater for redemptions and subscriptions in Shares of the Fund (the Dilution Levy ). Prior to redemption Number of Shares held 20,000 NAV per Share 1.10 Value of Shares held 22,000 capital Shareholder invested ( 1 per Share) 20,000 On redemption Proceeds from sale of Shares (Number of Shares 1,100 1,000 multiplied by Redemption Price 1.10) Dilution levy of 2% 22 Redemption proceeds after dilution 1,078 Redemption charge of 1% Net redemption proceeds 1, Post redemption Remaining Shares 19,000 Current value of remaining Shares 20,900 The table below assumes investment is made into Investment Fund 19 Transatlantic Accumulator. Investment into other Funds will have different terms, such as the level of Linked Return. Therefore, these tables should only be used as an example of how to calculate the likely return in respect of Investment Fund 19 Transatlantic Accumulator. Early Maturity of the Fund The following table sets out what could happen to an investment of 20,000 in Investment Fund 19 Transatlantic Accumulator on the Early Maturity Date. movement (Early Maturity Levels of the FTSE 100 and the Fixed Return Total return lon_lib1\ \46 264

267 S&P 500 expressed as a % of their Levels on 16 January 2015 FTSE 100 : 80% S&P 500 : 85% FTSE 100 : 110% S&P 500 : 80% FTSE 100 : 110% S&P 500 : 115% The Early Maturity Level of the FTSE 100 and the S&P 500 are not equal or higher than their respective Levels; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 is higher that its Level. However, the Early Maturity Level of the S&P 500 is not equal or higher than its Level; therefore the Fund does not mature. The Early Maturity Level of the FTSE 100 and the S&P 500 are equal or higher than their respective Levels. Therefore, the Fund shall mature early. The Fixed Return is 16 pence per Share. The initial capital invested by the Shareholder is 1 per Share. Therefore, the total return will be 20,000 Shares multiplied by Fund does not mature early. Fund does not mature early. 23,200 Investment Fund 19 Transatlantic Accumulator has thee possible Early Maturity Dates as detailed below. The example above applies at each of these dates when used with the relevant Early Maturity index Levels and Fixed Return. Early Maturity Early Maturity Levels of Date the FTSE 100 and the S&P January 2015 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 19 January 2016 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels 17 January 2017 Where both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels Fixed Return 16 pence per Share 24 pence per Share 32 p per Share Holding Shares to the Maturity Date The following table sets out the expected returns of an investment of 20,000 in Investment Fund 19 Transatlantic Accumulator at certain Final Levels of the FTSE 100 and the S&P 500 if the Daily Closing Levels of the FTSE 100 and the S&P 500 have or have not fallen by more than 50%. This example assumes that the Level of the FTSE 100 is 5,000 and the S&P 500 is 1,000. lon_lib1\ \46 265

268 Final Levels FTSE 100 4,500 (90% of 4,500 (90% of S&P (100 % of 1,200 (120 % of Lowest Daily Closing Levels FTSE 100 2,000 (40% of 3,000 (60% of S&P (70% of 400 (40% of Have the Daily Closing Levels of the FTSE 100 and/or the S&P 500 fallen by more than 50% from their respective Levels? Yes. The Daily Closing Level of the FTSE 100 has fallen by more than 50% from its Level. Yes. The Daily Closing Level of the S&P 500 has fallen by more than 50% from its Level. Linked Return As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is 90% of its, and the Daily Closing Level of either the FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the FTSE 100 has fallen by more than 50% from its Level of 5,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example the Final Level of the FTSE 100 is 90% of its Total Return 18,000 18,000 lon_lib1\ \46 266

269 4,500 (90% of 1,200 (120 % of 4,000 (80% of 700 (70% of No, and the Daily Closing Level of either FTSE 100 or the S&P 500 has fallen by more than 50% from its respective Level (in this example the S&P 500 has fallen by more than 50% from its Level of 1,000), the Linked Return will be calculated by dividing the Final Level of the with the greater fall (in this example the FTSE 100 ) by its Level and multiplying the result by 1 per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Level of either or both the FTSE 100 or the S&P 500 is below its respective Level (in this example, the Final Level of the FTSE 100 is 90% of its and the Daily Closing Levels of both the FTSE 100 and the S&P 500 have not fallen by more than 50% from their respective Levels (of 5,000 and 1,000 respectively), the Linked Return will be the initial capital invested of 1 per Share, irrespective of the fact that the Final Level of one of the Indices is below its Level. Therefore the Linked Return will be 20,000 shares multiplied by ,000 5,800 1,250 4, Yes. The Daily As the Final 28,000 lon_lib1\ \46 267

270 (116% of 5,200 (104% of (125 % of 1,100 (110 % of index (80% of 3,800 (76% of (40% of 700 (70% of Closing Level of the S&P 500 has fallen by more than 50% from its Level. No Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the return will be the initial capital invested of 1 plus 40 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by As the Final Levels of both the FTSE 100 and the S&P 500 are equal to or higher than their respective Levels (of 5,000 and 1,000), the Linked Return will be the initial capital invested of 1 plus 40 pence per Share. Therefore, the Linked Return will be 20,000 Shares multiplied by ,000 The above examples are for illustrative purposes only, designed to provide you with an understanding of how such a product would work. Returns are therefore purely for illustrative purposes only and are in no way an indication of how your investment will perform. lon_lib1\ \46 268

271 ABOUT THE INDICES WE USE Set out below is information relating to the indices which are referred to in Part 1 and Part 2 of this Appendix A: 1. Composition and rebalancing frequency of the indices: FTSE 100 The FTSE 100 measures the performance of the top 100 companies listed on the London Stock Exchange and is weighted by market capitalisation. Stocks are free-float weighted and pass screening for size and liquidity. The FTSE 100 is reviewed quarterly in March, June, September and December. It was developed with a base level of 1,000 on 3 January The index composition and full list of index constituents are available at the website link S&P 500 The S&P 500 is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Changes to the S&P 500 are made on an as-needed basis. There is no annual or semiannual reconstitution. Constituent changes are typically announced one to five days before they are scheduled to be implemented. The index composition and full list of index constituents are available at the website link p-us-l-- Hang Seng China Enterprises The Hang Seng China Enterprises known as the HSCEI is a freefloatadjusted capitalisation weighted index with a 10% cap comprising 40 H-Shares listed on the Hong Kong Stock Exchange. It is a price index without adjustment for cash dividends or warrant bonuses and rebalances quarterly. It was developed with a base level of 2,000 as of 3rd January The index composition and full list of index constituents is available at the website link Hang Seng The Hang Seng is a freefloat-adjusted market capitalisation weighted index with a 15% cap on the weighting of 50 individual constituent stocks. It is a price index without adjustment for cash dividends or warrant bonuses and rebalances quarterly. The components of the index are grouped under Finance, Utilities, Properties, and Commerce and Industry sub-indexes. It measures the performance of the largest and most liquid companies listed in Hong Kong Stock Exchange. The index was developed with a base level of 100 as of 31st July, The index composition and full list of index constituents are available at the website link Eurostoxx 50 The Eurostoxx 50, Europe's leading Blue-chip index for the Eurozone, provides a Blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries. To keep up with the latest development of the stock markets, the Eurostoxx 50 reviewed on a regular basis to ensure a transparent and up-to-date index basket. The implementations are usually conducted quarterly after the close every third Friday in March, June, September and December and effective the next trading day. The index composition and full list of index constituents are available at the website link lon_lib1\ \46 269

272 Dax Price The DAX Price tracks the segment of the largest and most important companies known as blue chips on the German equities market. It contains the shares of the 30 largest and best-performing companies, admitted on the FWB Frankfurt Stock Exchange in the Prime Standard segment. The DAX Price is using the same weightings as the DAX (Deutscher Aktien IndeX), but not adjusting for dividends. The weighting of an individual share is capped at 10% and the index composition is reviewed on a quarterly basis. The index composition and full list of index constituents are available at the website link Rogers International Commodity - Enhanced SM Excess Return The Rogers International Commodity Enhanced SM Excess Return, known as the RICI Enhanced SM represents a diversified portfolio representing listed commodities (currently 36 constituents). The is a composite price return commodity index designed to benefit from the scarcity of commodity, and also to take advantage of the commodity cycles, convenience yields and roll returns. The weightings are reset at their initial starting levels on a semi-annual basis, and a general review of the composition is carried out annually in February. The base value date is 31 July 1998 with a base value of The is sponsored by Beeland Interest, Inc and calculated and published by The Royal Bank of Scotland plc. Constituents % Weighting WTI Crude 13.44% Brent Crude 10.58% Natural Gas 6.85% Gasoline RBOB 4.54% Heating Oil 4.04% Gas Oil 3.11% Copper 4.01% Aluminium 3.84% Zinc 2.03% Lead 1.55% Tin 0.55% Nickel 0.95% Gold 3.70% Silver 1.71% Platinum 0.97% Palladium 1.15% Cotton 2.50% Lumber 0.67% Constituents % Weighting Rubber 0.92% Corn 6.57% Kansas City Wheat 1.83% Minneapolis Wheat 0.45% Oats 0.52% Rice 0.51% Wheat 2.69% Palm Oil 0.95% Soybean Oil 1.97% Soybean 3.04% Soybean Meal 1.29% Lean Hogs 2.01% Live Cattle 2.53% Cocoa 1.39% Coffee 2.56% Coffee Robusta 1.03% Orange Juice 0.57% Sugar 2.95% 2. Rebalancing costs for each index Set out below is a summary of the rebalancing costs (per annum) for each index referred to in this Appendix A. There is no extra cost to the Funds as a result of these rebalancing costs: Hang Seng Hang Seng China Enterprises FTSE 100 Eurostoxx 50 Dax Price S&P 500 The Rogers International Commodity - Enhanced SM Excess Return Range 0-3 bps 0-3 bps 0-2 bps 0-2 bps 0-2 bps 0-2 bps 0-10 bps lon_lib1\ \46 270

273 APPENDIX C ELIGIBLE SECURITIES MARKETS AND ELIGIBLE DERIVATIVES MARKETS All the Funds may deal through securities markets established in an EEA State on which transferable securities admitted to official listing in the EEA State are dealt in or traded. New eligible derivatives markets for a Fund may only be added to the existing list after approval of a resolution of Shareholders of that Fund at a Shareholders meeting, unless the ACD and the Depositary have agreed in writing that the addition is of minimal significance to the investment policy of the Fund concerned, or the ACD has given notice in writing of the proposed change to the Depositary and the Shareholders not less than 90 days before the date of the intended change, and has revised the Prospectus to reflect the intended change and the date of its commencement. lon_lib1\ \46 271

274 APPENDIX D PAST PERFORMANCE OF THE FUNDS± Past performance The following sets out the past performance of the Funds where past performance data is available. Please note that past performance should not be taken as a guide to the future performance of the relevant Fund. The data in this Appendix D is inclusive of the Charges and Expenses described in Part 5 of this Prospectus apart from the Redemption Charge, as applicable. For the avoidance of doubt, any dilution levy charged on the redemption of Shares and taxes applicable at the Shareholder s level are not included in the data in this Appendix. Performance information is only provided where a complete calendar year of performance information is available. ± Please note that past performance information for the Funds was updated in January 2014 and the information set out below is correct as at 31 December Protected Investment Fund 1 UK Growth This fund has matured and is in the process of being terminated Protected Investment Fund 2 UK Growth This fund has matured and is in the process of being terminated Protected Investment Fund 3 UK Growth This fund has matured and is in the process of being terminated Protected Investment Fund 4 China Growth This fund has matured and is in the process of being terminated Protected Investment Fund 5 China Growth This fund has matured and is in the process of being terminated Protected Investment Fund 6 RICI Enhanced SM Global Commodities This fund has matured and is in the process of being terminated Protected Investment Fund 7 UK Growth This fund has matured and is in the process of being terminated Protected Investment Fund 8 RICI Enhanced SM Global Commodities Annual Returns Year Return* 7.22% 11.40% 0.84% -0.08% -5.18% * Returns are calculated from the first Dealing Day of the relevant year to the first Dealing Day of the following year. Returns are only calculated for full 12-month periods. lon_lib1\ \46 272

275 Investment Fund 4 European Defined Returns Annual Returns Year Return* % 24.81% 23.03% * Returns are calculated from the first Dealing Day of the relevant year to the first Dealing Day of the following year. Returns are only calculated for full 12-month periods. Investment Fund 5 European Accumulator This fund has matured and is in the process of being terminated Investment Fund 9 Transatlantic Accumulator This fund has matured and is in the process of being terminated Investment Fund 10 Transatlantic Annual Accumulator This fund has matured and is in the process of being terminated Investment Fund 11 Transatlantic Annual Accumulator This fund has matured and is in the process of being terminated Investment Fund 12 Transatlantic Defensive Growth Annual Returns Year Return* % 12.85% * Returns are calculated from the first Dealing Day of the relevant year to the first Dealing Day of the following year. Returns are only calculated for full 12-month periods. Investment Fund 13 UK & China Defensive Accumulator This fund has matured and is in the process of being terminated Investment Fund 14 Transatlantic Accumulator This fund has matured and is in the process of being terminated Investment Fund 15 Transatlantic Accumulator This fund has matured and is in the process of being terminated Investment Fund 16 Transatlantic Accumulator This fund has matured and is in the process of being terminated Investment Fund 17 UK & Germany Accumulator This fund has matured and is in the process of being terminated Investment Fund 18 Transatlantic Accumulator Annual Returns Year Return* % lon_lib1\ \46 273

276 * Returns are calculated from the first Dealing Day of the relevant year to the first Dealing Day of the following year. Returns are only calculated for full 12-month periods. Investment Fund 19 Transatlantic Accumulator No historic past performance information is available as the Fund was launched on 16 January lon_lib1\ \46 274

277 APPENDIX E OTHER AUTHORISED SCHEMES MANAGED BY THE ACD The ACD is also the authorised corporate director of Equator Investment Funds ICVC lon_lib1\ \46 275

278 APPENDIX F DIRECTORS OF THE ACD The directors of the ACD are: Leslie Gent David Moroney John Young lon_lib1\ \46 276

279 APPENDIX G DIRECTORY The Company: RBS Global Structured Investments Registered address: 135 Bishopsgate London EC2M 3UR Business address: 440 Strand London WC2R 0QS Authorised Corporate Director: RBS Asset Management (ACD) Limited Registered Address 135 Bishopsgate London EC2M 3UR Business address: 440 Strand London WC2R 0QS Depositary: Citibank International Plc Citigroup Centre Canada Square Canary Wharf London E14 5LB Investment Manager: The Royal Bank of Scotland plc Registered address: 36 St. Andrew Square Edinburgh EH2 2YB Business address: 250 Bishopsgate London EC2M 4AA Administrator/Registrar: Sanne Fiduciary Services Limited 13 Castle Street St Helier Jersey JE4 SUT Legal Adviser to the Company: Eversheds LLP One Wood Street London EC2V 7WS Auditors: KPMG Audit plc 8 Salisbury Square London EC4Y 8BB lon_lib1\ \46 277