RBS Certificates Review

NatWest Markets Plc (formerly known as The Royal Bank of Scotland plc) (RBS) announced on 14 December 2015 that it has identified a number of operational errors that have impacted the price of certain Certificates and Mini Future Certificates originally issued by ABN AMRO Bank N.V., The Royal Bank of Scotland N.V. or The Royal Bank of Scotland plc (the “Securities”).  The main errors are listed below:

 Some of the parameters used to determine the level of a variable cost charged to Quanto Securities (so-called Quanto fee) were not updated over an extended period.

 A number of the Securities were incorrectly booked in RBS systems, for example with incorrect fee or other product cost levels or an incorrect product entitlement.

 A number of fixing errors were identified where an incorrect level of an underlying instrument or of a fee or other product cost was determined and applied during the term of the relevant Securities.

 Internal calculation errors were identified in certain underlying indices used for some of the Securities.

A list of impacted Securities is provided here: Impacted Securities (3 April 2017).

Each impacted Security is categorised on the list as type A, B or C as follows:

Type A Securities

  Holders of Type A Securities who sold or redeemed either part or the whole of their holding prior to 14 December 2015 may have suffered a loss as a result of the identified errors, depending on their individual holding periods and buy and sell (or redemption) dates.

Type B Securities

  Holders of Type B Securities who purchased the Securities at any time prior to 14 December 2015 may have suffered a loss as a result of the identified errors, depending on their individual holding periods and buy and sell dates.

Type C Securities

  Holders of Type C Securities who purchased, sold or redeemed the Securities at any time may have suffered a loss as a result of the identified errors, depending on their individual holding periods and buy and sell (or redemption) dates.

If it is determined by RBS that a holder of an impacted Security has suffered a loss as a result of the operational errors, the holder will be offered redress to cover the loss caused by the errors.

The amount of any redress offered to a holder of an impacted Security will be determined on a case by case basis and take account of the performance of the underlying instruments (for example, equities, commodities, indices or baskets) of the Securities during the holding period and other factors. Redress for losses resulting from a negative performance of the market prices of underlying instruments of the Securities will not be offered.

Please note that whether or not any redress is due to a holder as a result of the operational errors identified by RBS depends on the holder’s individual purchase and sell or redemption dates. The impact of the identified errors on the pricing of each Security was subject to change during the term of each Security, and accordingly, the errors may not have impacted the pricing of a Security during a holder’s individual holding period at all or the holder may have benefitted from the operational errors. Not all holders will have suffered a loss as a result of the operational errors.

More information

If you would like more information you can contact RBS using one of the methods below.

By email:

rbscertificatesreview@rbs.com

By post:

RBS Certificates Review Team
RBS plc
250 Bishopsgate
London
EC2M 4AA
United Kingdom