RBS plans capped callable leveraged steepener notes on CMS rates

By Jennifer Chiou

New York, July 20 - Royal Bank of Scotland plc plans to price capped callable leveraged steepener notes due Aug. 12, 2031 linked to the 30-year and two-year Constant Maturity Swap rates, according to a 424B5 with the Securities and Exchange Commission.

The coupon will be 11.125% for the first year. After that, it will be four times the spread of the 30-year CMS rate over the two-year CMS rate minus 25 basis points, up to a cap of 11.125%. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes will be callable at par on any interest payment date beginning in August 2012.

The notes (Cusip: 78009PBE0) will price on Aug. 9 and settle on Aug. 12.

RBS Securities Inc. is the agent.

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