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INDEX PERFORMANCE (RETROSPECTIVELY CALCULATED FOR ALL TIME PERIODS):
You should be aware that because the Index was only created on January 24, 2011,
no actual Index information existed before then. All Index information that is
presented below was retrospectively calculated as if the Index had been in
existence during those periods. All andP MidCap 400(R) Total Return Index and
SandP MidCap 400(R) Index data are based on historical performance. The
retrospectively calculated and historical index performance should not be taken
as any indication of future performance of the Index or the RBS ETNs. The
performance information below also does not include the RBS ETN investor fee or
any transaction costs or expenses.
COMPARISON OF ANNUAL RETURNS
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-- SandP MidCap 400(R) Total Return Index
-- RBS US Mid Cap TrendpilotTM Index
[GRAPHIC OMITTED]
Source: Bloomberg. The graph above illustrates the retrospectively calculated
annual return of the Index and the historical annual return of the SandP MidCap
400(R) Total Return Index for each calendar year from 2001-2010.
RISK TO RETURN (12/31/00-12/31/10)
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[GRAPHIC OMITTED]
Source: Bloomberg. Average Annual Return in the graph above is derived by taking
the sum of the annual return over ten 12-month periods (from Dec. to Dec.
year-to-year, from 12/31/00-12/31/10), divided by ten. Average Annualized
Volatility refers to the sum of the annualized volatility over ten 12-month
periods (from Dec. to Dec. year-to-year, from 12/31/00-12/31/10), divided by
ten.
COMPARISON OF CUMULATIVE 3-YEAR ANNUALIZED RETURNS
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-- S&P MidCap 400(R) Total Return Index
-- RBS US Mid Cap TrendpilotTM Index
[GRAPHIC OMITTED]
Source: Bloomberg. Cumulative 3-Year Annualized Returns in the graph above
illustrates the geometric average annualized return of the Index and the SandP
MidCap 400(R) Total Return Index, as applicable, based on the cumulative return
of the applicable index over three-year periods (from 12/31 of the third year
prior and ending on 12/31 of the year presented), assuming annual compounding.
Geometric average annualized return in this case means the constant rate of
return applied to each year within the relevant 3 -year period, compounded
annually, resulting in the cumulative return of the applicable index over the
relevant 3-year period. Please be aware that the
Index did not exist and an investment in the Index was not possible during the
time periods presented above. Further, we may redeem the RBS ETNs at any time at
our option. If we do so, you may not be able to own any investment in the RBS
ETNs or the Index over any minimum time period.
INDEX RETURNS (AS OF 12/31/10)
1-YEAR 3-YEAR 5-YEAR 10-YEAR
RETURN RETURN % RETURN % RETURN %
% ANNUALIZED ANNUALIZED ANNUALIZED
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RBS US Mid Cap 13.78 9.39 7.30 9.08
TrendpilotTM Index
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SandP MidCap 400(R) Total 26.64 3.52 5.73 7.16
Return Index
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SandP MidCap 400(R) Index 24.85 1.87 4.21 5.79
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STANDARD DEVIATION* AND MAXIMUM DRAWDOWN** (AS OF 12/31/10)
5 YEAR MAXIMUM 5 YEAR STANDARD
DRAWDOWN % DEVIATION ANNUALIZED %
RBS US Mid Cap -23.56 12.74
TrendpilotTM Index
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SandP MidCap 400(R) Total -55.15 21.73
Return Index
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SandP MidCap 400(R) Index -56.32 21.73
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Source: Bloomberg
*Standard Deviation is a measure of the volatility of an asset, and illustrates
the extent of variation (whether higher or lower) that exists from the average
of a given set of results. A low standard deviation indicates that the results
tend to be very close to the average result (a low degree of volatility). In
con-trast, a high standard deviation indicates that the results are spread out
over a large range of outcomes (a high degree of volatility).
**Maximum drawdown measures the decrease in the value of an asset from its
historical highest value in a given period to its lowest value in that period.
Maximum drawdown expresses that decrease as a percentage.
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CERTAIN RISK CONSIDERATIONS: The RBS ETNs involve risks not associated with an
investment in conventional debt securities, including a possible loss of some
or all of your in-vestment. The level of the Index must increase by an amount
sufficient to offset the aggregate investor fee applicable to the RBS ETNs in
order for you to receive at least the principal amount of your investment back
at maturity or upon early repurchase or redemption. The Index may underperform
the Benchmark Index, and is expected to perform poorly in volatile markets.
Liquidity of the market for RBS ETNs may vary over time. The RBS ETNs do not
pay interest. Any payment on the RBS ETNs is subject to ability of RBS NV, as
the issuer, and RBS Holdings, as the guarantor, to pay their respective
obligations when they become due. You should carefully consider whether the RBS
ETNs are suited to your particular circum-stances before you decide to purchase
them. We urge you to consult with your investment, legal, accounting, tax and
other advisors with respect to any investment in the RBS ETNs.
The RBS ETNs are not suitable for all investors. You should carefully read the
relevant pricing supplement and prospectus, including the more detailed
explanation of the risks involved in any investment in the RBS ETNs as
described in the "Risk Factors" section of the pricing supplement, before
investing.
IMPORTANT INFORMATION: The Royal Bank of Scotland N.V. (RBS NV) and RBS
Holdings N.V. (RBS Holdings) have filed a registration statement (including a
prospectus) with the U.S. Securities and Exchange Commission (SEC) for the
offering of RBS ETNs to which this communication relates. Before you invest in
any RBS ETNs, you should read the prospec-tus in that registration statement
and other documents that have been filed with the SEC for more complete
information about RBS NV and RBS Holdings, and the offering. You may get these
documents for free by visiting EDGAR on the SEC's web site at www.sec.gov.
Alternatively, RBS NV, RBS Holdings, RBS Securities Inc. (RBSSI) or any dealer
participating in the relevant offering will arrange to send you the prospectus
and the pricing supplement at no charge if you request it by calling
1-855-RBS-ETPS (toll-free).
RBS US Mid Cap Trendpilot(TM) Index (USD) TR (Index) is the
property of The Royal Bank of Scotland plc, which has
contracted with Standard and Poor's Financial Services LLC
(SandP) to maintain and calculate the Index. The SandP
MidCap 400(R) Index is the exclusive property of SandP and
has been licensed for use by RBSSI and its affiliates in
connection with the Index. SandP shall have no liability
for any errors or omissions in calculating the Index.
"Standard and Poor's(R)," "SandP(R)" and "SandP MidCap
400(R)" are registered trademarks of SandP. "Calculated by [GRAPHIC OMITTED]
SandP Custom Indices" and its related stylized mark are
service marks of SandP and have been licensed for use by
RBSSI and its affiliates. The RBS ETNs are not sponsored,
endorsed, sold or promoted by SandP or its affiliates, and
neither SandP nor its affiliates make any representation
regarding the advisability of investing in the RBS ETNs.
Copyright(C) 2011 RBS Securities Inc. All rights reserved. [GRAPHIC OMITTED]
RBS Securities Inc., a U.S. registered broker-dealer,
member of FINRA and SIPC, is an indirect wholly-owned Dated
January 25, 2011 subsidiary of The Royal Bank of Scotland
plc and an affiliate of RBS NV.
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