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INDEX PERFORMANCE (RETROSPECTIVELY CALCULATED FOR ALL TIME PERIODS):
You should be aware that because the index was only created on November 16,
2010, 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 Sandp 500([R]) Total Return index and
Sandp 500([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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[GRAPHIC OMITTED]
Source: Bloomberg. The graph above illustrates the retrospectively calculated
annual return of the
Index and the historical annual return of the S and P 500[R] Total Return Index for
each calendar year from 2001--2009 and from 1/1/10--10/29/10 for 2010.
RISK To RETURN (10/31/00--10/29/10)
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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 Oct. to
Oct. year-to-year, from 10/31/00--10/29/10), divided by ten. Average Annualized
Volatility refers to the sum of the annualized volatility over ten 12-month
periods (from Oct. to Oct. year-to-year, from 10/31/00--10/29/10), divided by
ten.
COMPARISON OF CUMULATIVE 10-YEAR ANNUALIZED RETURNS
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[GRAPHIC OMITTED]
Source: Bloomberg. Cumulative 10-Year Annualized Returns in the graph above
illustrates the geometric average annualized return of the Index and the S and P
500[R] Total Return Index, as applicable, based on the cumulative return of the
applicable index over ten-year periods (from 10/31 of the tenth year prior and
ending on 10/31 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 10-year period, compounded annually,
resulting in the cumulative return of the applicable index over the relevant
10-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 10/29/10)
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1-YEAR 3-YEAR 5-YEAR 10-YEAR
RETURN RETURN % RETURN % RETURN %
% ANNUALIZED ANNUALIZED ANNUALIZED
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RBS US Large Cap 4.84 2.79 7.11 6.60
Trendpilot(TM) Index
S and P 500([R]) Total 16.52 -6.49 1.73 -0.02
Return Index
S and P 500([R]) Index 14.19 -8.59 -0.40 -1.87
STANDARD DEVIATION* AND MAXIMUM DRAWDOWN** (AS OF 10/29/10)
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5 YEAR MAXIMUM 5 YEAR STANDARD
DRAWDOWN % DEVIATION ANNUALIZED %
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RBS US Large Cap -17.27 9.78
Trendpilot(TM) Index
S and P 500([R]) Total -55.25 18.14
Return Index
S and P 500([R]) Index -56.78 18.19
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
contrast, 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 investment. 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 circumstances 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 prospectus 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 Large Cap Trendpilot(TM) Index (USD) (Index) is the property of The
Royal Bank of Scotland plc, which has contracted with Standard and Poor's
Financial Services LLC (S and P) to maintain and calculate the Index. The S and P
500[R] Index is the exclusive property of S and P and has been licensed for use by
RBSSI and its affiliates in connection with the Index. S and P shall have no
liability for any errors or omissions in calculating the Index. "Standard and
Poor's[R]," "S and P[R]" and "S and P 500[R]" are registered trademarks of S and P.
"Calculated by S and P Custom Indices" and its related stylized mark are service
marks of S and P and have been licensed for use by RBSSI and its affiliates. The
RBS ETNs are not sponsored, endorsed, sold or promoted by S and P or its
affiliates, and neither S and P nor its affiliates make any representation
regarding the advisability of investing in the RBS ETNs.
Copyright[C] 2010 RBS Securities Inc. All rights reserved. RBS Securities Inc.,
a U.S. registered broker-dealer, member of FINRA and SIPC, is an indirect
wholly-owned subsidiary of The Royal Bank of Scotland plc and an affiliate of
RBS NV.
Dated December 16, 2010
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS page 2 of 2
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