CALCULATION
OF REGISTRATION FEE
|
Title
of Each Class of Securities Offered
|
Maximum
Aggregate Offering Price
|
Amount
of Registration Fee(1)
|
||
|
SPX
Digital Buffer Securities
|
$300,000
|
$21.39
|
||
|
|
(1)
Pursuant to Rule 457(p) under the Securities Act of 1933, filing fees of
$94,671.00 have already been paid with respect to unsold securities that were
previously registered pursuant to a Registration Statement on Form F-3 (No.
333-89136) of ABN AMRO Bank N.V. (the "Prior Registration Statement"), which was
initially filed on May 24, 2002 and for which a post-effective amendment was
filed on September 17, 2003 and have been carried forward. ON JANUARY 23, 2009
AN ADDITIONAL FILING FEE OF $10,000 WAS PAID. ON MARCH 31, 2010 AN
ADDITIONAL FILING FEE OF $10,000 WAS PAID. The $21.39 fee
with respect to the $300,000 Digital Buffer Securities linked to the
performance of the S&P 500 Index due April 30, 2012 sold pursuant
to this registration statement is offset against those filing fees,
and $8,948.71 remains available for future registration fees. No
additional fee has been paid with respect to this offering.
|
Pricing Supplement No. 033 Dated April 27, 2010
to Registration Statement Nos.
333-162193 and 333-162193-01
(To Product Supplement No.
2-III Dated April 2, 2010,
Underlying Supplement No.
2-IV,
Prospectus Supplement Dated
April 2, 2010,
Prospectus Dated April 2, 2010, and
Rule 424
(b)(2)
|
 |
|
THE ROYAL BANK OF SCOTLAND N.V.
24 Month, Digital Buffer
Securities
|
|||
|
Issuer:
|
The Royal
Bank of Scotland N.V.
|
Launch
Date:
|
April 13,
2010
|
|
Lead
Agent:
|
RBS
Securities Inc.
|
Pricing
Date:
|
April 27,
2010
|
|
Issue
Price:
|
100%
|
Settlement
Date:
|
April 30,
2010
|
|
CUSIP:
|
78009KFK3
|
Determination
Date:
|
April 25,
20121
|
|
ISIN:
|
US78009KFK34
|
Maturity
Date:
|
April 30,
2012
|
|
1Subject
to certain adjustments as described in the accompanying Product
Supplement
|
|||
|
Status
and Guarantee:
|
Unsecured,
unsubordinated obligations of the Issuer and fully and unconditionally
guaranteed by the Issuer’s parent company, RBS Holdings
N.V.
|
||
|
Description
of Offering:
|
24 Month,
Digital Buffer Securities linked to the performance of the S&P 500®
Index due April 30, 2012 (the “Securities”)
|
||
|
Underlying
Index:
|
The S&P
500® Index (Ticker: SPX)
|
||
|
Coupon:
|
None. The
Securities do not pay interest.
|
||
|
Payment
at Maturity:
|
The payment
at maturity for each Security is based on the performance of the
Underlying Index linked to such Security. The cash payment at maturity is
calculated as follows:
(i) if
the Index Return is 0% or positive, $1,000 plus the Digital
Return;
(ii) if the
Index Return is less than 0% down to and including -10%, $1,000;
and
(iii) if the
Index Return is less than -10%, $1,000 plus (Index Return + 10%) ×
$1,000.
If the Index
Return is less than -10% you could lose up to 90% of your initial
principal investment. In addition, if the Index Return is 0% or positive,
you will never receive a payment at maturity greater than the Maximum
Redemption at Maturity of $1,145 per $1,000 principal amount of
Securities.
Any payment
at maturity is subject to the creditworthiness of The Royal Bank of
Scotland N.V. and RBS Holdings N.V., as guarantor.
|
||
|
Index
Return:
|
The Index
Return is the percentage change in the value of the Underlying Index,
calculated as follows:
Final Value – Initial
Value
Initial
Value
|
||
|
Initial
Value:
|
1183.71 The
Closing Value of the Underlying Index on the Pricing Date, subject to
certain adjustments as described in the accompanying Product
Supplement.
|
||
|
Final
Value:
|
The Closing
Value of the Underlying Index on the Determination Date, subject to
certain adjustments as described in the accompanying Product
Supplement.
|
||
|
Buffer
Level:
|
10% buffer.
An Index Return equal to or less than 0% down to and including -10% will
not result in the loss of any principal. An Index Return of less than -10%
will result in a loss of principal which could be up to 90% of your
initial principal investment.
|
||
|
Digital
Return:
|
$145.00 (or
14.50%) per $1,000 principal amount of Securities.
|
||
|
Maximum
Redemption at Maturity:
|
$1,145 per
$1,000 principal amount of Securities. Regardless of how much the
Underlying Index may appreciate above the Initial Value, you will never
receive more than $1,145 per $1,000 principal amount of Securities, at
maturity.
|
||
|
Trustee:
|
Wilmington
Trust Company
|
Securities
Administrator:
|
Citibank,
N.A.
|
|
Denomination:
|
$1,000
|
Settlement:
|
DTC, Book
Entry, Transferable
|
|
Selling
Restriction:
|
Sales in the
European Union must comply with the Prospectus
Directive
|
||
|
Price
to Public
|
Aggregate Agent’s
Commission2
|
Aggregate
Proceeds to Issuer
|
|
|
Per
Security
|
$1,000
|
$27.50
|
$972.50
|
|
Total
|
$300,000
|
$8,250
|
$291,750
|
|
2For
additional information see “Plan of Distribution (Conflicts of Interest)”
in this Pricing Supplement.
|
|||
The Securities are
not bank deposits and are not insured or guaranteed by the Federal Deposit
Insurance Corporation, the Deposit Insurance Fund or any other governmental
agency, nor are they obligations of, or guaranteed, by a bank.
Investing
in the Securities involves a number of risks. See “Risk Factors”
beginning on page PS-8 of the accompanying Product Supplement No. 2-III and
“Risk Factors” beginning on page 8 of this Pricing Supplement. The Securities
and Exchange Commission and state securities regulators have not approved or
disapproved these Securities, or determined if this Pricing Supplement or the
accompanying Product Supplement, Prospectus Supplement or Prospectus are
truthful or complete. Any representation to the contrary is a criminal
offense.
The agents are not
obligated to purchase the Securities but have agreed to use reasonable efforts
to solicit offers to purchase the Securities. To the extent the full
aggregate face amount of the Securities being offered by this Pricing Supplement
is not purchased by investors in the offering, one or more of our affiliates may
purchase a part of the unsold portion, which may constitute up to 15% of the
total aggregate face amount of the Securities, and to hold such Securities for
investment purposes. See “Holdings of the Securities by Our
Affiliates and Future Sales” under the heading “Risk Factors” and “Plan of
Distribution (Conflicts of Interest)” in this Pricing
Supplement. This Pricing Supplement and the accompanying Product
Supplement, Prospectus Supplement and Prospectus may be used by our affiliates
in connection with offers and sales of the Securities in market-making
transactions.
PRICE:
$1,000 PER SECURITY
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
WHERE
YOU CAN FIND MORE INFORMATION
The Royal Bank of
Scotland N.V., or RBS N.V., has filed a registration statement (including a
Prospectus and Prospectus Supplement) with the Securities and Exchange
Commission, or SEC, for the offering to which this Pricing Supplement relates.
Before you invest, you should read the Prospectus and Prospectus Supplement in
that registration statement and other documents, including the applicable
Product Supplement, related to this offering that RBS N.V. has filed with the
SEC for more complete information about RBS N.V. and the offering of the
Securities.
You may get these
documents without cost by visiting EDGAR on the SEC website at www.sec.gov.
Alternatively, RBS N.V., any underwriter or any dealer participating in the
offering will arrange to send you the Prospectus, Prospectus Supplement,
Underlying Supplement No. 2-IV and Product Supplement No. 2-III if you request
by calling toll free (866) 747-4332.
You should read
this Pricing Supplement together with the Prospectus dated April 2, 2010, as
supplemented by the Prospectus Supplement dated April 2, 2010 relating to our
Notes of which these Securities are a part, and the more detailed information
contained in Product Supplement No. 2-III dated April 2, 2010 and Underlying
Supplement No. 2-IV dated April 2, 2010. This Pricing Supplement, together
with the documents listed below, contains the terms of the Securities and
supersedes all other prior or contemporaneous oral statements as well as any
other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures,
fact sheets, brochures or other educational materials of
ours. You should carefully consider, among other things, the
matters set forth in “Risk Factors” in this Pricing Supplement and in the
accompanying Product Supplement No. 2-III, as the Securities involve risks not
associated with conventional debt securities. We urge you to consult your
investment, legal, tax, accounting and other advisors before you invest in the
Securities.
You may access
these documents on the SEC website at www.sec.gov as follows (or if such address
has changed, by reviewing our filings for the relevant date on the SEC
website):
|
·
|
Underlying
Supplement No. 2-IV dated April 2, 2010:
|
|
·
|
Product
Supplement No. 2-III dated April 2, 2010:
|
|
·
|
Prospectus
Supplement dated April 2, 2010:
|
|
·
|
Prospectus
dated April 2, 2010:
|
Our Central Index
Key, or CIK, on the SEC website is 897878. As used in this Pricing Supplement,
the “Company,” “we,” “us” or “our” refers to The Royal Bank of Scotland N.V.;
“Holdings” refers to RBS Holdings N.V.
These
Securities may not be offered or sold (i) to any person/entity listed on
sanctions lists of the European Union, United States or any other applicable
local competent authority; (ii) within the territory of Cuba, Sudan, Iran and
Myanmar; (iii) to residents of Cuba, Sudan, Iran or Myanmar; or (iv) to Cuban
Nationals, wherever located.
We reserve the
right to withdraw, cancel or modify any offering of the Securities and to reject
orders in whole or in part prior to their issuance.
RBS NotesSM is a
Service Mark of The Royal Bank of Scotland N.V.
2
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
SUMMARY
The
following summary does not contain all the information that may be important to
you. You should read this summary together with the more detailed information
that is contained in Product Supplement No. 2-III and in the accompanying
Underlying Supplement, Prospectus and Prospectus Supplement. You should
carefully consider, among other things, the matters set forth in “Risk Factors”
in Product Supplement No. 2-III, which are summarized on page 8 of this Pricing
Supplement. In addition, we urge you to consult with your investment, legal,
accounting, tax and other advisors with respect to any investment in the
Securities.
What
are the Securities?
The Securities are
senior notes issued by us, The Royal Bank of Scotland N.V., and are fully and
unconditionally guaranteed by our parent company, RBS Holdings N.V. The
Securities are linked to performance of the S&P 500® Index
which we refer to as the Underlying Index. The Securities have a maturity of 24
Months. The payment at maturity of the Securities is determined based on the
performance of the Underlying Index, subject to a cap, as described below. Unlike ordinary debt securities, the
Securities do not pay interest. If the index return is less than 0% down to and
including -10%, you will be entitled to receive only the principal amount of
$1,000 per Security at maturity. In such a case, you will receive no return on
your investment and you will not be compensated for any loss in value due to
inflation and other factors relating to the value of money over time. If the
index return is less than -10%, you will suffer a loss and you could lose up to
90% of your initial principal investment. If the index return is 0% or positive
you will receive the maximum redemption at maturity per security of $1,145.00,
which represents a return of 14.50%. If the index return is positive, your
return on the Securities will be equal to the digital return of 14.50%
regardless of how much or how little the value of the Underlying Index may
appreciate above the initial value. The digital return is a fixed amount.
We call it a digital return because the digital return is either payable in full
or it is not payable at all, like a digital switch that is either fully on or
fully off.
Any payment on the
Securities is subject to the creditworthiness (ability to pay) of The Royal Bank
of Scotland N.V. and RBS Holdings N.V. as guarantor.
What
will I receive at maturity of the Securities and how is this amount
calculated?
At maturity you
will receive, for each $1,000 principal amount of Securities, a cash payment
calculated as follows:
(1) If
the index return is 0% or positive, $1,000 plus the digital return;
or
(2) If
the index return is less than 0% down to and including -10%, $1,000;
or
(3) If
the index return is less than -10%, then $1,000 plus (index return + 10%) ×
1,000.
Accordingly,
if the index return is less than -10%, at maturity you will receive less than
the principal amount of $1,000 per Security and you could lose up to 90% of your
initial principal investment. If the index return is 0% or positive, you will
never receive a payment at maturity greater than the maximum redemption at
maturity of $1,145.00 per $1,000 principal amount of Securities.
What
are the index return, the digital return and the maximum redemption at maturity
and how are they calculated?
The index return is
the percentage change in the value of the Underlying Index, over the term of the
Securities, calculated as:
Final Value – Initial
Value
Initial
Value
where,
|
|
·
|
the initial
value is the closing value of the Underlying Index on the pricing date;
and
|
|
|
·
|
the final
value is the closing value of the Underlying Index on the determination
date.
|
3
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
The digital return
is $145 (or 14.50%) per $1,000 principal amount of Securities.
The maximum
redemption at maturity is $1,145.00 per $1,000 principal amount of Securities,
which is equivalent to a return of 14.50% on your initial principal investment.
The digital return is fixed so that regardless of how much or how little the
index return may appreciate above the initial value, you will never receive more
than $1,145.00 per $1,000 principal amount of Securities at maturity. Similarly,
if the final value is equal to the initial value you will receive $1,145.00 per
$1,000 principal amount of Securities at maturity.
Will
I receive interest payments on the Securities?
No. You will not
receive any interest payments on the Securities.
Will
I get my principal back at maturity?
The Securities are
not fully principal protected. Subject to the creditworthiness of The Royal Bank
of Scotland N.V., as the issuer of the Securities, and RBS Holdings N.V., as the
guarantor of the issuer’s obligations under the Securities, you will receive at
maturity at least $100 per $1,000 principal amount of Securities, regardless of
the closing value of the Underlying Index on the Determination Date. If the
index return is less than -10% over the term of the Securities, you will lose
some of your initial principal investment and you could lose as much as 90% of
your initial principal investment.
However, if you
sell the Securities prior to maturity, you will receive the market price for the
Securities, which could be zero. There may be little or no secondary market for
the Securities. Accordingly, you should be willing to hold your securities until
maturity.
Can
you give me examples of the payment at maturity?
Example 1: If, for example, in
a hypothetical offering, the initial value is 840, the final value is 1,000 and
the digital return is $145.00, then the index return would be calculated as
follows:
Final Value – Initial
Value
Initial
Value
or
1000 – 840 =
19.05%
840
In this
hypothetical example, the index return is positive. Therefore, the payment at
maturity will be $1000 plus the digital return of $145.00 or a total payment of
$1,450 per $1,000 principal amount of Securities. In this hypothetical example,
the index return was 19.05% but you would have received a return of 14.50% over
the term of the Securities.
Example 2: If, for example, in
a hypothetical offering, the initial value is 840, the final value is 850 and
the digital return is $145.00, then the index return would be calculated as
follows:
Final Value – Initial
Value
Initial
Value
or
850 – 840 =
1.19%
840
In this
hypothetical example, the index return is positive. Therefore, the payment at
maturity will be $1000 plus the digital return of $145.00 or a total payment of
$1,450 per $1,000 principal amount of Securities.
In this
hypothetical example, the index return was 1.19% but you would have received a
return of 14.50% over the term of the Securities. If the index return is
positive, you will receive the digital return regardless of how much or how
little the index return appreciates over the initial value. Similarly, if the
index return is 0% you will receive the digital return.
4
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
Example 3: If, for example, in
a hypothetical offering, the initial value is 840 and the final value is 798,
then the index return would be calculated as follows:
Final Value – Initial
Value
Initial
Value
or
798 – 840 =
-5.00%
840
In this
hypothetical example, the index return is negative. Since the index return is
less than 0% but more than -10% you would receive, at maturity, the principal
amount of $1,000 per Security.
In this
hypothetical example, the index return was -5.00% and you would not have lost
any of your initial principal investment because the index return was negative
but not less than -10%. In this hypothetical example you would not have received
any return on your initial principal investment and you would not be compensated
for any loss in value due to inflation and other factors relating to the value
of money over time.
Example 4: If, for example, in
a hypothetical offering, the initial value is 840 and the final value is 500,
then the index return would be calculated as follows:
Final Value – Initial
Value
Initial
Value
or
500 – 840 =
-40.48%
840
In
this hypothetical example, the index return is negative and is less than -10%.
Therefore, payment at maturity will be calculated as:
$1,000 + [(index
return + 10%) × $1,000]
or
$1,000 + [(-40.48%
+ 10%) × $1,000] = $695.20
Therefore, in this
hypothetical example, you would receive at maturity a total payment of $695.20
for each $1,000 principal amount of Securities. In this hypothetical example,
the index return was -40.48% but you would have lost 30.48% of your initial
principal investment over the term of the Securities.
These
examples are for illustrative purposes only. It is not possible to predict the
final value of the Underlying Index on the determination date or at any other
time during the term of the Securities. The initial value is subject to
adjustment as set forth in “Description of Securities — Discontinuance of the
Underlying Index; Alteration of Method of Calculation” in the related Product
Supplement.
In this Pricing
Supplement, we have also provided under the heading “Hypothetical Return
Analysis of the Securities at Maturity” the total return of owning the
Securities through maturity for various closing values of the Underlying Index
on the determination date.
Is
there a limit on how much I can earn over the term of the
Securities?
Yes. If the
Securities are held to maturity and the Underlying Index is unchanged or
appreciates, the total amount payable at maturity per Security is capped at
$1,145.00. This means that if the final value is equal to the initial value you
will receive the digital return. If the Underlying Index appreciates, no matter
how much the Underlying Index may appreciate above the initial value, your
return on the Securities will never exceed 14.50%.
5
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
What
is the minimum required purchase?
You may purchase
Securities in minimum denominations of $1,000 or in integral multiples
thereof.
Is
there a secondary market for Securities?
The Securities will
not be listed on any securities exchange. Accordingly, there may be little or no
secondary market for the Securities and, as such, information regarding
independent market pricing for the Securities may be extremely limited. You
should be willing to hold your Securities until the maturity date.
Although it is not
required to do so, we have been informed by our affiliate that when this
offering is complete, it intends to make purchases and sales of the Securities
from time to time in off-exchange transactions. If our affiliate does make such
a market in the Securities, it may stop doing so at any time.
In connection with
any secondary market activity in the Securities, our affiliate may post
indicative prices for the Securities on a designated website or via Bloomberg.
However, our affiliate is not required to post such indicative prices and may
stop doing so at any time. Investors are advised that any prices
shown on any website or Bloomberg page are indicative prices only and, as such,
there can be no assurance that any trade could be executed at such
prices. Investors should contact their brokerage firm for further
information.
In addition, the
issue price of the Securities includes the selling agents’ commissions paid with
respect to the Securities and the cost of hedging our obligations under the
Securities. The cost of hedging includes the profit component that our affiliate
has charged in consideration for assuming the risks inherent in managing the
hedging of the transactions. The fact that the issue price of the Securities
includes these commissions and hedging costs is expected to adversely affect the
secondary market prices of the Securities. See “Risk Factors — The Inclusion of
Commissions and Cost of Hedging in the Issue Price is Likely to Adversely Affect
Secondary Market Prices” and “Use of Proceeds” in the accompanying Product
Supplement No. 2-III.
What
is the relationship between The Royal Bank of Scotland N.V., RBS Holdings N.V.
and RBS Securities Inc.?
RBS
Securities Inc., which we refer to as RBSSI, is an affiliate of The Royal Bank
of Scotland N.V. and RBS Holdings N.V. RBSSI will act as calculation agent for
the Securities, and is acting as agent for this offering. RBSSI will conduct
this offering in compliance with the requirements of NASD Rule 2720 of the
Financial Industry Regulatory Authority, Inc., which is commonly referred to as
FINRA, regarding a FINRA member firm’s distribution of the securities of an
affiliate. See “Risk Factors — Potential Conflicts of Interest between Holders
of Securities and the Calculation Agent” and “Plan of Distribution (Conflicts of
Interest)” in the accompanying Product Supplement No. 2-III.
Tell
me more about The Royal Bank of Scotland N.V. and RBS Holdings N.V.
The Royal Bank of
Scotland N.V. is the new name of ABN AMRO Bank N.V.
RBS Holdings N.V.
is the new name of ABN AMRO Holding N.V.
On February 6, 2010, ABN AMRO Bank N.V.
changed its name to The Royal Bank of Scotland N.V. and on April 1, 2010 ABN AMRO
Holding N.V. changed its name to
RBS Holdings N.V.
The name changes are not changes of the legal entities that will issue and guarantee, respectively,
the Securities referred to
herein, and the name
changes do not affect any
of the terms of the Securities. The Securities will continue to be
issued by The Royal Bank of
Scotland N.V. and to be fully and unconditionally guaranteed by
The Royal Bank of Scotland N.V.’s parent company, RBS Holdings N.V.
While the name “ABN AMRO Bank N.V.”
is used by a separate legal
entity, which is owned by the State of the
Netherlands (the “Dutch
State”), neither the separate legal entity named ABN AMRO Bank N.V. nor the
Dutch State will, in any way, guarantee or otherwise support the obligations
under the Securities.
6
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
The Royal Bank of Scotland N.V.
and RBS Holdings N.V.
are both affiliates of The Royal Bank of Scotland
plc and The Royal Bank of
Scotland Group plc; however, none of The Royal Bank of Scotland
plc, The Royal Bank of Scotland Group plc or
the UK government, in any way,
guarantees or otherwise supports the obligations under the
Securities.
For additional
information, see “The Royal Bank of Scotland N.V. and RBS Holdings N.V.” in the
accompanying prospectus dated April 2, 2010.
What
if I have more questions?
You should read
“Description of Securities” in the accompanying Product Supplement No. 2-III for
a detailed description of the terms of the Securities. RBS N.V. has filed a
registration statement (including a Prospectus and Prospectus Supplement) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the Prospectus and Prospectus Supplement in that registration
statement and other documents RBS N.V. has filed with the SEC for more complete
information about RBS N.V. and the offering of the Securities. You may get these
documents for free by visiting EDGAR on the SEC web site at www.sec.gov.
Alternatively, RBS N.V., any underwriter or any dealer participating in the
offering will arrange to send you the Prospectus and Prospectus Supplement if
you request it by calling toll free (866) 747-4332.
7
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
RISK
FACTORS
You
should carefully consider the risks of the Securities to which this Pricing
Supplement relates and whether these Securities are suited to your particular
circumstances before deciding to purchase them. It is important that prior to
investing in these Securities you read the Underlying Supplement No. 2-IV and
Product Supplement No. 2-III related to such Securities and the accompanying
Prospectus and Prospectus Supplement to understand the actual terms of and the
risks associated with the Securities. In addition, we urge you to consult with
your investment, legal, accounting, tax and other advisors with respect to any
investment in the Securities.
Market
Risk, Capped Return
If the index return
is less than 0% down to -10%, you will be entitled to receive only the principal
amount of $1,000 per Security at maturity. In such a case, you will receive no
return on your investment and you will not be compensated for any loss in value
due to inflation and other factors relating to the value of money over time. If
the index return decreases more than 10%, you could lose up to 90% of your
initial principal investment. If the index return is zero (0%) or positive, your
return will be limited to 14.50% regardless of how much the Underlying Index may
appreciate above its initial value.
Credit
Risk
The Securities are
issued by RBS N.V. and guaranteed by RBS Holdings N.V., RBS N.V.’s parent
company. As a result, investors in the Securities assume the credit risk of RBS
N.V. and that of RBS Holdings N.V. in the event that RBS N.V. defaults on its
obligations under the Securities. This means that if RBS N.V. and RBS
Holdings N.V. fail, become insolvent, or are otherwise unable to pay their
obligations under the Securities, you could lose some or all of your initial
principal investment. Any
obligations or Securities sold, offered, or recommended are not deposits of RBS
N.V. and are not endorsed or guaranteed by any bank or thrift, nor are they
insured by the Federal Deposit Insurance Corporation or any governmental
agency.
Although
We Are a Bank, the Notes Are Not Bank Deposits and Are Not Insured or Guaranteed
by the Federal Deposit Insurance Corporation, The Deposit Insurance Fund or any
Other Government Agency
The Notes are our
obligations but are not bank deposits. In the event of our insolvency
the Notes will rank equally with our other unsecured, unsubordinated obligations
and will not have the benefit of any insurance or guarantee of the Federal
Deposit Insurance Corporation, The Deposit Insurance Fund or any other
governmental agency.
Principal
Risk
Return of principal
on the Securities is only guaranteed up to $100 per $1,000 principal amount of
Securities. Any payment required by the terms of the Securities is subject to
our creditworthiness and the creditworthiness of Holding. If the index return
decreases by more than 10% during the term of the Securities, the amount of cash
paid to you at maturity will be less than the principal amount of the
Securities, subject to a minimum return of $100 per $1,000 principal amount of
Securities.
Liquidity
Risk
The Securities will
not be listed on any securities exchange. Accordingly, there may be little or no
secondary market for the Securities and information regarding independent market
pricing of the Securities may be very limited or non-existent. The value of the
Securities in the secondary market, if any, will be subject to many
unpredictable factors, including then prevailing market conditions.
It is important to note that many
factors will contribute to the secondary market value of the Securities, and you
may not receive your full principal back if the Securities are sold prior to
maturity. Such factors include, but are not limited to, time to maturity,
the level of the Underlying Index, volatility and interest rates.
In addition, the
price, if any, at which our affiliate or another party is willing to purchase
Securities in secondary market transactions will likely be lower than the issue
price, since the issue price included, and secondary market prices are likely to
exclude, commissions, discounts or mark-ups paid with respect to the Securities,
as well as the cost of hedging our obligations under the
Securities.
8
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THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
Holdings
of the Securities by Our Affiliates and Future Sales
Certain of our
affiliates may purchase for investment the portion of the Securities that has
not been purchased by investors in a particular offering of Securities, which
initially they intend to hold for investment purposes. As a result, upon
completion of such an offering, our affiliates may own up to 15% of the
aggregate face amount of the Securities. Circumstances may occur in which our
interests or those of our affiliates could be in conflict with your interests.
For example, our affiliates may attempt to sell the Securities that they had
been holding for investment purposes at the same time that you attempt to sell
your Securities, which could depress the price, if any, at which you can sell
your Securities. Moreover, the liquidity of the market for the Securities, if
any, could be substantially reduced as a result of our affiliates holding the
Securities. In addition, our affiliates could have substantial influence over
any matter subject to consent of the security holders.
Potential
Conflicts of Interest
We and our
affiliates play a variety of roles in connection with the issuance of the
Securities, including acting as calculation agent. In performing these duties,
the economic interests of the calculation agent and other affiliates of ours are
potentially adverse to your interests as an investor in the Securities. While
the Securities are outstanding, we or any of our affiliates may carry out
hedging activities related to the Securities, including in the stocks that
comprise the Underlying Index or instruments related to the Underlying Index. We
or our affiliates may also trade in the stocks that comprise the Underlying
Index or instruments related to the Underlying Index or the stocks that comprise
the Underlying Index from time to time. Any of these activities could affect the
value of the Underlying Index and, therefore, the value of the
Securities.
You
Will Not Receive Interest Payments on the Securities or Have Rights in the
Stocks that Comprise the Underlying Index
You will not
receive any interest payments on the Securities. As an owner of the Securities,
you will not have rights that holders of the stocks that comprise the Underlying
Index have, including the right to vote or receive dividends.
Uncertain
Tax Treatment
You should review
carefully the section of the accompanying Product Supplement entitled “U.S.
Federal Income Tax Consequences.” Although the tax consequences of an investment
in the Securities are uncertain, we believe it is reasonable to treat the
Securities as prepaid financial contracts for U.S. federal income tax purposes.
Based on current law, under this treatment you should not recognize taxable
income prior to the maturity of your Securities, other than pursuant to a sale
or exchange, and your gain or loss on the Securities should be capital gain or
loss, and should be long-term capital gain or loss if you have held the
Securities for more than one year. If, however, the Internal Revenue Service
(the “IRS”) were
successful in asserting an alternative treatment for the Securities, the tax
consequences of the ownership and disposition of the Securities could be
affected materially and adversely. We do not plan to request a ruling from the
IRS, and the IRS or a court might not agree with the tax treatment described in
this Pricing Supplement and the accompanying Product Supplement.
In December 2007,
Treasury and the IRS released a notice requesting comments on various issues
regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments, which may include the Securities. The notice focuses in
particular on whether to require holders of these instruments to accrue income
over the term of their investment. It also asks for comments on a number of
related topics, including the character of income or loss with respect to these
instruments; the relevance of factors such as the nature of the underlying
property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. holders should be
subject to withholding tax; and whether these instruments are or should be
subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income that is
subject to an interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the Securities, possibly with
retroactive effect.
We
do not provide any advice on tax matters. Both U.S. and non-U.S. holders should
consult their tax advisors regarding all aspects of the U.S. federal tax
consequences of investing in the Securities (including possible alternative
treatments and the issues presented by the December 2007 notice), as well as any
tax consequences arising under the laws of any state, local or non-U.S. taxing
jurisdiction.
9
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THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
Recent
Tax Developments
Recently enacted
legislation requires certain individuals who hold “debt or equity interests” in
any “foreign financial institution” that are not “regularly traded on an
established securities market” to report information about such holdings on
their U.S. federal income tax returns, generally for tax years beginning in
2011, unless a regulatory exemption is provided. Prospective
investors should consult their tax advisors regarding this
legislation.
10
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
HYPOTHETICAL
RETURN ANALYSIS OF THE SECURITIES AT MATURITY
The following table
and examples illustrate potential return scenarios on a Security that is held to
maturity by an investor who purchases the Securities on the original issue date.
These examples are based on various assumptions, including hypothetical values
of the Underlying Index, set forth below. We cannot, however, predict the value
of the Underlying Index on the determination date or at any other time in the
future. Therefore, the table and examples set forth below are for illustrative
purposes only and the returns set forth may not be the actual returns applicable
to a holder of the Securities. Moreover, the Underlying Index may not appreciate
or depreciate over the term of the Securities in accordance with any of the
hypothetical examples below, and the size and frequency of any fluctuations in
the value of the Underlying Index over the term of the Securities, which we
refer to as the volatility of the Underlying Index, may be significantly
different than the volatility implied by any of these
examples.
Assumptions
|
Initial
Value:
|
1183.71
|
|
Term
of the Securities:
|
24
Months
|
|
Principal
Amount per Security:
|
$1,000
|
|
Digital
Return:
|
$145.00
|
|
Buffer
Level:
|
10%
|
|
Hypothetical
Final Value
|
Hypothetical
Index
Return(a)
|
Hypothetical
Payment
at Maturity without Digital Return or Buffer(b)
|
Hypothetical
Total
Return on each Security with Digital Return and Buffer
($) (c)
(d) (%)(e)
|
|
|
1600.00
|
35.17%
|
$1,351.68
|
$1,145.00
|
14.50%
|
|
1500.00
|
26.72%
|
$1,267.20
|
$1,145.00
|
14.50%
|
|
1400.00
|
18.27%
|
$1,182.72
|
$1,145.00
|
14.50%
|
|
1380.00
|
16.58%
|
$1,165.83
|
$1,145.00
|
14.50%
|
|
1375.00
|
16.16%
|
$1,161.60
|
$1,145.00
|
14.50%
|
|
1350.00
|
14.05%
|
$1,140.48
|
$1,145.00
|
14.50%
|
|
1280.00
|
8.13%
|
$1,081.35
|
$1,145.00
|
14.50%
|
|
1250.00
|
5.60%
|
$1,056.00
|
$1,145.00
|
14.50%
|
|
1200.00
|
1.38%
|
$1,013.76
|
$1,145.00
|
14.50%
|
|
1183.71
|
0.00%
|
$1,000.00
|
$1,145.00
|
14.50%
|
|
1180.00
|
-0.31%
|
$ 996.87
|
$1,000.00
|
0.00%
|
|
1150.00
|
-2.85%
|
$ 971.52
|
$1,000.00
|
0.00%
|
|
1100.00
|
-7.07%
|
$ 929.28
|
$1,000.00
|
0.00%
|
|
1080.00
|
-8.76%
|
$ 912.39
|
$1,000.00
|
0.00%
|
|
1065.34
|
-10.00%
|
$ 900.00
|
$1,000.00
|
0.00%
|
|
980.00
|
-17.21%
|
$ 827.91
|
$ 927.91
|
-7.21%
|
|
800.00
|
-32.42%
|
$ 675.84
|
$ 775.84
|
-22.42%
|
|
750.00
|
-36.64%
|
$ 633.60
|
$ 733.60
|
-26.64%
|
|
521.00
|
-55.99%
|
$ 440.14
|
$ 540.14
|
-45.99%
|
|
500.00
|
-57.76%
|
$ 422.40
|
$ 522.40
|
-47.76%
|
|
485.00
|
-59.03%
|
$ 409.73
|
$ 509.73
|
-49.03%
|
|
200.00
|
-83.10%
|
$ 168.96
|
$ 268.96
|
-73.10%
|
|
0.00
|
-100.00%
|
$ 0.00
|
$ 100.00
|
-90.00%
|
Please
see footnotes on next page.
11
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
|
(a)
|
The index
return for each $1,000 principal amount of Securities will be equal
to:
|
Final Value – Initial
Value
Initial
Value
where,
|
|
•
|
the initial
value is the closing value of the Underlying Index on the pricing date;
and
|
|
|
•
|
the final
value is the closing value of the Underlying Index on the determination
date.
|
|
(b)
|
This column
shows the cash return you would receive if there were no buffer and no
digital return and your payment at maturity directly reflected the
performance of the Underlying Index. The digital return is $145.00 and the
buffer is 10%.
|
|
(c)
|
At maturity
you will receive, for each $1,000 principal amount of Securities, a cash
payment calculated as follows:
|
|
(1)
|
if the index
return is 0% or positive, $1,000 plus the digital
return;
|
|
(2)
|
if the index
return is less than 0% and down to and including -10%, $1,000;
and
|
|
(3)
|
if the index
return is less than -10%, $1,000 plus [(index return + 10%) x
$1,000].
|
The
Securities are not fully principal protected. If the index return is less than
-10% you could lose up to 90% of your initial principal investment. In addition,
you will never receive a payment at maturity greater than
$1,145.00.
|
(d)
|
The total
return presented is exclusive of any tax consequences of owning the
Securities. You should consult your tax advisor regarding whether owning
the Securities is appropriate for your tax situation. See the sections
titled “Risk Factors” and “Taxation” in this Pricing
Supplement.
|
|
(e)
|
Represents
the percentage total return on each
Security.
|
12
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
THE
UNDERLYING INDEX
The S&P 500® Index
The S&P
500®
Index, which is calculated, maintained and published by Standard & Poor’s, a
Division of The McGraw-Hill Companies, Inc., or S&P, consists of 500
component stocks selected to provide a performance benchmark for the U.S. equity
markets. The calculation of the S&P 500® Index is
based on the relative value of the float adjusted aggregate market
capitalization of the 500 component companies as of a particular time as
compared to the aggregate average market capitalization of the 500 similar
companies during the base period of the years 1941 through 1943. For more
information on the S&P 500® Index,
see the information set forth under “The S&P 500® Index”
in the accompanying Underlying Supplement No. 2-IV.
License
Agreement
S&P has entered
into a non-transferable, non-exclusive license agreement granting us and certain
of our affiliated or subsidiary companies, in exchange for a fee, the right to
use the S&P 500® Index,
which is owned and published by S&P, in connection with certain securities,
including the Securities.
The license
agreement between S&P and us provides that the following language must be
set forth in this Pricing Supplement:
The Securities are
not sponsored, endorsed, sold or promoted by Standard & Poor’s, a division
of The McGraw-Hill Companies, Inc. (“S&P”). S&P makes no representation
or warranty, express or implied, to the owners of the Securities or any member
of the public regarding the advisability of investing in securities generally or
in the Securities particularly or the ability of the S&P 500® Index to
track general stock market performance. S&P’s only relationship to us is the
licensing of certain trademarks and trade names of S&P and of the S&P
500®
Index which is determined, composed and calculated by S&P without regard to
us or the Securities. S&P has no obligation to take our needs or the needs
of the owners of the Securities into consideration in determining, composing or
calculating the S&P 500® Index.
S&P is not responsible for and has not participated in the determination of
the timing of, prices at, or quantities of the Securities to be issued or in the
determination or calculation of the equation through which the Securities are to
be converted into cash. S&P has no obligation or liability in connection
with the administration, marketing or trading of the Securities.
S&P DOES NOT
GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P 500® INDEX OR
ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS,
OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR
IMPLIED, AS TO RESULTS TO BE OBTAINED BY US, OWNERS OF THE SECURITIES, OR ANY
OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500® INDEX OR
ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND
EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A
PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P 500® INDEX OR
ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT
SHALL S&P HAVE ANY LIABILITY FOR ANY INDIRECT, PUNITIVE, SPECIAL OR
CONSEQUENTIAL DAMAGES OR LOSSES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
“Standard &
Poor’s”, “S&P”, S&P 500”, “Standard & Poor’s 500”, and “500” are
trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use to
us. The Securities are not sponsored, endorsed, sold or promoted by Standard
& Poor’s and Standard & Poor’s makes no representation regarding the
advisability of investing in the Securities.
13
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
HISTORICAL
INFORMATION
The following table
sets forth the value of the S&P 500®
Index at the end of each month in the period from January 2005 through April 27,
2010. These historical values for the S&P 500®
Index are not indicative of the future performance of the S&P 500®
Index or what the value of the Securities will be. Any historical upward or
downward trend in the value of the S&P®
500 Index during any period set forth below is not an indication that the
S&P 500®
Index is more or less likely to increase or decrease at any time during the term
of the Securities.
You cannot predict the future
performance of the Securities or the S&P 500® Index based on the historical
performance of the S&P 500® Index. Neither we nor
Holdings can guarantee that the value of the S&P 500®
Index will increase.
|
2005
|
2006
|
2007
|
2008
|
2009
|
2010
|
|
|
January
|
1181.27
|
1280.08
|
1438.24
|
1378.55
|
825.88
|
1073.87
|
|
February
|
1203.6
|
1280.66
|
1406.82
|
1330.63
|
735.09
|
1104.49
|
|
March
|
1180.59
|
1294.83
|
1420.86
|
1322.7
|
797.87
|
1169.43
|
|
April
|
1156.85
|
1310.61
|
1482.37
|
1385.59
|
872.81
|
1183.71*
|
|
May
|
1191.5
|
1270.09
|
1530.62
|
1400.38
|
919.14
|
|
|
June
|
1191.33
|
1270.2
|
1503.35
|
1280
|
919.32
|
|
|
July
|
1234.18
|
1276.66
|
1455.27
|
1267.38
|
987.48
|
|
|
August
|
1220.33
|
1303.82
|
1473.99
|
1282.83
|
1020.62
|
|
|
September
|
1228.81
|
1335.85
|
1526.75
|
1166.36
|
1057.08
|
|
|
October
|
1207.01
|
1377.94
|
1549.38
|
968.75
|
1036.19
|
|
|
November
|
1249.48
|
1400.63
|
1481.14
|
896.24
|
1095.63
|
|
|
December
|
1248.29
|
1418.3
|
1468.36
|
903.25
|
1115.1
|
*
Through April 27, 2010
14
|
THE ROYAL BANK OF SCOTLAND
N.V.
|
|
Digital Buffer
Securities
|
PLAN
OF DISTRIBUTION (CONFLICTS OF INTEREST)
We have appointed
RBS Securities Inc. (“RBSSI”) as agent for this offering. RBSSI has agreed to
use reasonable efforts to solicit offers to purchase the Securities. We will pay
RBSSI, in connection with sales of the Securities resulting from a solicitation
such agent made or an offer to purchase such agent received, a commission of
2.75% of the initial offering price of the Securities. RBSSI has informed us
that, as part of its distribution of the Securities, it intends to reoffer the
Securities to other dealers who will sell the Securities. Each such dealer
engaged by RBSSI, or further engaged by a dealer to whom RBSSI reoffers the
Securities, will purchase the Securities at an agreed discount to the initial
offering price of the Securities. RBSSI has informed us that such discounts may
vary from dealer to dealer and that not all dealers will purchase or repurchase
the Securities at the same discount. You can find a general description of the
commission rates payable to the agents under “Plan of Distribution” in the
accompanying Product Supplement No. 2-III.
RBSSI is an
affiliate of ours and RBS Holdings N.V. RBSSI will conduct this offering in
compliance with the requirements of NASD Rule 2720 of the Financial Industry
Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a
FINRA member firm’s distributing the securities of an affiliate. Following the
initial distribution of any of these Securities, RBSSI may offer and sell those
Securities in the course of its business as a broker-dealer. RBSSI may act as
principal or agent in those transactions and will make any sales at varying
prices related to prevailing market prices at the time of sale or otherwise.
RBSSI may use this Pricing Supplement and the accompanying Prospectus,
Prospectus Supplement, Product Supplement No. 2-III and Underlying Supplement
No. 2-IV in connection with any of those transactions. RBSSI is not obligated to
make a market in any of these Securities and may discontinue any market-making
activities at any time without notice.
RBSSI or an
affiliate of RBSSI will enter into one or more hedging transactions with us in
connection with this offering of Securities. See “Use of Proceeds” in the
accompanying Product Supplement No. 2-III.
To the extent that
the total aggregate face amount of the Securities being offered by this Pricing
Supplement is not purchased by investors in the offering, one or more of our
affiliates has agreed to purchase the unsold portion, and to hold such
Securities for investment purposes. See “Holdings of the Securities by our
Affiliates and Future Sales” under the heading “Risk Factors” in this Pricing
Supplement.
15