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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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Source: Bloomberg. The graph above illustrates the retrospectively calculated
annual return of the Index and the historical annual return of the SandP 500([R])
Total Return Index for each calendar year from 2001--2009 and from
1/1/10--10/29/10 for 2010.
COMPARISON OF CUMULATIVE 10-YEAR ANNUALIZED RETURNS
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Source: Bloomberg. 10-Year Annualized Returns in the graph above is derived by
taking the cumulative return of the Index and the SandP 500([R]) Total Return
Index, as applicable, over 10-calendar year periods (from 12/31 of the tenth
year prior and ending on 12/31 of the year presented), divided by ten.
Information for 2010 is based on a ten-year cumulative return from
10/31/01--10/29/10, divided by ten. 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.
RISK TO RETURN (10/31/00-10/29/10)
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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.
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
RBS US Large Cap 4.84 2.79 7.11 6.60
Trendpilot(TM) Index
SandP 500([R]) Total 16.52 -6.49 1.73 -0.02
Return Index
SandP 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 %
RBS US Large Cap -17.27 9.78
Trendpilot(TM) Index
SandP 500([R]) Total -55.25 18.14
Return Index
SandP 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 (SandP) to maintain and calculate the Index. The SandP 500([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 500([R])" are registered trademarks of
SandP. "Calculated by 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] 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.
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Dated December 7, 2010
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS page 2 of 2
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