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Historical Performance and Standard Deviation (%) -- as of 12/31/2011
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1-MONTH 3-MONTH 1-YEAR SINCE RBS ETN INCEPTION STD. DEVIATION ANNUALIZED SINCE
(%) (%) (%) (1/25/11) (%) INCEPTION (%)(2)
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RBS US Mid Cap Trendpilot[tm] ETN Daily Redemption Value(1) -0.04 -0.12 -- -10.70 18.58
RBS US Mid Cap Trendpilot(TM) Index 0.00 0.00 -- -10.04 17.87
S and P MidCap 400([R]) Total Return Index (Benchmark Index) -0.37 12.98 -- -3.47 29.83
S and P MidCap 400([R]) Index (Price Return) -0.52 12.53 -- -4.78 29.83
Cash rate on 12/31/11 was 0.025% -- -- -- -- --
The table above presents the actual performance of the Index, the RBS ETNs, the
S and P 400([R]) Total Return Index (the Benchmark Index) and the S and P
400([R]) Index (Price Return) over the specified periods. For information
regarding the performance of the Index, see pages PS-32 to PS-35 of the pricing
supplement to the RBS ETNs filed with the U.S. Securities and Exchange
Commission (SEC). Past performance does not guarantee future results.
(1) Includes the deduction of the annual investor fee, which accrues on a daily
basis. The annual investor fee will be equal to (i) 1.00% per annum when the
Index is tracking the Benchmark Index, and (ii) 0.50% per annum when the Index
is tracking the Cash Rate. (2) Based on daily returns. Standard deviation is a
measure of volatility and illustrates the extent of variation (whether higher or
lower) that exists from the average 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).
S and P MidCap 400([R]) Index Performance -- as of 12/31/2011
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The graph to the left is the historical performance of the S and P MidCap
400([R]) Total Return Index, S and P MidCap 400([R]) Index (Price Only) and the
S and P MidCap 400([R]) Total Return Index 200-Index business day simple moving
average. This illustration does not reflect any historical Trendpilot Index
performance.
S and P MidCap 400([R]) 1-Year Annual Return Comparison (%)(1)
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2000 2001 2002 2003 2004 2005
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S and P MidCap 400([R]) Total Return Index 17.51 -0.60 -14.51 35.62 16.48 12.56
S and P MidCap 400([R]) Index (Price Only) 16.21 -1.64 -15.44 34.02 15.16 11.27
Cash Rate (Year-End) 5.70 1.71 1.19 0.89 2.23 3.91
2006 2007 2008 2009 2010 2011
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S and P MidCap 400([R]) Total Return Index 10.32 7.98 -36.23 37.38 26.64 -1.73
S and P MidCap 400([R]) Index (Price Only) 8.99 6.69 -37.28 35.00 24.85 -3.10
Cash Rate (Year-End) 4.88 3.31 0.05 0.11 0.18 0.03
(1) The table above does not reflect any Trendpilot[tm] Index performance. The
Trendpilot[tm] Index performance is not the same as the S and P MidCap 400([R]) Index
performance. The Trendpilot[tm] Index may underperform the S and P MidCap 400([R])
Index over various time periods, and may track the Cash Rate for extended
periods of time in a low interest rate envionment.
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
suf[]cient 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 are not
principal proteced and 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 the 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 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 (S and P) to maintain and calculate the Index. The S and
P MidCap 400([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 MidCap 400([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 af[]liates. The RBS ETNs are not sponsored, endorsed, sold
or promoted by S and P or its af[]liates, and neither S and P nor its af[]liates
make any representation regarding the advisability of investing in the RBS ETNs.
Copyright[C] 2012 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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www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS | Not FDIC Insured. May Lose
Value.
Dated January 11, 2012
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