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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 presented below was
retrospectively calculated as if the Index had been in existence during those
periods. All prices of gold bullion 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 price of
gold bullion for each calendar year from 1980-2010.
RISK TO RETURN (12/31/00-12/31/10)
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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 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 10-YEAR ANNUALIZED RETURNS
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Source: Bloomberg. Cumulative 10-Year Annualized Returns in the graph above
illustrates the geometric average annualized return of the Index and the price
of gold bullion, as applicable, based on the cumulative return of the Index and
the prices of gold bullion over ten-year periods (from 12/31 of the tenth 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 10-year period, compounded
annually, resulting in the cumulative return of the Index and the prices of gold
bullion, as applicable, 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.
RETURNS (AS OF 12/31/10)
1-YEAR 3-YEAR 5-YEAR 10-YEAR
RETURN RETURN % RETURN % RETURN %
% ANNUALIZED ANNUALIZED ANNUALIZED
RBS Gold Trendpilot(TM) 29.24 15.73 18.31 12.87
Index
Price of Gold Bullion 29.24 19.01 22.33 17.74
STANDARD DEVIATION* AND MAXIMUM DRAWDOWN** (AS OF 12/31/10)
5 YEAR MAXIMUM 5 YEAR STANDARD
DRAWDOWN % DEVIATION ANNUALIZED %
RBS Gold Trendpilot(TM) Index -21.79 16.43
Price of Gold Bullion -29.54 19.37
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.
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 price of gold bullion, 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 Gold 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. SandP shall have no
liability for any errors or omissions in calculating the Index. "Standard and
Poor's([R])" and "SandP([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] 2011 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 February 18, 2011
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS page 2 of 2
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