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Historical Performance and Standard Deviation (%) -- as of 9/30/2011
1-MONTH 3-MONTH YEAR-TO- SINCE RBS ETN INCEPTION STD. DEVIATION ANNUALIZED SINCE
(%) (%) DATE (%) (2/17/11) (%) INCEPTION (%)(3)
--------------------------------------------------- ------- ------- -------- ----------------------- -------------------------------
RBS Gold Trendpilot[TM] ETN Daily Redemption Value(1) -10.74 7.33 -- 16.75 --
RBS Gold Trendpilot[TM] Index(2) -10.67 7.61 -- 17.48 21.94
Price of Gold Bullion -10.67 7.61 -- 17.48 21.94
Cash rate on 9/30/11 was 0.020% -- -- -- -- --
The chart above presents the actual performance of the Index, the RBS ETNs, and
the Price of Gold Bullion over the specified periods. Past performance does not
guarantee future results. For information regarding the performance of the
Index, see pages PS-33 to PS-36 of the pricing supplement to the RBS ETNs filed
with the U.S. Securities and Exchange Commission (SEC).
(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 Price of Gold Bullion, and (ii) 0.50% per annum when the
Index is tracking the Cash Rate. (2) Since the inception date of the RBS ETNs,
the Index has tracked the Price of Gold Bullion and has remained in a positive
trend, without any trend reversal. Consequently, the historical performance of
the Index over the time periods specified above is identical to the Price of
Gold Bullion. In a negative trending market the Index trend is expected to
switch from positive to negative, and the Index is expected to experience trend
reversals in volatile markets, switching from a positive to negative or from
negative to positive, as the case may be. The Index performance will not always
be the same as the Price of Gold Bullion, could underperform the Price of Gold
Bullion, and may track the Cash Rate for extended periods of time in a low
interest rate environment. Does not include any fees, transaction costs or
expenses. (3) 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).
Gold Bullion Performance
[GRAPHIC OMITTED]
1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987
--------------------- ------ ----- ----- ------ ------ ------ ----- ------ ------ ------ ----- -----
Price of Gold Bullion 4.10 22.64 37.01 126.55 15.19 -32.60 14.94 -16.31 -19.38 6.00 18.96 24.53
Cash Rate (Year-End) 4.30% 6.15% 9.34% 12.07% 14.99% 11.04% 7.98% 8.94% 7.75% 7.02% 5.49% 5.96%
1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999
--------------------- ------ ----- ----- ------ ------ ------ ----- ------ ------ ------ ----- -----
Price of Gold Bullion -15.26 -2.84 -3.11 -8.56 -5.73 17.68 -2.17 0.98 -4.59 -21.41 -0.83 0.85
Cash Rate (Year-End) 8.22% 7.77% 6.53% 3.91% 3.24% 3.06% 5.57% 4.91% 5.08% 5.43% 4.52% 5.30%
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
--------------------- ------ ----- ----- ------ ------ ------ ----- ------ ------ ------ -----
Price of Gold Bullion -5.44 0.75 25.57 19.89 4.65 17.77 23.20 31.92 4.32 25.04 29.24
Cash Rate (Year-End) 5.70% 1.71% 1.19% 0.89% 2.23% 3.91% 4.88% 3.31% 0.05% 0.11% 0.18%
The table above does not reflect any Trendpilot[TM] Index performance. The
Trendpilot[TM] Index performance is not the same as the performance of the Price
of Gold Bullion. The Trendpilot[TM] Index may underperform the Price of Gold
Bullion over various time periods, and may track the Cash Rate for extended
periods of time in a low interest rate environment.
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
are not principal protected 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 each 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 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 (S and P) to maintain and calculate the Index. S and P shall have
no liability for any errors or omissions in calculating the Index. "Standard and
Poor's([R])" and "S and P([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] 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.
www.rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS | Not FDIC Insured. May Lose Value.
Dated October 4, 2011
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