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Filed pursuant to Rule 433 | Registration Statement Nos. 333-162193 and
333-162193-01
RBS US Mid Cap Trendpilot(TM) ETN (TRNM)
RBS Exchange Traded Notes
RBS ETN Details
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Issuer The Royal Bank of Scotland N.V.
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Guarantor RBS Holdings N.V.
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Ticker TRNM
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Intraday TRNM.IV
Indicative Value
Ticker
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CUSIP 78009L209
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ISIN US78009L2097
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Primary NYSE Arca
Exchange
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Maturity 1/25/2041
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Index RBS US Mid Cap Trendpilot[]
Index (USD) TR (Bloomberg
symbol: "TPMCUT Index"),
which tracks the Benchmark
Index or the Cash Rate
depending on the relative
performance of the Benchmark
Index on a simple historical
moving average basis
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Benchmark S and P MidCap 400([R]) Total Return
Index Index (Bloomberg symbol:
"SPTRMDCP Index")
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Cash Rate Yield on a hypothetical notional
investment in 3-month U.S.
Treasury bills (Bloomberg page:
"USB3MTA Index")
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Annual Investor When the Index is tracking the
Fee Benchmark Index: 1.00% per
(accrued on a annum
daily basis) When the Index is tracking the
Cash Rate: 0.50% per annum
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Repurchase at You may offer your RBS ETNs
your option to RBS NV for repurchase on
any business day on or prior to
1/16/2041, provided that you offer
a minimum of 20,000 RBS ETNs
for any single repurchase and
follow the procedures described
in the pricing supplement
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Early We may redeem all of the RBS
redemption at ETNs at our discretion at any time
our option on or prior to 1/23/2041
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Daily Upon early repurchase or
Redemption redemption or at maturity, you will
Value receive a cash payment equal to
the daily redemption value per
RBS ETN. The daily redemption
value on the relevant valuation
date will be published on
www.rbs.com/etnUS/TRNM*
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* Information contained on our website is not incorporated by reference in, and
should not be considered a part of, this document.
The RBS US Mid Cap Trendpilot([]) Exchange Traded Notes (RBS ETNs) are
unsecured and unsubordinated obligations of The Royal Bank of Scotland N.V.
(RBS NV), and are fully and unconditionally guaranteed by RBS Holdings N.V.
(RBS Holdings).
RBS ETNs track the RBS US Mid Cap Trendpilot([]) Index (USD) TR (the "Index").
The Index utilizes a systematic trend-following strategy to provide exposure to
either the S and P MidCap 400([R]) Total Return Index (the "Benchmark Index") or
the yield on a hypothetical notional investment in 3-month U.S. Treasury bills
(the "Cash Rate"). The Index is designed to provide exposure to the Benchmark
Index in positive trending markets and exposure to the Cash Rate in negative
trending markets using an objective and transparent methodology.
RBS US MID CAP TRENDPILOT(TM) INDEX METHODOLOGY
If the closing level of the SPTRMDCP Index is at or above its historical
200-business day simple moving average for []ve consecutive business days
If the closing level of the SPTRMDCP Index is below its historical 200-business
day simple moving average for []ve consecutive business days
A positive trend is established: The Index will track the Benchmark Index
A negative trend is established: The Index will track the Cash Rate
If neither of the above conditions is satisfied, the trend of the Index will be
the same as the trend of the Index on the immediately preceeding Index business
day. The Index will implement any trend reversal at the open of trading on the
second Index business day immediately following the Index business day on which
the Index trend switches from positive to negative or from negative to
positive, as the case may be.
HISTORICAL PERFORMANCE (%)
SINCE RBS ETN
INCEPTION
1-MONTH (%) YEAR-TO-DATE (%) (1/25/11) (%)
-------------------------------------- ----------- ---------------- --------------
RBS US MidCap Trendpilot[] ETN Daily 2.36 - 7.25
Redemption Value(1)
RBS US MidCap Trendpilot(TM) Index(2) 2.45 - 7.42
S and P MidCap 400([R]) Total Return Index
(Benchmark Index) 2.45 - 7.42
S and P 400([R]) Index (Price Return) 2.32 - 7.13
Cash rate on 3/31/11 0.10 - -
The chart 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 speci[]ed periods. For information regarding the
performance of the Trendpilot Index, see pages PS-33 to PS-35 of the pricing
supplement to the RBS ETNs []led with the U.S. Securities and Exchange
Commission (SEC).
(1) Includes 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) Since the inception date of the RBS ETNs, the Index has tracked the
Benchmark Index and has remained in a positive trend, without any trend
reversal. Consequently, the historical performance of the Index over the time
periods speci[]ed above is identical to the Benchmark Index. 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
Benchmark Index, could underperform the Benchmark Index, 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.
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