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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 (%) (1/25/11) (%) INCEPTION (%)(2)
--------------------------------------------------------- ------- ------- -------- -----------------------
-------------------------------
RBS US Mid Cap Trendpilot[] ETN Daily Redemption Value(1) -0.04 -15.80 -- -10.59 --
RBS US Mid Cap Trendpilot(TM) Index 0.00 -15.65 -- -10.05 20.83
S and P MidCap 400([R]) Total Return Index (Benchmark Index) -10.59 -19.89 -- -14.56 27.95
S and P MidCap 400([R]) Index (Price Only) -10.71 -20.17 -- -15.38 27.93
Cash rate on 9/30/11 was 0.020% -- -- -- -- --
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 speci[]ed periods. Past performance does not
guarantee future results. For information regarding the performance of the
Index, see pages PS-32 to PS-35 of the pricing supplement to the RBS ETNs []led
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 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
[GRAPHIC OMITTED]
S and P MidCap 400([R]) 1-Year Annual Return Comparison (%)(1)
---------------------------------------------------------- ----- ------ ----- ----- -----
2000 2001 2002 2003 2004 2005
--------------------------------------- ------------------ ----- ------ ----- ----- -----
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
--------------------------------------- ------------------ ----- ------ ----- -----
S and P MidCap 400([R]) Total Return Index 10.32 7.98 -36.23 37.38 26.64
S and P MidCap 400([R]) Index (Price Only) 8.99 6.69 -37.28 35.00 24.85
Cash Rate (Year-End) 4.88 3.31 0.05 0.11 0.18
(1) The table above does not re[]ect any Trendpilot[] Index performance. The
Trendpilot[] Index performance is not the same as the S and P MidCap 400([R]) Index
performance. The Trendpilot[] 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 each []led 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 []led 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 Mid Cap Trendpilot[] 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 af[]liates 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] 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 af[]liate 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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