By Jennifer Chiou
New York, Dec. 12 - Royal Bank of Scotland NV has issued a total of $43,875,000 of 0% RBS Gold Trendpilot exchange-traded notes due Feb. 15, 2041 linked to the RBS Gold Trendpilot index as of March 22, according to a 424B5 filing with the Securities and Exchange Commission.
RBS registered to sell up to $100 million of the notes and issued $4 million of the notes on Feb. 23, 2011, the initial settlement date. Since then, RBS has issued another $39,875,000 of the notes and plans to sell the remainder from time to time at varying prices.
Between the initial tranche and March 23, the issue had priced an additional $18,125,000 of the notes. Another $21.75 million priced since the end of March.
The notes have a face amount of $25 each.
The index provides exposure to either the price of gold bullion or the cash rate, which is defined as the yield on a hypothetical notional investment in three-month U.S. Treasury bills.
If the price of gold bullion is at or above its historical 200-index-business-day simple moving average for five consecutive business days, the index will track the return on the price of gold bullion with no exposure to the cash rate until a negative trend occurs.
On the other hand, if the price of gold bullion is below the simple moving average for five consecutive business days, the index will then track the cash rate instead of the price of gold bullion and will have no exposure to the price of gold bullion until the next positive trend.
On the initial pricing date of the ETNs, the index tracked the price of gold bullion.'
The payout at maturity or upon redemption will be the daily redemption value on the valuation date.
The daily redemption value on the initial pricing date was $25. On each subsequent day, it is equal to the daily redemption value on the preceding day multiplied by the index factor - the index closing level on that day divided by the index closing level on the previous day - and minus the investor fee, which is 1% per year when the index is tracking the price of gold bullion and 0.5% per year when it is tracking the cash rate.
The notes are callable and putable. Holders who wish to exercise the put option must put back at least 20,000 notes.
The notes are listed on NYSE Arca, Inc. under the symbol "TBAR."
RBS Securities Inc. is the agent. Pacer Financial, Inc. is marketing the notes. Both will receive a portion of the investor fee.
| Issuer: | Royal Bank of Scotland NV
|
| Issue: | RBS Gold Trendpilot exchange-traded notes
|
| Underlying index: | RBS Gold Trendpilot index
|
| Total amount: | $43,875,000
|
| Maturity: | Feb. 15, 2041
|
| Coupon: | 0%
|
| Price: | Par of $25
|
| Payout at maturity: | Cash amount equal to daily redemption value, which on any day equals the daily redemption value on the preceding day multiplied by the index factor and minus the investor fee
|
| Call option: | At any time
|
| Put option: | At any time, subject to a minimum of 20,000 notes
|
| Pricing date: | Feb. 17 for $4 million
|
| Settlement date: | Feb. 23 for $4 million
|
| Agent: | RBS Securities Inc.
|
| Listing: | NYSE Arca: TBAR
|
| Cusip: | 78009L407
|
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