RBS plans 20-year callable capped steepener notes linked to CMS rates

By Susanna Moon

Chicago, Feb. 3 - Royal Bank of Scotland NV plans to price callable capped CMS steepener notes due February 2031 based on the 30-year and two-year Constant Maturity Swap rates, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon is 12% for the first year. After that, the rate will be four times the spread between the 30-year CMS rate and the two-year CMS rate minus 50 basis points, up to a cap of 12%. Interest is payable quarterly and cannot be less than zero.

The notes are callable at par plus accrued interest on any interest payment date beginning Feb. 25, 2012.

The payout at maturity will be par.

The notes (Cusip: 78009KQW5) will price on Feb. 22 and settle on Feb. 25.

RBS Securities Inc. is the underwriter.

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