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Published on 2/24/2011 in the Prospect News Structured Products Daily.

New Issue: RBS prices $1 million two-year digital buffer securities on S&P 500

By Susanna Moon

Chicago, Feb. 24 - Royal Bank of Scotland NV priced $1 million of 0% digital buffer securities due Feb. 28, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus a digital return of 9.75% if the index gains or remains flat.

Investors will receive par if the index falls by up to 20% and will be exposed to any decline beyond 20%.

RBS Securities Inc. is the lead agent.

Issuer:Royal Bank of Scotland NV
Issue:Digital buffer securities
Underlying index:S&P 500
Amount:$1 million
Maturity:Feb. 28, 2013
Coupon:0%
Price:Par
Payout at maturity:Par plus 9.75% if index finishes at or above initial level; exposure to losses beyond 20%
Initial level:1,307.4
Pricing date:Feb. 23
Settlement date:Feb. 28
Lead agent:RBS Securities Inc.
Fees:2.45%
Cusip:78009KQY1

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