By Angela McDaniels
Tacoma, Wash., March 23 - Royal Bank of Scotland NV had issued $34.25 million of its 0% RBS US Mid Cap Trendpilot exchange-traded notes as of March 22, according to a 424B5 filing with the Securities and Exchange Commission.
The notes mature on Jan. 25, 2041 and are linked to the RBS US Mid Cap Trendpilot index.
On Jan. 25, 2011, the issuer registered to sell up to $100 million of the notes. It priced $4 million of notes at the time and said the remainder would be sold from time to time at varying prices.
The notes have a face amount of $25 each.
The notes are callable and putable. Holders who wish to exercise the put option must put back at least 20,000 notes.
The payout at maturity or upon redemption will be the daily redemption value on the valuation date.
The daily redemption value on the inception date was $25. On each subsequent day, it equals 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 S&P 400 Total Return index and 0.5% per year when it is tracking the cash rate.
The index provides exposure to either the S&P 400 Total Return or the cash rate, which is defined as the yield on a hypothetical notional investment in three-month Treasury bills.
If the level of the S&P 400 Total Return is at or above its historical 200-index-business-day simple moving average for five consecutive business days, the index will track the S&P 400 Total Return with no exposure to the cash rate until a negative trend occurs.
If the level of the S&P 400 Total Return is below the simple moving average for five consecutive business days, the index will then track the cash rate instead of the S&P 400 Total Return and will have no exposure to the equity benchmark until the next positive trend.
The notes are listed on NYSE Arca, Inc. under the symbol "TRNM."
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 US Mid Cap Trendpilot exchange-traded notes
|
| Underlying index: | RBS US Mid Cap Trendpilot index
|
| Amount: | $34.25 million, increased from $4 million
|
| Maturity: | Jan. 25, 2041
|
| Coupon: | 0%
|
| Face value: | $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
|
| Inception date: | Jan. 25, 2011
|
| Settlement date: | Jan. 28, 2011 (for initial $4 million)
|
| Agent: | RBS Securities Inc.
|
| Listing: | NYSE Arca: TRNM
|
| Cusip: | 78009L209
|
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