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RBS to price annual reset coupon securities linked to S&P 500 index
By Marisa Wong
Madison, Wis., Nov. 3 - Royal Bank of Scotland NV plans to price annual reset coupon securities due Nov. 30, 2015 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
Interest will be payable annually. If the index return on the relevant observation date is zero or positive, the coupon will be 6.75% for that year. Otherwise, the coupon will be 2%. For each interest period, the initial index level used to calculate the return will be the index's level approximately one year prior to the coupon payment date.
The observation dates will be Nov. 23, 2011, Nov. 23, 2012, Nov. 23, 2013, Nov. 23, 2014 and Nov. 23, 2015.
The payout at maturity will be par unless the final index level is less than 80% of the initial index level, in which case investors will lose 1% for every 1% decline below the buffer.
The notes (Cusip: 78009KNT5) are expected to price Nov. 23 and settle Nov. 30.
RBS Securities Inc. is the agent.
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