RBS plans to price annual reset coupon securities linked to S&P 500

By Marisa Wong

Madison, Wis., July 30 - Royal Bank of Scotland NV plans to price annual reset coupon securities due Aug. 31, 2015 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable in August of each year. For each observation period, if the index return is zero or positive, the coupon will be 8.5%. Otherwise, the coupon will be 1%. For each interest period, the initial index level used to calculate the return will be the index's level one year prior to the coupon payment date.

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 beyond the buffer.

The notes (Cusip: 78009KLH3) will price on Aug. 26 and settle on Aug. 31.

RBS Securities Inc. is the agent.

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