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

By Susanna Moon

Chicago, Oct. 25 - Royal Bank of Scotland NV plans to price callable capped CMS steepener notes due Nov. 16, 2030 based on the 10-year Constant Maturity Swap rate and two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon is 10% for the first year. After that, the rate will be four times the spread between the 10-year CMS rate and the two-year CMS rate minus 25 basis points, up to a cap of 10%. Interest is payable quarterly and cannot be less than zero.

The notes are callable at par plus accrued interest beginning Nov. 16, 2011.

The payout at maturity will be par.

The notes (Cusip 78009KNQ1) will price on Nov. 10 and settle on Nov. 16.

RBS Securities Inc. is the underwriter.

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