Nomura Holdings Inc. (8604) sold $10 million of 20-year securities tied to constant-maturity swap rates, the bank’s first U.S. structured note offering in 29 months.
The notes yield four times the difference between the 30-and two-year swap rates, with returns capped at 10 percent annually, according to a prospectus filed Dec. 30 with the U.S. Securities and Exchange Commission. The bank, which distributed the securities for a 4.25 percent fee, estimated their initial value at 87 cents on the dollar.
Nomura, which sold the notes on Dec. 23, had last issued two $1 million callable step-up bonds, with eight- and 20-year maturities, on July 14, 2011, according to data compiled by Bloomberg. Both were redeemed by the bank on July 19, 2012. The longer-dated note would have yielded 6 percent for the first 10 years, according to a prospectus filed with the SEC.
Sales of securities tied to the swap rates, which typically exchange floating and fixed payments for set tenors, have more than tripled in 2013 to $934.3 million, Bloomberg data show. Most of the notes issued this year perform the best when the difference between long- and short-term swaps rise and so are known as “steepeners.”
Jonathan Hodgkinson, a spokesman for the bank in New York, declined to comment.
Banks create structured notes by packaging debt with derivatives to offer customized bets to retail investors while earning fees and raising money. Derivatives are contracts with values derived from stocks, bonds, commodities and currencies, or events such as changes in interest rates or the weather.
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