RBS Sells Structured Note Tied to Record-Low Two-Year Swaps

Royal Bank of Scotland Group Plc sold the largest structured note to pay coupons based on two-year interest rate swaps in 20 months as the measure dropped to the lowest point since at least 1999.

Britain’s biggest state-owned lender issued 43 million euros ($55.6 million) of 5.5-year notes on Dec. 7 that pay yields based on the cost of exchanging a series of fixed cash flows denominated in euros for floating-rate payments in the same currency, according to data compiled by Bloomberg.

Investors receive the swap rate, with a floor of 1.9 percent and a cap of 5 percent. The measure fell to 0.309 on Dec. 10, the least since at least 1999, Bloomberg data show.

Only two other notes have been sold this year tied to the two-year rate in euros, a 5 million euro security from Intesa Sanpaolo SpA issued Oct. 4 and a 500,000 euro issue from HSH Nordbank AG sold May 30, Bloomberg data show.

RBS’s note is the largest tied to the rate since Germany’s Landesbank Hessen-Thueringen Girozentrale issued a 100 million-euro security April 26, 2011, that pays the two-year swap rate, with a floor of 3.25 percent, Bloomberg data show.

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