Van Lanschot Sells First Structured Notes Tied to 8-Year Swaps

Van Lanschot NV sold the first structured notes to pay coupons based on eight-year constant-maturity swap rates in euros in at least 13 years.

The oldest independent Dutch bank issued 6.5 million euros ($8.6 million) of securities in five offerings since Nov. 11 that pay yields based on the rates, benchmarks that measure the cost of exchanging floating and fixed interest payments through the swaps market, according to data compiled by Bloomberg. The notes are the first to reference euro swaps of an eight-year maturity in Bloomberg data that go back to 1999.

Van Lanschot’s latest note was a 1.5 million euro three-year security issued on Jan. 1 that pays a fixed rate of 2.15 percent for two years before switching to the swap rate.

“The investors wanted to profit from rising interest rates and expect eight-year rates to be attractive in the coming years,” said Florian Hillen, Amsterdam-based head of structured products at Kempen & Co. NV, Van Lanschot’s asset management, brokerage and corporate finance unit.

Securities linked to constant-maturity swap rates allow investors to bet on the future direction of interest rates. The euro eight-year swap rate is 1.41 percent, Bloomberg data show. The measure fell to 1.27 percent on Dec. 10, the least since at least 1999.

The notes were bought by European private banks, said Hillen.

Four of last year’s five largest structured notes tied to constant maturity swaps in euros, totaling $992.1 million, were linked to the 10-year rate.

Before it's here, it's on the Bloomberg Terminal.