Merrill Lynch to sell Capped Leveraged Index Return Notes linked to S&P 500 for Svensk

By Angela McDaniels

Tacoma, Wash., Jan. 8 - AB Svensk Exportkredit plans to price 0% two-year Capped Leveraged Index Return Notes linked to the S&P 500 index via Merrill Lynch & Co. and First Republic Securities Co., LLC, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus triple any index gain, subject to a maximum return that is expected to be 20% to 24% and will be set at pricing. Investors will receive par if the index declines by 10% or less and will lose 1% for every 1% that the index declines beyond 10%.

The initial index level will equal the closing level of the index on the pricing date unless the index closes at or below the barrier value - 85% of the initial level - on any day during the following two months, in which case the initial level will be reset to equal the barrier value.

The notes will price in January or February.

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