Svensk Exportkredit plans 0% notes linked to S&P 500, Russell 2000

By Angela McDaniels

Seattle, Sept. 14 - AB Svensk Exportkredit plans to price an issue of 0% enhanced outperformance notes linked to the S&P 500 and Russell 2000 indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature two years after the issue date, which will be sometime in September.

Payout at maturity will be based on the performance of the indexes, with the S&P 500 as the long index and the Russell 2000 as the short index. If the percentage increase of the long index exceeds that of the short index, holders will receive par plus triple the percentage by which the long index outperformed the short index. The total return will be capped at between 36% and 40.5%, with the exact cap to be determined at pricing.

If, however, the percentage increase of the short index exceeds that of the long index, investors will receive par minus the percentage by which the long index underperformed the short index.

Goldman, Sachs & Co. will be the underwriter.

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