By Jennifer Chiou
New York, Oct. 1 - Merrill Lynch & Co., Inc. priced $7.2 million of notes due Nov. 6, 2009 linked to the Dow Jones - AIG Commodity Index Total Return for issuer AB Svensk Exportkredit, according to an FWP filing with the Securities and Exchange Commission.
Interest is Libor minus 30 basis points and is payable quarterly.
At maturity, investors will receive triple the positive or negative return on the index, less fees and an amount based on the 91-day Treasury bill yield.
The notes will be called if on any business day the index closes at 15% or more below its initial level. If the index declines by 15% or more intraday, then the calculation agent may, at its option, call the notes. In both cases, the payout calculation will be the same as that to be used at maturity.
Holders can put the notes back at any time and receive a payout calculated in the same way as that at maturity.
| Issuer: | AB Svensk Exportkredit
|
| Issue: | Commodity index-linked notes
|
| Underlying index: | Dow Jones - AIG Commodity Index Total Return
|
| Amount: | $7.2 million
|
| Maturity: | Nov. 6, 2009
|
| Coupon: | Libor minus 30 bps, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par plus triple the positive or negative return on the index, less fees and less the 91-day Treasury bill yield
|
| Call: | Automatically if index hits 85% of the initial level
|
| Put option: | At any time
|
| Initial index level: | 335.748
|
| Pricing date: | Sept. 30
|
| Settlement date: | Oct. 20
|
| Underwriter: | Merrill Lynch & Co., Inc.
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