UPDATED CALCULATION OF REGISTRATION FEE
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Title of Each Class of
Securities To Be Registered
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Amount
To Be
Registered
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Proposed
Maximum
Aggregate
Price Per
Unit
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Proposed
Maximum
Aggregate
Offering Price
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Amount of
Registration
Fee
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Notes offered hereby
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$23,435,040.00
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100%
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$23,435,040.00
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$3,196.54 (1)
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(1)
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The registration fee is calculated in accordance with Rule 457(r) under the Securities Act. $50,891.94 of the registration fees paid in respect of the securities covered by the
registration statement of which the pricing supplement is a part remains unused. $3,196.54 of that amount is being offset against the registration fee for this offering and $47,695.40 for future registration fees.
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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-178202
The notes are being issued by Aktiebolaget Svensk Exportkredit (Publ) (Swedish Export Credit Corporation)
(“SEK”). There are important differences between the notes and a conventional debt security, including different investment risks. See “Risk Factors” on page TS-6 of this term sheet and beginning on page P-4 of product supplement
ARN-4.
None of the Securities and Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has
approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
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Per Unit
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Total
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Public offering price
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$10.00
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$23,435,040.00
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Underwriting discount
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$0.20
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$468,700.80
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Proceeds, before expenses, to SEK
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$9.80
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$22,966,339.20
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The notes:
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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Merrill Lynch & Co.
January 4, 2013
2,343,504 Units $10 principal amount per unit Term Sheet No. 42 CUSIP No. 01019A161 Pricing Date January 4, 2013 Settlement Date January 10, 2013 Maturity Date February 28,
2014 Accelerated Return Notes® Linked to the MSCI EAFE Index Maturity of approximately 14 months 3-to-1 upside exposure to increases in the Index, subject to a capped return of 17.40% 1-to-1 downside exposure to decreases in the Index, with 100%
of your investment at risk All payments occur at maturity and are subject to the credit risk of SEK No periodic interest payments Limited secondary market liquidity, with no exchange listing Enhanced Return
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Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February 28, 2014
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Summary
The Accelerated Return Notes
®
Linked to the MSCI EAFE Index due February 28, 2014
(the “notes”) are our senior unsecured debt securities. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or secured by collateral.
The notes will rank equally with all of our other unsecured and
unsubordinated debt. Any payments due on the notes, including any repayment of principal, will be subject to the credit risk of SEK.
The notes provide you a leveraged return, subject to a cap, if the Ending Value (as determined below) of the
MSCI EAFE Index (the “Index”) is greater than the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion of the principal amount of your notes.
The terms and risks of the notes are contained in this term sheet and the documents listed below (together, the “Note Prospectus”). The documents have
been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated below or obtained from MLPF&S by calling 1-866-500-5408:
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Product supplement ARN-4, dated November 28, 2011:
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http://www.sec.gov/Archives/edgar/data/352960/000090342311000577/sec-424b3_1128.htm
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Prospectus and prospectus supplement, each dated November 28, 2011:
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http://www.sec.gov/Archives/edgar/data/352960/000110465911066385/a11-30399_1f3asr.htm
Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or
contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement ARN-4. Unless
otherwise indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,” or similar references are to SEK.
Terms of the Notes
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Issuer:
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Aktiebolaget Svensk Exportkredit (Publ) (Swedish Export Credit Corporation)
(“SEK”)
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Original Offering Price:
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$10.00 per unit
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Term:
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Approximately 14 months
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Market Measure:
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The MSCI EAFE Index (Bloomberg symbol: “MXEA”), a price return index.
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Starting Value:
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1,633.07
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Ending Value:
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The average of the closing levels of the Market Measure on each scheduled calculation day occurring
during the maturity valuation period. The calculation days are subject to postponement in the event of Market Disruption Events, as described on page P-14 of product supplement ARN-4.
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Capped Value:
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$11.74 per unit of the notes, which represents a return of 17.40% over the Original Offering
Price.
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Maturity Valuation Period:
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February 19, 2014, February 20, 2014, February 21, 2014, February 24, 2014, and February 25,
2014
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Participation Rate:
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300%
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Calculation Agent:
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Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”).
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Fees Charged:
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The public offering price of the notes includes the underwriting discount of $0.20 per unit as listed on the cover page and an additional charge of
$0.075 per unit more fully described on page TS-11.
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Redemption Amount Determination
On the maturity date, you will receive a cash payment per unit determined as follows:
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Accelerated Return Notes
®
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TS-2
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Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February 28, 2014
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Investor Considerations
You may wish to consider an investment in the notes if:
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You anticipate that the Index will increase moderately from the Starting Value to the Ending Value.
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You are willing to risk a loss of principal and return if the Index decreases from the Starting Value to the Ending Value.
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You accept that the return on the notes, if any, will be capped.
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You are willing to forgo the interest payments that are paid on traditional interest bearing debt securities.
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You are willing to forgo dividends or other benefits of owning the stocks included in the Index.
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You are willing to accept a limited market for sales prior to maturity, and understand that the market prices for the notes, if any, will be affected by various
factors, including our actual and perceived creditworthiness, and the fees charged on the notes, as described on page TS-2.
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You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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The notes may not be an appropriate investment for you if:
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You believe that the Index will decrease from the Starting Value or that it will not increase sufficiently over the term of the notes to provide you with your
desired return.
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You seek principal protection or preservation of capital.
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You seek an uncapped return on your investment.
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You seek interest payments or other current income on your investment.
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You want to receive dividends or other distributions paid on the stocks included in the Index.
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You seek an investment for which there will be a liquid secondary market.
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You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
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We urge you to consult your investment, legal,
tax, accounting, and other advisors before you invest in the notes.
Hypothetical Payout Profile
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This
graph reflects the returns on the notes, based on the Participation Rate of 300% and the Capped Value of $11.74. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the stocks
included in the Index, excluding dividends.
This graph has been prepared for
purposes of illustration only.
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Accelerated Return Notes
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TS-3
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Accelerated Return Notes
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Linked to the MSCI EAFE Index, due February 28, 2014
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Hypothetical Payments at Maturity
The following table and examples are for purposes of illustration only. They are based on
hypothetical
values and show
hypothetical
returns on the notes.
The actual amount you receive and the
resulting total rate of return will depend on the actual Starting Value, Ending Value, and term of your investment.
The following table is based on
a Starting Value of 100, the Participation Rate of 300%, and the Capped Value of $11.74 per unit. It illustrates the effect of a range of Ending Values on the Redemption Amount per unit of the notes and the total rate of return to holders of the
notes. The following examples do not take into account any tax consequences from investing in the notes.
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Ending Value
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Percentage Change from
the Starting
Value to the
Ending Value
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Redemption
Amount per Unit
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Total Rate
of Return on
the Notes
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60.00
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-40.00
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%
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$6.000
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-40.000
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%
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70.00
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-30.00
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%
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$7.000
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-30.000
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%
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80.00
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-20.00
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%
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$8.000
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-20.000
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%
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90.00
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-10.00
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%
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$9.000
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-10.000
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%
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94.00
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-6.00
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%
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$9.400
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-6.000
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%
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97.00
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-3.00
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%
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$9.700
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-3.000
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%
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100.00
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(1
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0.00
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%
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$10.000
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0.000
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%
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103.00
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3.00
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%
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$10.900
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9.000
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%
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106.00
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6.00
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%
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$11.740
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(2)
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17.400
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%
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110.00
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10.00
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%
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$11.740
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17.400
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%
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120.00
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20.00
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%
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$11.740
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17.400
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%
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130.00
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30.00
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%
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$11.740
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17.400
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%
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140.00
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40.00
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%
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$11.740
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17.400
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%
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150.00
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50.00
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%
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$11.740
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17.400
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%
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160.00
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60.00
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%
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$11.740
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17.400
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%
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(1)
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The
hypothetical
Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is 1,633.07, which
was the closing level of the Market Measure on the pricing date.
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(2)
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The Redemption Amount per unit cannot
exceed the Capped Value.
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For recent actual levels of the Market Measure, see “The Index” section below. The Index is a
price return index and as such the Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if you invested in those stocks directly. In addition, all
payments on the notes are subject to issuer credit risk.
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Accelerated Return Notes
®
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TS-4
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Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February 28, 2014
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Redemption Amount Calculation Examples
Example 1
The Ending Value is 80.00, or 80.00% of the Starting Value:
Starting Value: 100.00
Ending
Value: 80.00
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$10 ×
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(
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80
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)
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= $8.00
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Redemption Amount per unit
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100
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Example 2
The Ending Value
is 103.00, or 103.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 103.00
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$10 +
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[
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$10 × 300% ×
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(
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103 – 100
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)
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]
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= $10.90
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Redemption Amount per unit
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100
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Example 3
The Ending Value
is 130.00, or 130.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 130.00
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$10 +
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[
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$10 × 300% ×
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(
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130 – 100
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)
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]
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= $19.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $11.74 per unit
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100
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Accelerated Return Notes
®
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TS-5
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Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February 28, 2014
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Risk Factors
There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more
detailed explanation of risks relating to the notes in the “Risk Factors” section beginning on page P-4 of product supplement ARN-4, as well as the explanation of certain risks related to SEK contained in Item 3 of our Annual Report
on Form 20-F for the fiscal year ended December 31, 2011, which was filed with the SEC on March 19, 2012 and is incorporated by reference herein. We also urge you to consult your investment, legal, tax, accounting, and other advisors
before you invest in the notes.
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Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is no guaranteed return of
principal.
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Your yield may be less than the yield you could earn by owning a conventional debt security of comparable maturity.
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Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If
we become insolvent or are unable to pay our obligations, you may lose your entire investment.
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Your investment return, if any, is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the stocks
included in the Index.
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If you attempt to sell the notes prior to maturity, their market value may be lower than the price you paid for the notes due to, among other things, the
inclusion of fees charged for developing, hedging and distributing the notes, as described on page TS-11 and various credit, market and economic factors that interrelate in complex and unpredictable ways.
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A trading market is not expected to develop for the notes. We, MLPF&S and our respective affiliates are not obligated to make a market for, or to repurchase,
the notes.
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Your return on the notes and the value of the notes may be affected by exchange rate movements and factors affecting the international securities markets.
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The business, hedging and trading activities of MLPF&S and its affiliates (including trades in shares of companies included in the Index) and any hedging and
trading activities MLPF&S or its affiliates engage in for their clients’ accounts may affect the market value and return of the notes and may create conflicts of interest with you.
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The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.
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You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities or dividends or other
distributions by the issuers of those securities.
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While we, MLPF&S or our respective affiliates may from time to time own shares of companies included in the Index, we, MLPF&S and our respective
affiliates do not control any company included in the Index, and are not responsible for any disclosure made by any other company.
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There may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the calculation agent.
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§
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The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See “Material Summary Tax
Consequences” below and “Material U.S. Federal Income Taxation Considerations” beginning on page P-19 of product supplement ARN-4.
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In addition to these risk factors, it is important to bear in mind that the notes are senior debt securities of SEK and are not guaranteed or insured by the FDIC or secured by collateral, nor are they obligations
of, or guaranteed by, the Kingdom of Sweden. The notes will rank equally with all of SEK’s unsecured and unsubordinated debt, and any payments due on the notes, including any repayment of principal, will be subject to the credit risk of SEK.
Other Terms of the Notes
Market
Measure Business Day
The following definition shall supersede and replace the definition of a “Market Measure Business Day” set forth on
page P-14 of product supplement ARN-4.
A “Market Measure Business Day” means a day on which:
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(A)
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the London Stock Exchange, the Frankfurt Stock Exchange, the Paris Bourse, and the Tokyo Stock Exchange (or any successor to the foregoing exchanges) are open for trading; and
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(B)
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the Index or any successor thereto is calculated and published.
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Accelerated Return Notes
®
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TS-6
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Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February 28, 2014
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The Index
All disclosures contained in this term sheet regarding the Index, including, without limitation, its makeup, method of calculation, and changes in its components, have been derived from publicly available sources.
Additional information on the Index is available on the MSCI Barra website:
www.mscibarra.com
. We are not incorporating by reference such website or any material included on such website in this term sheet. The information reflects the
policies of, and is subject to change by, MSCI. MSCI, which owns the copyright and all other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of MSCI discontinuing
publication of the Index are discussed in the section entitled “Description of the Notes—Discontinuance of the Market Measure” beginning on page P-15 of product supplement ARN-4. None of us, the calculation agent, or MLPF&S
accepts any responsibility for the calculation, maintenance, or publication of the Index or any successor index.
The Index is intended to measure
equity market performance in developed market countries, excluding the U.S. and Canada. The Index is a free float-adjusted market capitalization equity index with a base date of December 31, 1969 and an initial value of 100.00. The Index is
calculated daily in U.S. dollars and published in real time every 60 seconds during market trading hours. As of October 31, 2012, the Index consisted of companies from the following 22 developed countries: Australia, Austria, Belgium, Britain,
Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, and Switzerland.
As of December 31, 2012, the five largest country weights were Britain (22.6%), Japan (20.0%), France (9.6%), Australia (8.9%), and Germany (8.8%) and the five largest sector weights were Financials
(24.7%), Industrials (12.6%), Consumer Staples (11.6%), Consumer Discretionary (10.7%), and Materials (9.8%).
The Index is part of the MSCI Regional
Equity Indices series and is an MSCI Global Investable Market Index, which is a family within the MSCI International Equity Indices.
General - MSCI
Indices
MSCI provides global equity indices intended to measure equity performance in international markets and the MSCI International Equity
Indices are designed to serve as global equity performance benchmarks. In constructing these indices, MSCI applies its index construction and maintenance methodology across developed, emerging, and frontier markets.
MSCI enhanced the methodology used in its MSCI International Equity Indices. The MSCI Standard and MSCI Small Cap Indices, along with the other MSCI equity indices
based on them, transitioned to the global investable market indices methodology described below. The transition was completed at the end of May 2008. The Enhanced MSCI Standard Indices are composed of the MSCI Large Cap and Mid Cap Indices. The MSCI
Global Small Cap Index transitioned to the MSCI Small Cap Index resulting from the Global Investable Market Indices methodology and contains no overlap with constituents of the transitioned MSCI Standard Indices. Together, the relevant MSCI Large
Cap, Mid Cap, and Small Cap Indices will make up the MSCI investable market index for each country, composite, sector, and style index that MSCI offers.
Constructing the MSCI Global Investable Market Indices. MSCI undertakes an index construction process, which involves:
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defining the equity universe;
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•
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determining the market investable equity universe for each market;
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•
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determining market capitalization size segments for each market;
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•
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applying index continuity rules for the MSCI Standard Index;
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•
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creating style segments within each size segment within each market; and
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•
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classifying securities under the Global Industry Classification Standard (the “GICS”).
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Defining the Equity Universe. The equity universe is defined by:
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•
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Identifying Eligible Equity Securities: the equity universe initially looks at securities listed in any of the countries in the MSCI Global Index Series, which
will be classified as either Developed Markets (“DM”) or Emerging Markets (“EM”). All listed equity securities, or listed securities that exhibit characteristics of equity securities, except mutual funds, ETFs, equity
derivatives, limited partnerships, and most investment trusts, are eligible for inclusion in the equity universe. Real Estate Investment Trusts (“REITs”) in some countries are also eligible for inclusion.
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Classifying Eligible Securities into the Appropriate Country: each company and its securities (i.e., share classes) are classified in only one country.
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Accelerated Return Notes
®
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TS-7
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Accelerated Return Notes
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Linked to the MSCI EAFE Index, due February 28, 2014
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Determining the Market Investable Equity Universes.
A market investable equity universe for a market is
derived by applying investability screens to individual companies and securities in the equity universe that are classified in that market. A market is equivalent to a single country, except in DM Europe, where all DM countries in Europe are
aggregated into a single market for index construction purposes. Subsequently, individual DM Europe country indices within the MSCI Europe Index are derived from the constituents of the MSCI Europe Index under the global investable market indices
methodology.
The investability screens used to determine the investable equity universe in each market are as follows:
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Equity Universe Minimum Size Requirement:
this investability screen is applied at the company level. In order to be included in a market investable equity
universe, a company must have the required minimum full market capitalization.
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Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement:
this investability screen is applied at the individual security level. To
be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement.
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DM and EM Minimum Liquidity Requirement:
this investability screen is applied at the individual security level. To be eligible for inclusion in a market
investable equity universe, a security must have adequate liquidity. The twelve-month and three-month Annual Traded Value Ratio (“ATVR”), a measure that screens out extreme daily trading volumes and takes into account the free
float-adjusted market capitalization size of securities, together with the three-month frequency of trading are used to measure liquidity. In the calculation of the ATVR, the trading volumes in depository receipts associated with that security, such
as ADRs or GDRs, are also considered. A minimum liquidity level of 20% of three- and twelve-month ATVR and 90% of three-month frequency of trading over the last four consecutive quarters is required for inclusion of a security in a market investable
equity universe of a DM, and a minimum liquidity level of 15% of three- and twelve-month ATVR and 80% of three-month frequency of trading over the last four consecutive quarters is required for inclusion of a security in a market investable equity
universe of an EM.
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Global Minimum Foreign Inclusion Factor Requirement:
this investability screen is applied at the individual security level. To be eligible for inclusion
in a market investable equity universe, a security’s Foreign Inclusion Factor (“FIF”) must reach a certain threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase in the
public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership limits applicable to a specific security (or company). In general, a security must have an FIF equal to or larger
than 0.15 to be eligible for inclusion in a market investable equity universe.
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Minimum Length of Trading Requirement:
this investability screen is applied at the individual security level. For an initial public offering
(“IPO”) to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least four months before the implementation of the initial construction of the index or at least three months before
the implementation of a semi-annual index review (as described below). This requirement is applicable to small new issues in all markets. Large IPOs are not subject to the minimum length of trading requirement and may be included in a market
investable equity universe and the MSCI Standard Index outside of a Quarterly or Semi-Annual Index Review (as defined below).
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Defining Market Capitalization Size Segments for Each Market.
Once a market investable equity universe is defined, it is segmented into the following
size-based indices:
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Investable Market Index (Large + Mid + Small);
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Standard Index (Large + Mid);
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Creating the size segment
indices in each market involves the following steps:
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defining the market coverage target range for each size segment;
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determining the global minimum size range for each size segment;
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determining the market size-segment cutoffs and associated segment number of companies;
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assigning companies to the size segments; and
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applying final size-segment investability requirements.
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Index Continuity Rules for the Standard Indices.
In order to achieve index continuity, as well as to provide some basic level of diversification within a market index, and notwithstanding the effect of other
index construction rules described in this section, a minimum number of five constituents will be maintained for a DM Standard Index and a minimum number of three constituents will be maintained for an EM Standard Index.
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Accelerated Return Notes
®
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TS-8
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Accelerated Return Notes
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Linked to the MSCI EAFE Index, due February 28, 2014
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Creating Style Indices within Each Size Segment.
All securities in the investable equity universe are
classified into value or growth segments using the MSCI Global Value and Growth methodology.
Classifying Securities under the Global Industry
Classification Standard.
All securities in the global investable equity universe are assigned to the industry that best describes their business activities. To this end, MSCI has designed, in conjunction with Standard & Poor’s, the
GICS. Under the GICS, each company is assigned to one sub-industry according to its principal business activity. Therefore, a company can belong to only one industry grouping at each of the four levels of the GICS.
Index Maintenance
The MSCI global investable market indices
are maintained with the objective of reflecting the evolution of the underlying equity markets and segments on a timely basis, while seeking to achieve index continuity, continuous investability of constituents and replicability of the indices, and
index stability, and low index turnover. In particular, index maintenance involves:
(i) Semi-Annual Index Reviews (“SAIRs”) in
May and November of the Size Segment and Global Value and Growth Indices which include:
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updating the indices on the basis of a fully refreshed equity universe;
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taking buffer rules into consideration for migration of securities across size and style segments; and
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updating FIFs and Number of Shares (“NOS”).
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(ii) Quarterly Index Reviews (“QIRs”) in February and August of the Size Segment Indices aimed at:
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including significant new eligible securities (such as IPOs that were not eligible for earlier inclusion) in the index;
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allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR; and
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reflecting the impact of significant market events on FIFs and updating NOS.
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(iii) Ongoing Event-Related Changes: changes of this type are generally implemented in the indices as they occur. Significantly large IPOs are
included in the indices after the close of the company’s tenth day of trading.
Neither we nor any of our affiliates, or MLPF&S, accepts any
responsibility for the calculation, maintenance, or publication of, or for any error, omission, or disruption in, the Index or any successor to the Index. MSCI does not guarantee the accuracy or the completeness of the Index or any data included in
the Index. MSCI assumes no liability for any errors, omissions, or disruption in the calculation and dissemination of the Index. MSCI disclaims all responsibility for any errors or omissions in the calculation and dissemination of the Index, or the
manner in which the Index is applied in determining the amount payable on the notes at maturity.
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Accelerated Return Notes
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TS-9
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Accelerated Return Notes
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Linked to the MSCI EAFE Index, due February 28, 2014
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The following graph shows the monthly historical performance of the Index in the period from January 2007
through December 2012. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the Index was
1,633.07.
This historical data on the Index is not necessarily indicative of the future performance of the Index or what
the value of the notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase or decrease at any time over the
term of the notes.
Before investing in the notes, you should consult publicly available sources for the levels and trading pattern of the
Index.
License Agreement
SEK and MSCI have
entered into or, to the extent required, will enter into a non-exclusive license agreement providing for the license to SEK, in exchange for a fee, for the right to use the Index in connection with the issuance and marketing of securities, including
the notes. The license agreement between MSCI and SEK provides that the following language must be stated in this term sheet:
“THE NOTES ARE NOT
SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC. (“MSCI”), ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE MSCI INDICES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI
INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY SEK. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY
REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THE NOTES OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN THE NOTES PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK
CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDICES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THE NOTES OR THE
ISSUER OR OWNER OF A NOTE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF THE NOTES INTO CONSIDERATION IN
DETERMINING, COMPOSING OR CALCULATING THE MSCI INDICES. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF,
PRICES AT, OR QUANTITIES OF THE NOTES TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THE NOTES ARE
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Accelerated Return Notes
®
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TS-10
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Accelerated Return Notes
®
Linked to the MSCI EAFE Index, due February 28, 2014
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REDEEMABLE FOR CASH. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, THE MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION OR LIABILITY TO THE OWNERS OF
THE NOTES IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THE NOTES.
ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE
IN THE CALCULATION OF THE MSCI INDICES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY
AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO
BE OBTAINED BY LICENSEE, LICENSEE’S CUSTOMERS OR COUNTERPARTIES, ISSUERS OF THE FINANCIAL SECURITIES, OWNERS OF THE FINANCIAL SECURITIES, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION
WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR
IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND
MSCI, ANY OF ITS AFFILIATES AND ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO ANY MSCI INDEX AND ANY
DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MSCI, ANY OF ITS AFFILIATES OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL,
PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
No purchaser, seller, or
holder of the Notes, or any other person or entity, should use or refer to any MSCI trade name, trademark, or service mark to sponsor, endorse, market, or promote the Notes without first contacting MSCI to determine whether MSCI’s permission is
required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI.
Supplement to the Plan of Distribution
We will
deliver the notes against payment therefor in New York, New York on a date that is greater than three business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are
required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than three business days prior to the original issue date will be required to specify
alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the original offering
of the notes, the notes will be sold in minimum investment amounts of 100 units.
If you place an order to purchase the notes, you are consenting to
MLPF&S acting as a principal in effecting the transaction for your account.
MLPF&S may repurchase and resell the notes, with repurchases and
resales being made at prices related to then-prevailing market prices or at negotiated prices. MLPF&S may act as principal or agent in these market-making transactions; however it is not obligated to engage in any such transactions.
The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the
terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding SEK or for any purpose
other than that described in the immediately preceding sentence.
Role of MLPF&S
MLPF&S will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting
discount. The public offering price includes, in addition to the underwriting discount, a charge of approximately $0.075 per unit, reflecting an estimated profit earned by MLPF&S from transactions through which the notes are structured and
resulting obligations hedged. Actual profits or losses from these hedging transactions may be more or less than this amount.
All charges related to the
notes, including the underwriting discount and the hedging related costs and charges, reduce the economic terms of the notes. For further information regarding these charges, our trading and hedging activities and conflicts of interest, see
“Risk Factors — General” beginning on page P-4 and “Use of Proceeds and Hedging” on page P-22 of product supplement ARN-4.
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Accelerated Return Notes
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TS-11
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Accelerated Return Notes
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Linked to the MSCI EAFE Index, due February 28, 2014
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Material Summary Tax Consequences
You should read carefully the discussion under the section entitled “Material U.S. Federal Income Taxation Considerations” beginning on page P-19 of product supplement ARN-4.
An investment in the notes includes the following U.S. federal income tax consequences:
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You agree with us (in the absence of an administrative determination, or judicial ruling to the contrary) to characterize and treat the notes for all tax
purposes as a single financial contract with respect to the Market Measure.
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Under this characterization and tax treatment of the notes, a U.S. Holder (as defined in product supplement ARN-4) generally will recognize capital gain or loss
upon maturity or upon a sale, exchange, or redemption of the notes prior to maturity, and will not be required to recognize current income prior to maturity or prior to such sale or exchange. Capital gain or loss generally will be long-term capital
gain or loss if you held the notes for more than one year.
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There is no statutory, judicial, or administrative authority directly addressing the characterization of the notes. Accordingly, no assurance can be given that
the IRS or any court will agree with this characterization and tax treatment. Under alternative characterizations of the notes, it is possible, for example, that the notes could be treated as contingent payment debt instruments, or as including a
debt instrument and a forward contract or two or more options. In addition, proposed changes in law or administrative guidance could materially affect the tax treatment of the notes. As a result, the timing and character of income on the notes could
differ materially from the above description. For example, it is possible that a holder of the notes could be required to accrue income over the term of the notes and/or recognize ordinary gain or loss upon maturity of the notes.
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You should consult your own tax advisor concerning the U.S. federal income tax consequences to you of acquiring, owning, and
disposing of the notes, as well as any tax consequences arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws.
Validity of the Notes
In the opinion of Cleary
Gottlieb Steen & Hamilton LLP, when the notes offered by this term sheet have been executed and issued by SEK and authenticated by the Trustee pursuant to the Indenture, and delivered against payment as contemplated herein, such notes will
be legal, valid and binding obligations of SEK, subject to applicable bankruptcy, insolvency, reorganization, fraudulent conveyance, moratorium or other similar laws affecting creditors’ rights generally from time to time in effect and subject
to general principles of equity, regardless of whether such is considered in a proceeding in equity or at law.
This opinion is given as of the date of
this term sheet and is limited to matters governed by the federal laws of the United States of America and the laws of the State of New York. With respect to matters governed by the law of Sweden, including the valid existence of SEK, its corporate
power to issue the notes and its due authorization of all necessary action in connection with such issuance and its performance of related obligations including execution and delivery, we have relied on the opinion dated November 28, 2011 of
Advokatfirma Vinge KB, Swedish counsel to SEK, which has been filed as exhibit number 5(a) to SEK’s Registration Statement on Form F-3 dated November 28, 2011. In addition, this opinion is subject to customary assumptions as to legal
capacity, genuineness of signatures and authenticity of documents and our reliance on SEK and other sources as to certain factual matters, as stated in the opinion dated November 28, 2011, which has been filed as exhibit number 5(b) to
SEK’s Registration Statement on Form F-3 dated November 28, 2011. This opinion is also subject to the discussion, as stated in such letter, of the enforcement of notes denominated in a currency other than U.S. dollars. In giving such
consent, we do not thereby admit that we come within the category of persons whose consent is required under Section 7 of the Act, or the rules and regulations of the Commission thereunder.
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Accelerated Return Notes
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TS-12
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Accelerated Return Notes
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Linked to the MSCI EAFE Index, due February 28, 2014
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Where You Can Find More Information
We have filed a registration statement (including a product supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read
the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at
www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request by calling MLPF&S toll-free at 1-866-500-5408.
Market-Linked Investments Classification
MLPF&S classifies certain market-linked investments (the “Market-Linked Investments”) into categories, each
with different investment characteristics. The following description is meant solely for informational purposes and is not intended to represent any particular Enhanced Return Market-Linked Investment or guarantee any performance.
Enhanced Return Market-Linked Investments are short- to medium-term investments that offer you a way to enhance exposure to a particular market view without taking
on a similarly enhanced level of market downside risk. They can be especially effective in a flat to moderately positive market (or, in the case of bearish investments, a flat to moderately negative market). In exchange for the potential to receive
better-than market returns on the linked asset, you must generally accept market downside risk and capped upside potential. As these investments are not market downside protected, and do not assure full repayment of principal at maturity, you need
to be prepared for the possibility that you may lose all or part of your investment.
“Accelerated Return Notes
®
” and “ARNs
®
” are registered service marks of Bank of America Corporation, the parent company of MLPF&S.
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Accelerated Return Notes
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TS-13
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