In an announcement today, Swiss Re said the six-year senior exchangeable notes with issuer stock settlement feature the following:
- US$88.6610 – reference share price
- US$115.2593 – resulting initial exchange price, including the exchange premium of 30%
- US$44.3305 – initial share price floor
- 1,735.2179 Swiss Re shares per calculation amount – initial exchange ratio
- CHF4,338.04475 – dividend threshold for each dividend relevant period
ELM B.V. was named as the repackaging vehicle, and Swiss Re said the settlement and delivery of the ELM notes took place on June 13.