SG Structured Products to price 0% notes linked to SGI Fed Model US index

By Angela McDaniels

Seattle, June 5 - SG Structured Products, Inc. plans to price an offering of 0% notes due July 2, 2012 linked to the SGI Fed Model US index, according to a term sheet.

The notes will price on June 25 and settle on June 29.

The SGI Fed Model US index uses the "Fed Model" of equity valuation to identify the optimal weightings of an equity component and a bond component, which are the S&P 500 Total Return index and the SGI 5Y Synthetic AAA Bond US index, respectively.

If the yield on stocks is higher than the Treasury yield, then the stock market is considered undervalued versus the bond market; if the yield on stocks is lower, then the stock market is considered relatively overvalued.

The payout at maturity will be par plus the annualized rate of return on the index, which may be positive or negative, multiplied by the duration of the notes, which will be expressed as a decimal.

SG Americas Securities, LLC will be the principal agent, with LaSalle Financial Services, Inc. as co-agent.

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