SG Structured Products to price bearish principal-protected notes linked to SGI Bond 10Y USD index

By Angela McDaniels

Tacoma, Wash., Feb. 1 - SG Structured Products, Inc. plans to price 0% bearish principal-protected notes due Feb. 27, 2015 linked to the SGI Bond 10Y USD index, according to a term sheet. Societe Generale is the guarantor.

If the index return is negative, the payout at maturity will be par plus triple the absolute value of the index decline. If the index return is 0% or positive, the payout will be par.

The index is designed to track the performance of hypothetical 10-year bonds that are issued by a U.S. issuer and that pay coupons semiannually and principal at maturity. On the first monthly roll date, a hypothetical coupon rate is determined by observing the mid-market swap fixing rate at which financial institutions could obtain 10 years of fixed semiannual payments in dollars in exchange for a series of floating-rate payments at Libor. On subsequent roll dates, the index methodology calculates the present value of the accrued portion of the hypothetical coupon determined on the previous roll date, as discounted using a Libor-based rate curve, and the change in the mark-to-market value of the hypothetical bond since the previous roll date.

The notes will price Feb. 23 and settle Feb. 26.

SG Americas Securities, LLC is the agent. The distributor is Advisors Asset Management, Inc.

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