SG Structured Products plans bearish principal-protected income notes tied to SGI Bond 10Y USD index

By Angela McDaniels

Tacoma, Wash., March 8 - SG Structured Products, Inc. plans to price bearish principal-protected income notes due April 3, 2017 linked to the SGI Bond 10Y USD index, according to a term sheet. Societe Generale, New York Branch is the guarantor.

In April of each year, the notes will pay a coupon of 6% to 8% if the index level on the observation date is less than or equal to the initial index level. No coupon will be paid if the index level is greater than the initial level. The exact coupon will be set at pricing.

The payout at maturity will be par plus the last coupon, if any.

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 March 24 and settle March 31.

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

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