Societe Generale plans conditional coupon buffered notes on Euro Stoxx

By Marisa Wong

Morgantown, W.Va., Feb. 22 – Societe Generale, New York Branch plans to price 0% conditional coupon buffered non-principal protected notes due Feb. 28, 2022 linked to the Euro Stoxx 50 index, according to a term sheet.

The notes have three knock-in levels: knock-in level 1 is 92% of the initial level; knock-in level 2 is 87% of the initial level; and knock-in level 3 is 82% of the initial level.

The notes will pay a conditional monthly coupon if the index never closes below knock-in level 3 on any day during the related monthly observation period.

The coupon rate for each monthly coupon payment date will equal the product of (a) 1/3 times (b) the number of knock-in levels that have not been breached by the index on any day during the applicable monthly observation period times (c) the base rate of 0.75% (equivalent to an annual rate of 9%).

If the index closes below knock-in level 3 on any day during the life of the notes, no coupon will be paid for the immediately following coupon payment date or any subsequent coupon payment dates.

A knock-in event occurs if the index closes below any knock-in level on any day during the life of the notes.

If a knock-in event has not occurred, the payout at maturity will be par of $1,000.

If the index closes below knock-in level 1 on any day but remains at or above knock-in level 2 over the life of the notes, investors will lose 1/3 of a percent for every 1% that the index finishes below 92% of the initial level (down to 87% of the initial level). Investors may receive less than par but will receive at least $983.33 per $1,000 principal amount.

If the index closes below knock-in level 2 on any day but remains at or above knock-in level 3 over the life of the notes, investors will effectively lose 2/3 of a percent for every 1% that the index finishes below 89.5% of the initial level (down to 82% of the initial level). Investors may receive less than par but will receive at least $950 per $1,000 principal amount.

If the index closes below knock-in level 3 on any day during the life of the notes, investors will lose 1% for every 1% that the index finishes below 87% of the initial level. Investors may lose up to 87% of par.

SG Americas Securities, LLC is the placement agent.

The notes will price on Feb. 23.

The Cusip number is 83369F4L8.

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