Societe Generale plans conditional coupon buffered notes on S&P 500

By Marisa Wong

Morgantown, W.Va., April 18 – Societe Generale, New York Branch plans to price 0% conditional coupon buffered non-principal protected notes due April 22, 2022 linked to the S&P 500 index, according to a term sheet.

The notes have three knock-in levels: knock-in level 1 is 95% of the initial level; knock-in level 2 is 90% of the initial level; and knock-in level 3 is 85% 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 0.5916% to 0.6583% (equivalent to an annual rate of 7.1% to 7.9%).

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 from but excluding the pricing date to and including April 22, 2019, the notes will be automatically called at par plus the coupon on the coupon payment date immediately following the April 22, 2019 automatic call end date.

If the notes have not been called and 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, at maturity investors will lose 0.3509% for every 1% that the index finishes below 95% of the initial level (down to 90% of the initial level). Investors may receive less than par but will receive at least $982.46 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 0.7212% for every 1% that the index finishes below 92.4324% of the initial level (down to 85% of the initial level). Investors may receive less than par but will receive at least $946.40 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 1.1134% for every 1% that the index finishes below 89.8145% of the initial level. Investors may lose their entire investment.

SG Americas Securities, LLC is the placement agent.

The notes will price on April 19.

The Cusip number is 83369F5V5.

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