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Societe Generale plans buffered enhanced notes on EAFE, EM basket
By Marisa Wong
Morgantown, W.Va., June 13 – Societe Generale, New York Branch plans to price 0% buffered return enhanced non-principal protected notes due June 20, 2022 linked to a basket of indexes, according to a term sheet.
The basket consist of the MSCI EAFE index with an 80% weight and the MSCI Emerging Markets index with a 20% weight.
The payout at maturity will be par plus the leveraged upside return plus the buffered downside return.
The leveraged upside return is 1.7 times the average basket performance, subject to a floor of zero.
The average basket performance is the sum of the underlying indexes’ average returns, which are based on the averages of the closing levels on June 15, 2021, Sept. 15, 2021, Dec. 15, 2021, March 15, 2022 and June 15, 2022.
The buffered downside return is 1.1765 times the difference of the final basket performance minus the buffer amount, subject to a cap of zero. The buffer amount is negative 15%.
The final basket performance is the sum of the underlying indexes’ returns based on the indexes’ closing levels on the final valuation date, June 15, 2022.
If the average basket performance is positive and the final basket performance is greater than or equal to the buffer amount, the return on the notes will equal the leveraged upside return.
If the average basket performance is zero or negative and the final basket performance is less than the buffer amount, the return on the notes will equal the buffered downside return. If the average basket performance is positive but the final basket performance is less than the buffer amount, the leveraged upside return and the buffered downside return will be set off against each other.
If the average basket performance is zero or negative but the final basket performance is greater than or equal to the buffer amount, the payout will be par.
SG Americas Securities, LLC is the placement agent.
The notes will price on June 15.
The Cusip number is 83369FAE7.
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