EFTA01470148.pdf

This slide is not for distribution in isolation and must be viewed in conjunction with the accompanying Pricing Supplement, Product Supplement(s), Offering Memorandum and any associated documentation, which fully describe the terms, risks and conditions of the Notes described herein. COMMODITY-LINKED MARKET PLUS NON-PRINCIPAL PROTECTED NOTES CUSIP: 78423EHS6 TERMS & PAYOFF MECHANISM REFERENCE COMMODITY (1) DOWNSIDE TRIGGER REF. VALUE CONTINGENT MINIMUM RETURN MAXIMUM LOSS TERM INITIAL COMMODITY VALUE FINAL COMMODITY VALUE COMMODITY PERFORMANCE SETTLEMENT TYPE Generic First Crude Oil, West Texas Intermediate ("WTI Crude") (Bloomberg Ticker: CL1 <Comdty>) 78.75% of the Initial Commodity Value 10% 100% Approximately 53 weeks 105.49 Arithmetic average of the 5 Closing Values of the Reference Commodity on July 25 and July 28-31, 2014 Final Commodity Value / Initial Commodity Value — 1 Cash Settlement Potential Payment at Maturity (per Note) IIIf a Downside Trigger Event HAS NOT occurred, you will receive: $1,000 plus the product of (i) $1,000 and (ii) the greater of (1) Contingent Minimum Return, and (2) the Commodity Performance IIIf a Downside Trigger Event HAS occurred, you will receive: $1,000 plus the product of (i) $1,000 and (ii) the Commodity Performance. In this case, the Commodity Performance will be negative, and you will lose some or all of your invested principal. Downside Trigger Event IIA Downside Trigger Event Trigger Event occurs if, on the Final Valuation Date, the Final Commodity Value has decreased below the Downside Trigger Reference Value 1) Please refer to the accompanying Pricing Supplement and Product Supplement for detailed description of price source references CERTAIN INVESTOR SUITABILITY / RISK CONSIDERATIONS IIInvesting in the Notes involves significant risks, and your entire EFTA01470148 principal will be at risk II100% principal at risk; you will lose all or a substantial portion of your investment if a Downside Trigger Event occurs IIYour ability to receive at least the Contingent Minimum Return and your conditional principal protection at maturity will be terminated if, on the Final Valuation Date, the Final Commodity Value is below the Downside Trigger Reference Value IIThe Final Commodity Value is based on the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates and may be less than the Closing Values of the Reference Commodity prior to such dates or on any such dates individually IIThe Notes do not pay interest IIThe return on your Notes will not reflect the return you would realize if you actually purchased the Reference Commodity, futures contracts for Reference Commodity or exchange- traded or over-the-counter instruments based on the Closing Value of the Reference Commodity IIThe risk of a Downside Trigger Event occurring is greater if the Reference Commodity is volatile IIYou should be willing to hold the Notes to maturity and accept that there may be little or no secondary market for the Notes IIYou assume the credit risk of the Issuer and Guarantor for all payments under the Notes IIAn investment in the Notes is subject to the same risks as an investment in any broadly-based portfolio of common stocks generally and the Reference Commodity in particular IISettlement and fixing prices of commodities tend to be highly volatile and may fluctuate rapidly based on numerous factors; these factors may create additional investment risks that cause the value of the Notes to be more volatile than the values of traditional debt instruments IIThe Notes are linked exclusively to WTI Crude and not to a diverse basket of commodities or a broad-based commodity index; the Notes will be subject to certain risks specific to WTI Crude EFTA01470149 II Additional risk factors in respect to the Notes offering can be found in section "Risk Factors" of the accompanying Pricing Supplement IIJPMorgan Securities LLC, an affiliate of JPMorgan Chase & Co., acts as a placement agent 2) Actual Final Commodity Value will be determined on the Valuation Date. 3) The table assumes an Initial Commodity Value of 105.49. Please refer to the accompanying Pricing Supplement, Product Supplement(s), Offering Memorandum, and associated documentation for further details on risks, liquidity, prospective returns, tax considerations, and other matters of interest. This slide must not be looked at in isolation, and a decision in respect to an investment into the securities must be taken in conjunction with all available documentation in reference to this security offering. Capitalized terms used in this slide, but not defined herein, shall have the meaning ascribed to them in the accompanying Pricing Supplement, Product Supplement(s), or Offering Memorandum. HYPOTHETICAL PAYOFF AT MATURITY(3) Final Commodity Value(2) 137.14 126.59 116.04 105.49 94.94 84.39 83.07 82.75 73.84 52.75 0.00 Commodity Performance 30.00% 20.00% 10.00% 0.00% -10.00% -20.00% -21.25% -21.56% -30.00% -50.00% -100.00% Payment at Maturity per Note $1,300.00 $1,200.00 $1,100.00 EFTA01470150 $1,100.00 $1,100.00 $1,100.00 $1,100.00 $784.40 $700.00 $500.00 $0.00 Total Return of Note at Maturity 30.00% 20.00% 10.00% 10.00% 10.00% 10.00% 10.00% -21.56% -30.00% -50.00% -100.00% PAYOFF ILLUSTRATION AT MATURITY NOTES RETURN VERSUS INDEX PERFORMANCE AT MATURITY -40% -30% -20% -10% 0% 10% 20% -40% Downside Trigger Reference Value 78.75% Contingent Minimum Return of 10% SG STRUCTURED PRODUCTS, INC Notes Return Commodity Performance Full Downside Exposure -30% -20% -10% 0% COMMODITY PERFORMANCE 10% 20% NOTES RETURN AT MATURITY EFTA01470151 Pricing Supplement (To the Offering Memorandum dated July 16, 2013 and the Product Supplement Commodity-Linked Notes dated July 16, 2013) SG STRUCTURED PRODUCTS, INC. $2,100,000 COMMODITY-LINKED MARKET PLUS NON-PRINCIPAL PROTECTED NOTES SERIES 2013-58 DUE AUGUST 05, 2014 PRICING SUPPLEMENT Payment of all amounts due and payable under the Commodity-Linked Market Plus Non-Principal Protected Notes is irrevocably and unconditionally guaranteed pursuant to a Guarantee issued by Societe Generale, New York Branch We, SG Structured Products, Inc. (the —Issuerli), an indirect subsidiary of Societe Generale, a French banking corporation (—Societe Generalell), are offering, pursuant to the offering memorandum dated July 16, 2013, (the —Offering Memorandumil), the product supplement relating to Commodity-Linked Notes dated July 16, 2013 (the —Product SupplementH) and this pricing supplement (the —Pricing SupplementH), the Commodity-Linked Market Plus Non-Principal Protected Notes (each, a —Notell and together, the —Notesil) specified herein that may pay at maturity an amount in U.S. dollars, as described herein. The specific terms of the Notes are provided herein. If the terms described herein are different or inconsistent with those described in the accompanying Product Supplement or the Offering Memorandum, the terms described herein shall control. Capitalized terms used in this pricing supplement, but not defined herein, shall have the meaning ascribed to them in the accompanying product supplement or Offering Memorandum. IISUBJECT TO THE ISSUER'S AND THE GUARANTOR'S CREDIT RISK (ABILITY TO PAY), PAYMENT ON THE MATURITY DATE WILL BE LINKED TO THE AVERAGED PERFORMANCE OF THE REFERENCE COMMODITY OVER THE FINAL AVERAGING DATES, AS COMPARED TO ITS INITIAL COMMODITY VALUE. IIUNLIKE ORDINARY DEBT SECURITIES, THE NOTES DO NOT GUARANTEE THE RETURN OF ANY PORTION OF THE NOTIONAL AMOUNT TO THE INVESTORS ON THE MATURITY DATE AND DO NOT PAY ANY COUPON. THE NOTES INVOLVE RISKS NOT ASSOCIATED WITH AN INVESTMENT IN ORDINARY DEBT SECURITIES. SEE "RISK FACTORS" BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT, ON PAGE 2 OF THE ACCOMPANYING PRODUCT SUPPLEMENT AND ON PAGE 7 OF THE ACCOMPANYING OFFERING MEMORANDUM. IITHE NOTES ARE UNSECURED DEBT OBLIGATIONS ISSUED BY US AND ARE NOT LISTED ON ANY EXCHANGE. ANY PAYMENT ON THE NOTES IS SUBJECT TO THE CREDITWORTHINESS (ABILITY TO PAY) OF THE ISSUER AND EFTA01470152 SOCIETE GENERALE, NEW YORK BRANCH, AS THE "GUARANTOR". YOU FACE THE RISK OF NOT RECEIVING ANY PAYMENT ON YOUR INVESTMENT IF WE OR THE GUARANTOR FILE FOR BANKRUPTCY OR ARE OTHERWISE UNABLE TO PAY OUR OR ITS DEBT OBLIGATIONS. Payment at Maturity IISubject to the Issuer's and the Guarantor's credit risk, on the Maturity Date, for each $1,000 Notional Amount of Notes that you hold, you will receive the Redemption Amount, which will equal: if a Downside Trigger Event HAS NOT occurred on the Final Valuation Date, $1,000 plus the product of (i) $1,000 and (ii) the greater of (a) the Contingent Minimum Return and (b) the Commodity Performance; or if a Downside Trigger Event HAS occurred on the Final Valuation Date, $1,000 plus the product of (i) $1,000 and (ii) the Commodity Performance. In this event, the Redemption Amount will be less than $1,000 and you will lose some or all of your invested principal. For the avoidance of doubt, if a Downside Trigger Event has occurred on the Final Valuation Date, the Commodity Performance will be negative (by more than -21.25%) and the Redemption Amount for each Note will be significantly less than $1,000. In such instance, for each 1% difference between zero and the Commodity Performance, you will lose 1% of the Notional Amount of your Notes. IF A DOWNSIDE TRIGGER EVENT HAS OCCURRED ON THE FINAL VALUATION DATE, YOU WILL LOSE MORE THAN 21.25% AND COULD LOSE UP TO 100% OF YOUR INITIAL PRINCIPAL INVESTMENT IN THE NOTES. Specific Terms of the Notes: — CUSIP: 78423EHS6 ISIN: US78423EHS63 Reference Commodity: Generic First Crude Oil, West Texas Intermediate (—WTI Crudell) (Bloomberg Ticker: CL1 <Comdty>) Relevant Exchange: New York Mercantile Exchange, Inc. (the —NYMEXII) Calculation Agent: Societe Generale Placement Agent: JP Morgan Securities LLC Aggregate Notional Amount: $2,100,000 Notional Amount per Note: $1,000 Issue Price: $1,000 per $1,000 Notional Amount of Notes — Minimum Investment Amount/Minimum Holding: $10,000 EFTA01470153 Notional Amount of Notes (10 Notes) Pricing Date: July 25, 2013 Issue Date: July 30, 2013 Final Averaging Dates: July 25, 2014; July 28, 2014; July 29, 2014; July 30, 2014 and July 31, 2014 (the —Final Valuation Datell) — Maturity Date: August 05, 2014 — Contingent Minimum Return: 10.00% — Downside Trigger Event: A Downside Trigger Event occurs if, on the Final Valuation Date, the Final Commodity Value has decreased below the Downside Trigger Reference Value. — Downside Trigger Reference Value: 83.07, which is 78.75% of the Initial Commodity Value. — Commodity Performance: The quotient of (i) the Final Commodity Value minus the Initial Commodity Value divided by (ii) the Initial Commodity Value, expressed as a percentage, as determined by the Calculation Agent. — Initial Commodity Value: 105.49, which reflects the Closing Value of the Reference Commodity on the Pricing Date, as determined by the Calculation Agent. — Final Commodity Value: The arithmetic average of the Closing Values of the Reference Commodity on each of the five Final Averaging Dates, as determined by the Calculation Agent. EFTA01470154 Per Note Total Price to Public(1) $1,000.00 $2,100,000.00 Distributor's Commission(2) up to $10.00 up to $21,000.00 no less than $990.00 no less than $2,079,00.00 (1) The price to the public includes the cost of hedging our obligations under the Notes through one or more of our affiliates, which includes our affiliates' expected cost of providing such hedge as well as the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. Also see —Risk Factors — The inclusion of commissions and projected profit from hedging in the original price is likely to adversely affect secondary market pricesli in the accompanying Product Supplement. (2) Please see —Supplemental Plan of Distribution (Conflict of Interest)II in this Pricing Supplement as well as —Supplemental Plan of DistributionH in the accompanying Product Supplement for information about fees and commissions. J.P. Morgan Securities LLC, acting as the Placement Agent, will receive from SG Americas Securities, LLC, the primary agent, a fixed sales commission of 1.00% for each Note it sells. In addition, 3PMorgan Chase Bank, N.A. will purchase Notes from SG Americas Securities, LLC for sales to certain fiduciary accounts at a purchase price to such accounts of 99.00% of the stated Notional Amount per Note and will forgo any sales commission with respect to such sales. Neither the Securities and Exchange Commission nor any state securities commission or regulatory authority has approved or disapproved of the Notes or the guarantee or passed upon the accuracy or adequacy of this Pricing Supplement, the Product Supplement and the Offering Memorandum. Any representation to the contrary is a criminal offense. The Notes are not, and will not be, rated by any nationally recognized statistical rating organization. The Notes are securities in the same series as and have equal rights and obligations as investment-grade rated notes and certificates issued by us under the Program (as defined on the cover page of the accompanying Product Supplement). The agents are not obligated to purchase the Notes but have agreed to use reasonable efforts to solicit offers to purchase the Notes. To the extent the full Aggregate Notional Amount of the Notes being offered by this Pricing Supplement is not purchased by investors in the offering, one or more of our affiliates may agree to purchase a part of the unsold portion, which may constitute a substantial portion of the total Aggregate Notional Amount of the Notes, and to hold such EFTA01470155 Notes for investment purposes. See —Risk Factors - Holding of the Notes by our affiliates and future salesil in this Pricing Supplement. This Pricing Supplement and the accompanying Product Supplement and Offering Memorandum may be used by our affiliates in connection with offers and sales of the Notes in marketmaking transactions. The Issuer reserves the right to withdraw, cancel or modify the offer and to reject orders in whole or in part. The Notes are expected to be delivered through the facilities of The Depository Trust Company on or about the Issue Date. The date of this Pricing Supplement is July 26, 2013 Proceeds to Us EFTA01470156 THE NOTES AND THE GUARANTEE BY SOCIETE GENERALE, NEW YORK BRANCH (THE "GUARANTEE") HAVE NOT BEEN REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE "SECURITIES ACT") OR ANY STATE SECURITIES LAWS. THE NOTES ARE BEING OFFERED PURSUANT TO AN EXEMPTION FROM REGISTRATION CONTAINED IN SECTION 3(a)(2) OF THE SECURITIES ACT. NEITHER THE SECURITIES AND EXCHANGE COMMISSION (THE "SEC") NOR ANY STATE SECURITIES COMMISSION OR REGULATORY AUTHORITY HAS APPROVED OR DISAPPROVED OF THE NOTES OR THE GUARANTEE OR PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PRICING SUPPLEMENT, AND THE ACCOMPAYING PRODUCT SUPPLEMENT AND THE OFFERING MEMORANDUM. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE IN THE UNITED STATES. UNDER NO CIRCUMSTANCES SHALL THIS PRICING SUPPLEMENT, AND THE ACCOMPANYING PRODUCT SUPPLEMENT AND OFFERING MEMORANDUM CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY, NOR SHALL THERE BE ANY SALE OF THESE NOTES OR THE GUARANTEE IN ANY JURISDICTION IN WHICH SUCH OFFER, SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR TO QUALIFICATION UNDER THE SECURITIES LAWS OF ANY SUCH JURISDICTION. THE NOTES CONSTITUTE UNCONDITIONAL LIABILITIES OF THE ISSUER, AND THE GUARANTEE CONSTITUTES AN UNCONDITIONAL OBLIGATION OF THE GUARANTOR. THE NOTES AND THE GUARANTEE ARE NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE BANK INSURANCE FUND OR ANY U.S. OR FRENCH GOVERNMENTAL OR DEPOSIT INSURANCE AGENCY. In making your investment decision, you should rely only on the information contained or incorporated by reference in this Pricing Supplement, and the accompanying Product Supplement and Offering Memorandum. Copies of this Pricing Supplement, the accompanying Product Supplement and Offering Memorandum are available from us, at no cost to you, and you should read each of these documents carefully prior to investing in the Notes. We have not authorized anyone to give you any additional or different information. The information in this Pricing Supplement, the accompanying Product Supplement and Offering Memorandum may only be accurate as of the dates of each of these documents, respectively. The contents of this Pricing Supplement are not to be construed as legal, business or tax advice. The Notes described in this Pricing Supplement, and the accompanying Product Supplement and Offering Memorandum are not appropriate for all investors, and involve important legal and tax consequences and investment risks, which should be discussed with your professional advisors. You should be aware that the regulations of the Financial Industry Regulatory Authority, Inc. and the laws of certain jurisdictions (including regulations and laws that require brokers to ensure that investments are suitable for their customers) may limit the availability of the Notes. EFTA01470157 We are offering to sell, and are seeking offers to buy, the Notes only in jurisdictions where such offers and sales are permitted. This Pricing Supplement, and the accompanying Product Supplement and Offering Memorandum do not constitute an offer to sell or a solicitation of an offer to buy the Notes in any circumstances in which such offer or solicitation is unlawful. 1 EFTA01470158 ADDITIONAL TERMS SPECIFIC TO THE NOTES You should read this Pricing Supplement together with the accompanying Offering Memorandum and Product Supplement relating to the Notes and the Program (of which the Notes are a part). This Pricing Supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under —Risk FactorsH in this Pricing Supplement, and the accompanying Product Supplement and Offering Memorandum, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, accounting and other advisors before you invest in the Notes. You may access these documents as follows: Offering Memorandum dated July 16, 2013: http://sgsp.sgamericas.com/admins/files/flp/warrant/cw/sgsp/files/160.pdf Product Supplement for Commodity-Linked Notes dated July 16, 2013: http://sgsp.sgamericas.com/admins/files/flp/warrant/cw/sgsp/files/161.pdf In this Pricing Supplement, and the accompanying Product Supplement and Offering Memorandum, —we,II —usll and —ourll refer to SG Structured Products, Inc., unless the context requires otherwise. The Notes specified herein will be the Issuer's direct, general, unconditional, unsecured and unsubordinated obligation, will rank pari passu without any preference among themselves and will rank pari passu among, and be of the same series with, all of the Issuer's other unconditional, unsecured and unsubordinated obligations issued under the Program. CONTACT INFORMATION You may contact Societe Generale, New York Branch at their offices currently located at 1221 Avenue of the Americas, New York, NY 10020, Attention: Global Markets Division, or by telephoning Societe Generale, New York Branch at 212-278-6000 for additional information. On or about September 1, 2013 Societe Generale, New York Branch will be relocating its offices from 1221 Avenue of the Americas, New York, NY 10020 to 245 Park Avenue, New York, NY 10167. 2 EFTA01470159 SUMMARY Because this is a summary, it does not contain all of the information that may be important to you. You should read this summary together with the more detailed information that is contained in (i) this Pricing Supplement, (ii) the —Description of the Notesli section in the accompanying Product Supplement and (iii) the —Description of the Notesil section in the accompanying Offering Memorandum. What are the Notes? The Notes are senior unsecured obligations issued by us and are fully and unconditionally guaranteed by Societe Generale, New York Branch (—SGNYII or the -Guarantoril) as to the payment of all amounts, when and as they become due and payable. The Notes are not, and will not be, rated by any nationally recognized statistical rating organization. The Notes are securities in the same series as and have equal rights and obligations as investment grade rated notes and certificates issued by us under the Program (as defined on the cover page of the accompanying Product Supplement). The Notes are substantially riskier than ordinary debt securities. Unlike ordinary debt securities, the Notes do not guarantee the return of any portion of your initial investment in the Notes on the Maturity Date and do not pay any interest. Subject to the Issuer's and the Guarantor's credit risk (ability to pay), payment at maturity is linked to the performance of the Reference Commodity indicated on the cover page of this Pricing Supplement. The Notes are non-principal protected; therefore, your principal is at risk and you could lose some or all of your investment in the Notes. The return (if any) on the Notes is linked solely to the settlement price of a single commodity, WTI Crude. The Commodity Performance reflects the averaged performance of the settlement price of WTI Crude, expressed as a percentage, from the Initial Commodity Value to the Final Commodity Value (which reflects the arithmetic average of the Closing Values of the Reference Commodity on each of the five Final Averaging Dates), with each Closing Value used to determine the Commodity Performance as published by the NYMEX and displayed on Bloomberg under the symbol —CL1II on the relevant date of determination. For additional information about WTI Crude, please see the information set forth under Annex A in the accompanying Product Supplement. ANY PAYMENT ON THE NOTES IS SUBJECT TO THE CREDITWORTHINESS (ABILITY TO PAY) OF THE ISSUER AND THE GUARANTOR. EFTA01470160 The offering of the Notes is being made by SG Americas Securities, LLC (—SGASII), an affiliate of the issuer, pursuant to FINRA Rule 5121. Also see the section —Risk Factors — We will sell the Notes through our affiliate, SGAS; Potential conflict of interestli in the accompanying Product Supplement. For a detailed description of the general terms of the Notes, see the section —Description of the Notesil in the accompanying Product Supplement and the section —Description of the NotesH in the accompanying Offering Memorandum. What is the minimum required purchase or transfer amount? The minimum investment in the Notes is $10,000 or 10 Notes. No person may, at any time, purchase or transfer Notes in an amount less than $10,000. Do I get my principal back at maturity? The Notes are not principal protected, so you are not guaranteed to receive any return of your principal at maturity. Therefore, your entire principal is at risk. If a Downside Trigger Event has occurred on the Final Valuation Date (which means the Commodity Performance will be negative), your entire invested principal will be exposed to such negative performance. In such case, for each 1% difference between zero and the Commodity Performance, you will lose 1% of the Notional Amount of your Notes. Accordingly, if a Downside Trigger Event happens on the Final Valuation Date, you will lose more than 21.25% and could lose up to 100% of your investment in Notes. 3 EFTA01470161 Is there a limit on how much you can lose on the Notes? No. Your entire principal investment will be at risk, and you could lose up to 100% of your principal. If a Downside Trigger Event has occurred on the Final Valuation Date, the Commodity Performance will be negative and you will lose 1% of the Notional Amount of your Notes for each 1% difference between zero and the Commodity Performance. Accordingly, in this case, you will lose a significant portion (by more than 21.25%) and could lose up to 100% of your initial principal investment in the Notes. Will I receive any coupon payments on the Notes? No. You will not be entitled to any coupon or interest payments during the term of the Notes. Accordingly, your return on the Notes may be less than that which would be payable on a conventional fixed-rate debt security with the same maturity issued by a company with creditworthiness comparable to the Issuer or the Guarantor. How is the Final Commodity Value determined? The Final Commodity Value, which is calculated on the Final Valuation Date, is based on the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates. Therefore, the Final Commodity Value may be less than the Closing Values of the Reference Commodity prior to such dates or on any such dates individually. Since the Final Commodity Value is calculated based on the Closing Values of the Reference Commodity on each of the Final Averaging Dates, the values of the Reference Commodity prior to such dates will not be used to determine the Redemption Amount. Therefore, no matter how high the values of the Reference Commodity may be during the term of the Notes, only the Closing Values of the Reference Commodity on each of the Final Averaging Dates will be used to calculate the Final Commodity Value and therefore your Redemption Amount at maturity. In addition, because the Final Commodity Value is based on the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates, the Final Commodity Value calculated in this manner may be lower than the value of the Reference Commodity on any one or more of such dates individually. What is a Downside Trigger Event? A Downside Trigger Event occurs if, on the Final Valuation Date, the Final Commodity Value of the Reference Commodity, which is the arithmetic average of the Closing Values of the Reference Commodity on each of the five Final Averaging Dates, is less than the Initial Commodity Value by more EFTA01470162 than 21.25%. Therefore, if the Final Commodity Value of the Reference Commodity on the Final Valuation Date is less than the Downside Trigger Reference Value (which is 78.75% of the Initial Commodity Value), you will lose more than 21.25% and could lose up to 100% of your initial principal investment in the Notes. What are the consequences of a Downside Trigger Event? If a Downside Trigger Event occurs on the Final Valuation Date, your ability to receive your invested principal and at least the Contingent Minimum Return of 10.00% WILL BE TERMINATED. In such case, your principal will be fully exposed to the averaged depreciation of the Reference Commodity over the Final Averaging Dates, as compared to the Initial Commodity Value. As a result, you could lose a significant portion and may lose up to 100% of your initial principal investment in the Notes. Can you give me examples of the Redemption Amount payable on the Maturity Date? Payment on the Maturity Date will be linked to the performance of the Reference Commodity over the term of the Notes. On the Maturity Date, for each $1,000 Notional Amount of Notes that you hold, you will receive a Redemption Amount (if any) based on the Commodity Performance, as described on the cover page of this Pricing Supplement. In this Pricing Supplement, we have provided under the heading —Hypothetical Payments on the Notes at Maturityll the hypothetical returns and payments that an investor would receive at maturity for each 4 EFTA01470163 $1,000 Notional Amount of Notes, based on whether or not a Downside Trigger Event has occurred on the Final Valuation Date and various hypothetical values of the Reference Commodity. These examples are for illustrative purposes only and the hypothetical returns set forth in this Pricing Supplement may or may not be the actual returns received by a purchaser of the Notes. Who calculates the Redemption Amount payable on the Maturity Date? We have appointed our affiliate, Societe Generale, to act as Calculation Agent for the Notes. As Calculation Agent, Societe Generale will determine, among other things, the Initial Commodity Value, the Closing Value and Final Commodity Value of the Reference Commodity, the Commodity Performance, whether or not a Downside Trigger Event has occurred and the Redemption Amount per Note. The Calculation Agent will adjust the terms of the Notes based on certain events affecting the Reference Commodity. The accompanying Product Supplement provides the method of various adjustments in order to take into account the consequences on the Notes relating to events such as a Market Disruption Event, any discontinuation or modification of the Reference Commodity, any alteration of method of calculating the value of the Reference Commodity and a Change in Law Disruption Event. See —Risk Factors — Potential conflictsll in this Pricing Supplement. You should be aware that The Pricing Date and each Final Averaging Date (and, therefore, the Final Valuation Date and the Maturity Date) are subject to postponement and certain other adjustments in the event of a Market Disruption Event as described under the section —Description of the Notes — Market Disruption Eventil in the accompanying Product Supplement. The method for various adjustments to the Closing Value, Initial Commodity Value and Final Commodity Value of the Reference Commodity and the calculation of the Commodity Performance is provided under —Description of the Notes—Discontinuation or Modification of a Reference Commodity; Alteration of Method of Calculationli in the accompanying Product Supplement. The Final Averaging Dates (in the same number of consecutive Scheduled Trading Days ending on the accelerated Final Valuation Date) are subject to acceleration upon occurrence of an Event of Default as described under —Description of the Notes — Accelerationli in the accompanying Product Supplement. EFTA01470164 The determination of the Final Commodity Value may be made at an earlier date upon a Change in Law Disruption Event as described —Description of the Notes — Change in Lawil in the accompanying Product Supplement. Is there a secondary market for Notes? The Issuer and the Guarantor do not intend to apply for listing of the Notes on any securities exchange or for quotation on any inter-dealer quotation system. Accordingly, there may be little or no secondary market for the Notes and, as such, information regarding independent market pricing for the Notes may be extremely limited. The Issuer, the Placement Agent or any of their respective affiliates may, but are not obligated to, make a secondary market in the Notes and may cease market- making activities if commenced at any time. Because we do not expect other broker-dealers to participate in the secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which the Issuer, the Placement Agent or any of their respective affiliates are willing to transact. If none of the Issuer, the Placement Agent or any of their respective affiliates makes a market for the Notes, there will not be a secondary market for the Notes. There can be no assurance that a secondary market will develop or, if developed, that it would provide enough liquidity to allow you to trade or sell your Notes easily. Who should consider investing in the Notes? The Notes are not suitable for all investors. The Notes may NOT be suitable for you if: II 5 You are not familiar with or do not understand the commodities market. EFTA01470165 IIYou do not believe the Reference Commodity will appreciate, on an averaged basis, over the Final Averaging Dates, as compared to the Initial Commodity Value. IIYou anticipate that on the Final Valuation Date, the Final Commodity Value (being equal to the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates) will be less than the Initial Commodity Value by more than 21.25%. IIYou are not willing to make an investment that, should a Downside Trigger Event occur on the Valuation Date, will fully expose your initial principal investment to the depreciation of the Reference Commodity over the term of the Notes, resulting in the loss of some or all of your rincipal. p rI You are unwilling to assume the risk of losing some or all of your initial investment. II You are unable or unwilling to hold the Notes to maturity. IIYou seek an investment that has some degree of principal protection at maturity. IIYou prefer to receive interest payments and, therefore, seek current income from this investment. IIYou prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities issued by an issuer with a similar creditworthiness to that of the Guarantor. II You seek an investment for which there will be an active secondary market. IIYou are not comfortable with investing in unsecured obligations issued by us. IIYou are not comfortable with the creditworthiness of the Issuer and Guarantor. The suitability considerations identified above are not exhaustive. Whether the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Notes in light of your particular circumstances. EFTA01470166 6 EFTA01470167 RISK FACTORS The Notes are generally riskier than ordinary debt securities. This section of the Pricing Supplement describes some risk considerations relating to the Notes. Additional risk factors are described in the accompanying Product Supplement and Offering Memorandum. You should carefully consider all of the information set forth herein and in the accompanying Product Supplement and Offering Memorandum and whether the Notes are suited to your particular circumstances before you decide to purchase them. The Notes may not be suitable for you; you must rely on your own evaluation of the merits as well as the risks of an investment in the Notes You should reach a decision to invest in the Notes only after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives, risk appetite and the information (including risk factors) set out in this Pricing Supplement, the Product Supplement and the Offering Memorandum. The Notes may not be suitable for you and, therefore, you, with your advisors, should make a complete investigation into the merits of and the risks involved in an investment in the Notes. Neither we nor our affiliates make any recommendation as to the suitability of the Notes for investment. Credit risk of the Issuer and Guarantor; trading value of the Notes will be affected by the market's view of our creditworthiness; neither the Notes nor the Guarantee is insured by the FDIC The Notes are subject to our and the Guarantor's credit risk and our and the Guarantor's creditworthiness may adversely affect the market value of the Notes. Investors are dependent on our and Guarantor's ability to pay all amounts due under the terms of the Notes. Therefore, investors are subject to our and the Guarantor's credit risk and to the changes in the market's view of our and the Guarantor's creditworthiness. Our ability to pay our obligations under the Notes is dependent upon a number of factors, including our and the Guarantor's creditworthiness, financial conditions and results of operations. No assurance can be given, and none is intended to be given, that you will receive any amount on your investment in the Notes. In the event the Issuer and the Guarantor were to default on their obligations, you may not receive the amounts owed to you under the terms of the Notes. YOU FACE THE RISK OF NOT RECEIVING ANY PAYMENT ON YOUR INVESTMENT IF WE OR THE GUARANTOR FILE FOR BANKRUPTCY OR ARE OTHERWISE UNABLE TO PAY OUR OR ITS DEBT OBLIGATIONS. If the Issuer or the Guarantor defaults on its obligations under the Notes, EFTA01470168 your investment would be at risk and you could lose some or all of your investment. See —Risk Factors — Your Return may be limited or delayed by the insolvency of Societe Generalell and —Description of the Notes — Events of Default and Remedies; Waiver of Past Defaultsfi in the Offering Memorandum. You should also be aware that the trading value of the Notes prior to redemption by us will be affected by changes in the market's view of our creditworthiness. Any actual or anticipated decline in our creditworthiness is likely to adversely affect the value of the Notes. The Indenture does not contain any restrictions on our ability or the ability of any of our affiliates to sell, pledge or otherwise convey all or any securities. We, the Guarantor and our affiliates will not pledge or otherwise hold any security for the benefit of holders of the Notes. Consequently, in the event of a bankruptcy, insolvency or liquidation involving us or the Guarantor, as applicable, any securities we hold as a hedge to the Notes will be subject to the claims of our creditors generally and will not be available specifically for the benefit of the holders of the Notes. Neither the Notes, the Guarantee nor your investment in the Notes are insured by the United States Federal Deposit Insurance Corporation (—FDICII), the Bank Insurance Fund or any U.S. or French governmental or deposit insurance agency. Therefore, neither the Notes nor the Guarantee are deposit liabilities of the Issuer or the Guarantor, respectively. The Notes are not insured by any third parties The Notes will be solely our and the Guarantor's obligations, and no other third party entity will have any obligation, contingent or otherwise, to make any payments or deliveries with respect to the Notes. 7 EFTA01470169 Your entire principal is at risk; No guaranteed return of any portion of your initial principal investment in the Notes The Notes are not principal protected, so you are not guaranteed to receive any return of your principal at maturity. Therefore, your entire principal is at risk. Our payout to you at maturity for each Note will depend on the Final Commodity Value, which, in turn, is based on the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates. If a Downside Trigger Event has occurred (i.e., if the Final Commodity Value of the Reference Commodity, being equal to the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates, is less than the Initial Commodity Value by more than 21.25%), your entire principal investment will be exposed to the depreciation of the Reference Commodity over the term of the Notes. In such case, for each 1% difference between zero and the Commodity Performance you will lose 1% of the Notional Amount of your Notes. If a Downside Trigger Event has occurred on the Final Valuation Date, you will lose more than 21.25% and could lose up to 100% of your initial principal investment in the Notes. Your investment in the Notes may result in a loss of up to 100% of your principal; the Notes do not pay any coupon The Notes do not guarantee the return of any portion of your initial principal investment and, therefore, your investment in the Notes may result in a loss (up to 100% of your principal amount in the Notes). The terms of the Notes differ from those of ordinary debt securities in that we will not pay you any coupon, we will not pay you a fixed amount on the Maturity Date and we may pay you less than your initial investment amount in the Notes. As a result, your return, if any, on the Notes may be less than that which would be payable on such ordinary debt securities or other investments. Furthermore, even if the Notes pay a positive return at maturity, such return may be less than that which would be payable on a conventional fixed-rate debt security with the same maturity issued by a company with creditworthiness comparable to ours or the Guarantor or other investments. The return on the Notes (if any) may not compensate you for any opportunity cost implied by inflation and other factors relating to the time value of money. You should be aware that our payout to you at maturity for each Note will depend on the performance of the Final Commodity Value, as compared to the Initial Commodity Value, EFTA01470170 whether a Downside Trigger Event has occurred, and the extent to which the Commodity Performance is positive or negative. If a Downside Trigger Event has occurred, you will lose some or all of your initial investment in the Notes. Limited protection against loss Subject to the credit risk of the Issuer and the Guarantor, your principal is conditionally protected against loss so long as the Reference Commodity does not depreciate by more than 21.25% against its Initial Commodity Value on the Final Valuation Date. However, if the Final Commodity Value of the Reference Commodity on the Final Valuation Date is less than the Downside Trigger Reference Value (which reflects 78.75% of the Initial Commodity Value), a Downside Trigger Event will occur, and the payoff at maturity will be fully exposed to the depreciation of the Reference Commodity on the Final Valuation Date, which means that you will lose some or all of your initial principal investment in the Notes. Under such circumstance, for each 1.00% difference between zero and the Commodity Performance, you will lose 1.00% of the Notional Amount of your Notes. You will be subject to this potential loss of principal (up to 100% of your principal) even if the Closing Value of the Reference Commodity on one or more Scheduled Trading Days prior to the Final Averaging Dates (or on any such Final Averaging Dates individually) is greater than the Downside Trigger Reference Value. 8 EFTA01470171 Your ability to receive the Contingent Minimum Return of 10.00% and your conditional protection may terminate on the Final Valuation Date If the Final Commodity Value of the Reference Commodity (being equal to the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates) is less than the Downside Trigger Reference Value (thereby triggering a Downside Trigger Event), you will lose the right to receive the Contingent Minimum Return of 10.00% on the Notes, your conditional principal protection will be terminated and the payoff at maturity will be fully exposed to the averaged depreciation of the Reference Commodity, as compared to the Initial Commodity Value, over the Final Averaging Dates (i.e., negative Commodity Performance). Under this circumstance, the Commodity Performance will be negative and you will lose 1.00% of the principal amount of your initial investment for every 1% that the Final Commodity Value is less than the Initial Commodity Value. Accordingly, you will lose a significant portion and could lose all of your invested principal in the Notes. Risk of a Downside Trigger Event occurring is greater if the Reference Commodity is volatile The likelihood of the Final Commodity Value being less than the Downside Trigger Reference Value, and thereby triggering a Downside Trigger Event, will depend in large part on the volatility of the Reference Commodity (e.g., the frequency and magnitude of changes in the value of the Reference Commodity). The value of the Reference Commodity has in the past experienced significant volatility. If a Downside Trigger Event has occurred on the Final Valuation Date, you will lose a significant portion and could lose up to 100% of your initial principal investment in the Notes. The Final Commodity Value is based on the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates and may be less than the Closing Values of the Reference Commodity prior to such dates or on any such dates individually Since the Final Commodity Value is calculated based on the Closing Values of the Reference Commodity on each of the five Final Averaging Dates, the Closing Values of the Reference Commodity prior to such dates will not be used to determine the Redemption Amount. Therefore, no matter how high the value of the Reference Commodity may be during the term of the Notes, only the Closing Values of the Reference Commodity on each of the Final Averaging Dates will be used to calculate the Final Commodity Value EFTA01470172 and therefore your Redemption Amount at maturity. In addition, because the Final Commodity Value is based on the arithmetic average of the Closing Values of the Reference Commodity on each of the Final Averaging Dates, the Final Commodity Value calculated in this manner may be lower than the Closing Value of the Reference Commodity on any one or more of such dates individually. Accordingly, the averaging feature may decrease the Final Commodity Value and therefore your return on the Notes. Method of adjustment, valuation or substitution may negatively affect the value of the Notes The accompanying Product Supplement provides the method of adjustment, postponement, early valuation or substitution in order to take into account the consequences on the Notes of certain events (including any Market Disruption Event, Hedging Disruption Event and Change in Law Disruption Event) which may affect the Reference Commodity. Any such adjustment, postponement, early valuation or substitution may adversely affect the value of and/or the return on the Notes. Moreover, any such adjustment, postponement, early valuation or substitution may adversely affect (i) the timing when the Initial Commodity Value or the Final Commodity Value of the Reference Commodity on the Final Valuation Date is determined, which could adversely affect your return on the Notes, and/or (ii) the timing of the Maturity Date and, therefore, the timing of any payment at maturity. Lack of liquidity; secondary market is not guaranteed The Notes are most suitable for purchasing and holding to maturity. The Notes will be new securities for which there is no trading market. The Issuer and the Guarantor do not intend to apply for listing of the Notes on any securities exchange or for quotation on any inter-dealer quotation System. While SGAS has advised the Issuer that it intends to make a secondary market in the Notes, SGAS has no obligation to make such a market and may cease market-making activities (if commenced) at any time. SGAS will determine its market-making prices in its sole discretion. Because we do not expect other broker-dealers to participate in the secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which SGAS is willing to transact. If SGAS does not make a market for the Notes, there will not be a secondary market for the Notes. There can be no 9 EFTA01470173 assurance that a secondary market will develop or, if developed, that it would provide enough liquidity to allow you to trade or sell your Notes easily. Certain built-in costs are likely to adversely affect the value of the Notes prior to maturity While the Redemption Amount described in this Pricing Supplement is based on your full principal investment in the Notes, the original Issue Price of the Notes includes the Distributors' commission and the cost of hedging our obligations under the Notes through one or more of our affiliates. As a result, the price, if any, at which SGAS (or another broker-dealer affiliated with us) may be willing to purchase the Notes from you in secondary market transactions will likely be lower than the origina