By Jennifer Chiou
New York, May 3 - Goldman Sachs Group, Inc. priced $13.49 million of 0% leveraged buffered basket-linked notes due May 16, 2012 linked to three indexes each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight.
The initial level and final level of each index will be converted from its underlying currency into dollars at the exchange rate then in effect. The underlying currency is the euro for the Euro Stoxx 50, the British pound for the FTSE 100 and the Japanese yen for the Topix.
The payout at maturity will be par plus the sum of the weighted index returns.
If a basket index finishes above its initial level, its return will be double the gain, subject to a cap. If an index declines by 10% or less, its return will be 0%. If an index declines by more than 10%, its return will be 0% minus 1.111111% for every 1% decline beyond 10%.
The cap is 22.12% for the Euro Stoxx 50, 12% for the FTSE 100 and 7% for the Topix.
The final level of each index will be the average of its converted levels on the five trading days ending May 11, 2012.
J.P. Morgan Securities LLC is the lead agent with Goldman Sachs & Co. as co-agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered basket-linked notes
|
| Underlying indexes: | Euro Stoxx 50 (51% weight), FTSE 100 (25% weight) and Topix (24% weight)
|
| Amount: | $13,485,000
|
| Maturity: | May 16, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted index returns
|
| Index return: | If index finishes above initial level, double the gain, subject to cap of 22.12% for Euro Stoxx, 12% for FTSE 100 and 7% for Topix; if index declines by 10% or less, 0%; otherwise, 0% minus 1.111111% for every 1% decline beyond 10%
|
| Initial converted levels: | 4,454.800659 for Euro Stoxx 50; 10,104.56253 for FTSE 100; 10.45728 for Topix
|
| Initial exchange rates: | 1.4823 dollars per euro; 1.6647 dollars per pound; 1 dollar per 81.46 yen
|
| Pricing date: | April 28
|
| Settlement date: | May 3
|
| Agents: | J.P. Morgan Securities LLC (lead) and Goldman Sachs & Co. (co-agent)
|
| Fees: | 1.1%
|
| Cusip: | 38143UUB5
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
