Published on 12/28/2012 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $15.11 million notes on leveraged buffered index basket
By Toni Weeks
San Diego, Dec. 27 - Goldman Sachs Group, Inc. priced $15.11 million of 0% leveraged buffered basket-linked notes due Jan. 10, 2014 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 56% weight, the Topix index with a 21% weight and the FTSE 100 index with a 23% weight.
The underlying currency is the euro for the Euro Stoxx 50, the Japanese yen for the Topix and the British pound for the FTSE 100.
The initial level of each index will be converted from its underlying currency into dollars at the exchange rate in effect on the pricing date.
On each of five trading days close to the maturity date, each index will be converted at the exchange rate then in effect. The average of these five converted levels will be the index's final level. The five dates are specified in the table.
The payout at maturity will be par plus the basket return, which is the sum of the weighted index returns.
If an index's final level is greater than its initial level, its return will be double the gain, subject to a cap of 15.3%. 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 1.1111% for every 1% decline beyond 10%.
Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as dealer.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered basket-linked notes
|
| Underlying basket: | Euro Stoxx 50 index (56% weight), Topix index (21% weight) and FTSE 100 index (23% weight) and their related currencies (euro, yen and pound, respectively)
|
| Amount: | $15,112,000
|
| Maturity: | Jan. 10, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, which is sum of weighted index returns
|
| Component return: | If an index's final level is greater than its initial level, its return will be double the gain, subject to a cap of 15.3%. 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 1.1111% for every 1% decline beyond 10%.
|
| Initial index levels: | 3,492.6785205 for Euro Stoxx, 9,611.7948185 for FTSE 100 and 9.899191631 for Topix
|
| Final index levels: | Average of closing levels on Dec. 20, 2013, Dec. 27, 2013, Dec. 30, 2013, Jan. 6, 2014 and Jan. 7, 2014
|
| Initial exchange rates: | 1.31745 for euro, 1.61815 for pound, 1/84.12 for Topix
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 27
|
| Underwriter: | Goldman Sachs & Co. with J.P. Morgan Securities LLC as dealer
|
| Fees: | 1.1%
|
| Cusip: | 38141GLJ1
|
© 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.
