Published on 2/19/2015 in the Prospect News Structured Products Daily.
New Issue: Goldman Sachs prices $4.36 million leveraged notes tied to index basket
By Toni Weeks
San Luis Obispo, Calif., Feb. 19 – Goldman Sachs Group, Inc. priced $4.36 million of 0% leveraged notes due March 2, 2016 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 58% weight, the FTSE 100 index with a 21% weight and the Topix index with a 21% weight.
The payout at maturity will be par plus the basket return, subject to a maximum settlement amount of $1,213 per $1,000 principal amount of notes.
The basket return will be the sum of the component returns for each index multiplied by its weighting. If an index’s return is positive, the component return will be par plus double the index return, subject to a maximum component return of 21.3%. If an index’s return is zero or negative, the component return will be par plus the index return.
For each index, the final index level will be the average of that index’s closing level on the five trading days ending Feb. 26, 2016.
Goldman Sachs & Co. is the underwriter. J.P. Morgan Securities LLC is the placement agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged basket-linked notes
|
| Underlying basket: | Euro Stoxx 50 index (58% weight), FTSE 100 index (21% weight) and Topix index (21% weight)
|
| Amount: | $4,357,000
|
| Maturity: | March 2, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, with maximum payout of $1,213 per $1,000 of notes
|
| Basket return: | Sum of component returns multiplied by applicable weighting
|
| Component returns: | If an index’s return is positive, par plus double the index return, subject to a maximum component return of 21.3%; if an index’s return is zero or negative, par plus the index return
|
| Initial index levels: | 3,447.59 for Euro Stoxx, 6,873.52 for FTSE 100, 1,449.38 for Topix
|
| Pricing date: | Feb. 13
|
| Settlement date: | Feb. 19
|
| Underwriter: | Goldman Sachs & Co.
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 38147QUD6
|
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