Published on 2/5/2016 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $19.56 million leveraged notes linked to Euro Stoxx, Topix, FSTE 100
By Angela McDaniels
Tacoma, Wash., Feb. 5 – Goldman Sachs Group, Inc. priced $19.56 million of 0% leveraged basket-linked notes due Feb. 27, 2017 linked to a basket comprised of the Euro Stoxx 50 index (58% weight), the Topix index (23% weight) and the FTSE 100 index (19% weight), according to a 424B2 filing with the Securities and Exchange Commission.
For each $1,000 principal amount of notes, the payout at maturity will be $1,000 multiplied by the basket return, which will be the sum of the weighted component returns for each index. There is no principal protection, so the payout may be less than par.
If an index’s return is positive, its component return will be sum of 100% plus the product of two times that index’s return, subject to a maximum component return of 126.4%. If an index’s return is zero or negative, its component return will be the sum of 100% plus its return.
Each index’s final level will be the average of its closing levels on the five trading days ending Feb. 22, 2017.
Goldman Sachs & Co. is the underwriter. J.P. Morgan Securities LLC is agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged basket-linked notes
|
| Underlying indexes: | Euro Stoxx 50 (58% weight), Topix (23% weight) and FTSE 100 (19% weight)
|
| Amount: | $19,562,000
|
| Maturity: | Feb. 27, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | For each $1,000 principal amount of notes, $1,000 multiplied by basket return, which equals sum of weighted component returns for each index
|
| Component return: | If index’s return is positive, sum of 100% plus product of two times that index’s return, subject to maximum component return of 126.4%; if index’s return is zero or negative, sum of 100% plus its return
|
| Initial index levels: | 2,896.63 for Euro Stoxx 50, 5,837.14 for FTSE 100 and 1,406.27 for Topix
|
| Final index levels: | Average of closing levels on five trading days ending Feb. 22, 2017
|
| Pricing date: | Feb. 3
|
| Settlement date: | Feb. 8
|
| Underwriter: | Goldman Sachs & Co.
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 38148TLV9
|
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