Published on 3/25/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $1.09 million leveraged buffered notes on index basket
By Tali Rackner
Norfolk, Va., March 25 – GS Finance Corp. priced $1.09 million of 0% leveraged buffered notes due March 27, 2018 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus three times the basket return, subject to a maximum settlement amount of $1,229.50 per $1,000 principal amount.
Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that the basket declines beyond 10%.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Leveraged buffered notes
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| Underlying indexes: | Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix index (23% weight), Swiss Market index (9% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $1,085,000
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| Maturity: | March 27, 2018
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | If basket return is positive, par plus three times the basket return, capped at payout of par plus 22.95%; par if basket declines by 10% or less; 1.1111% loss for every 1% that the basket declines beyond 10%
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| Initial index levels: | 3,048.77 for the Euro Stoxx 50, 6,184.58 for the FTSE 100, 1,345.05 for the Topix index, 7,849.57 for the Swiss Market and 5,166.568 for the S&P/ASX 200
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| Pricing date: | March 21
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| Settlement date: | March 28
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 1.65%
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| Cusip: | 40054K6W1
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