Published on 11/30/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $2.5 million leveraged buffered notes on index basket
By Marisa Wong
Morgantown, W.Va., Nov. 30 – GS Finance Corp. priced $2.5 million of 0% leveraged buffered notes due May 21, 2020 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 1.56 times the basket gain. Investors will receive par if the basket falls by up to 12.5% and will lose 1.1429% for every 1% that the basket may decline beyond 12.5%.
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 basket: | Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $2.5 million
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| Maturity: | May 21, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket return is positive, par plus 156% of basket return; par if basket falls by up to 12.5%; 1.1429% loss for every 1% decline in basket beyond 12.5%
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| Initial levels: | 3,564.96 for Euro Stoxx, set higher than actual closing level on pricing date, which was 3,547.46; 7,386.94 for FTSE, set higher than actual closing level on pricing date, which was 7,380.68; 1,778.11 for Topix, set higher than actual closing level on pricing date, which was 1,763.76; 9,137.77 for Swiss Market, set lower than actual closing level on pricing date, which was 9,183.61; and 5,943.500 for S&P/ASX, set lower than actual closing level on pricing date, which was 5,957.254
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| Pricing date: | Nov. 17
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| Settlement date: | Nov. 27
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 1.805%
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| Cusip: | 40055A4M6
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