By Angela McDaniels
Tacoma, Wash., Aug. 3 - Goldman Sachs Group, Inc. priced $4 million of 0% leveraged buffered medium-term notes due Aug. 8, 2016 linked to the S&P GSCI Ultra Light Energy Enhanced E96 Excess Return Strategy, according to a 424B2 filing with the Securities and Exchange Commission.
If the strategy return is positive, the payout at maturity will be par plus 1.12 times the strategy return. Investors will receive par if the strategy return is zero or negative but not below negative 10% and will lose 1.1111% for every 1% that the strategy declines beyond 10%.
The strategy reflects the excess returns that are potentially available through an unleveraged investment in the same commodity contracts that are included in the S&P GSCI Ultra Light Energy Index Excess Return. The strategy is calculated on a basis similar to the index, but it is adjusted to apply certain dynamic and modified rolling rules to certain contracts in the index and to have a different roll period than the index.
Goldman Sachs & Co. is the underwriter.
Issuer: | Goldman Sachs Group, Inc.
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Issue: | Leveraged buffered medium-term notes
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Underlying strategy: | S&P GSCI Ultra Light Energy Enhanced E96 Excess Return Strategy
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Amount: | $4 million
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Maturity: | Aug. 8, 2016
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 1.12 times strategy return if strategy return is positive; par if strategy return is zero or negative but not below negative 10%; 1.1111% loss for every 1% that strategy declines beyond 10%
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Initial strategy level: | 199.9
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Pricing date: | Aug. 1
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Settlement date: | Aug. 8
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Underwriter: | Goldman Sachs & Co.
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Fees: | 1.8%
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Cusip: | 38143U5R8
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