Published on 3/9/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $14.09 million leveraged buffered notes on index basket
By Wendy Van Sickle
Columbus, Ohio, March 9 – GS Finance Corp. priced $14.09 million of 0% leveraged buffered notes due March 7, 2019 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 includes the Euro Stoxx 50 index with a 37% initial weight, the FTSE 100 index with a 23% initial weight, the Tokyo Stock Price index with a 23% initial weight, the Swiss Market index with a 9% initial weight and the S&P/ASX 200 index with an 8% initial weight.
The payout at maturity will be par plus 200% of any basket gain, subject to a maximum settlement amount of $1,218 per $1,000 of notes.
Investors will receive par if the basket declines by 15% or less and will lose 1.1765% for every 1% that it declines beyond 15%.
Goldman, Sachs & Co. is the agent.
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% initial weight), FTSE 100 (23% initial weight), Tokyo Stock Price (23% initial weight), Swiss Market (9% initial weight) and S&P/ASX 200 (8% initial weight)
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Amount: | $14,089,000
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Maturity: | March 7, 2019
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Coupon: | 0%
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Price: | Par of $1,000
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Payout at maturity: | Par plus 200% of any basket gain, capped at 21.8%; par if basket falls by up to 15%; 1.1765% loss for every 1% drop beyond 15%
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Initial levels: | 3,403.39 for Euro Stoxx, 7,374.26 for FTSE, 1,558.05 for Topix, 8,670.06 for Swiss Market and 5,729.601 for S&P/ASX
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Pricing date: | March 3
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Settlement date: | March 10
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Agent: | Goldman, Sachs & Co.
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Fees: | 1.65%
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Cusip: | 40054KZF6
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