Published on 9/19/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $2.17 million leveraged buffered notes on ETF basket
By Marisa Wong
Morgantown, W.Va., Sept. 19 – GS Finance Corp. priced $2.17 million of 0% leveraged buffered notes due Sept. 17, 2019 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The basket includes the SPDR S&P 500 ETF Trust with a 48% weight, the SPDR S&P MidCap 400 ETF Trust with a 16% weight, the iShares MSCI EAFE ETF with a 16% weight, the iShares Russell 2000 ETF with a 10% weight, the iShares MSCI Emerging Markets ETF with a 7% weight and the iShares MSCI EAFE Small-Cap ETF with a 3% weight.
The payout at maturity will be par plus 200% of any basket gain, subject to a maximum settlement amount of $1,192.50 per $1,000 principal amount.
Investors will receive par if the basket declines by 10% or less and will lose 1% for every 1% that it declines beyond 10%.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Leveraged buffered notes
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| Underlying basket: | SPDR S&P 500 ETF Trust (48% weight), SPDR S&P MidCap 400 ETF Trust (16% weight), iShares MSCI EAFE ETF (16% weight), iShares Russell 2000 ETF (10% weight), iShares MSCI Emerging Markets ETF (7% weight) and iShares MSCI EAFE Small-Cap ETF (3% weight)
|
| Amount: | $2,165,000
|
| Maturity: | Sept. 17, 2019
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus 200% of basket gain, with return capped at 19.25%; par if basket falls by up to 10%; 1% loss for every 1% decline in basket beyond 10%
|
| Initial levels: | $250.05 for SPDR S&P 500, $319.38 for SPDR S&P MidCap, $68.25 for iShares EAFE, $141.54 for iShares Russell, $45.44 for iShares EM and $61.30 for iShares EAFE Small-Cap
|
| Pricing date: | Sept. 12
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| Settlement date: | Sept. 15
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.175%
|
| Cusip: | 40054LR48
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