Goldman Sachs plans trigger leveraged notes tied to JPX-Nikkei 400

By Toni Weeks

San Luis Obispo, Calif., April 1 – Goldman Sachs Group, Inc. plans to price 0% trigger leveraged notes due July 7, 2016 tied to the JPX-Nikkei 400 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be based on the closing levels of the index beginning the day after the pricing date and ending about three months after the pricing date.

If the index return during the observation period is zero or positive and every closing index level is greater than 95% of the initial index level, the payout at maturity will be par plus two times the index return subject to a maximum settlement amount of $1,151 per $1,000 principal amount of notes.

Otherwise, the payout will be par plus three times the index return, subject to a maximum settlement amount of $1,226.50.

If the index return is negative, investors will share fully in any losses.

The final index level will be the average of the closing index levels on the five trading days ending July 1, 2016.

The notes (Cusip: 38147QYD2) are expected to price April 2 and settle on April 8.

Goldman Sachs & Co. is the underwriter. J.P. Morgan Securities LLC is the placement agent.

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