Published on 7/26/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $1 million leveraged buffered notes linked to basket
By Angela McDaniels
Tacoma, Wash., July 26 – GS Finance Corp. priced $1 million of 0% leveraged buffered notes due July 29, 2019 linked to a basket of indexes and one exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The basket includes the Russell 2000 index with a 40% weight, the Euro Stoxx 50 index with a 25% weight, the S&P 500 index with a 15% weight, the S&P MidCap 400 index with a 10% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 10% weight
If the basket return is positive, the payout at maturity will be par plus 120% of the basket return, subject to a maximum settlement amount of $1,330 per $1,000 principal amount of notes. Investors will receive par if the basket falls by up to 10% and will lose 1% for every 1% that the basket may decline beyond 10%.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered notes
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| Underlying basket: | Russell 2000 index (40% weight), Euro Stoxx 50 index (25% weight), S&P 500 index (15% weight), S&P MidCap 400 index (10% weight) and iShares MSCI Emerging Markets ETF (10% weight)
|
| Amount: | $1 million
|
| Maturity: | July 29, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus 120% of basket return, subject to 33% maximum return; par if basket falls by up to 10%; 1% loss for every 1% decline in basket beyond 10%
|
| Initial levels: | 1,438.055 for Russell 2000, 3,453.17 for Euro Stoxx 50, 2,469.91 for S&P 500, 1,776.80 for S&P MidCap 400 and $43.76 for ETF
|
| Pricing date: | July 24
|
| Settlement date: | July 27
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.175%
|
| Cusip: | 40054LLB8
|
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