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Goldman Sachs Bank to price 0.2% CDs on Morningstar Wide Moat Focus Target Volatility 5 index
By Toni Weeks
San Diego, Sept. 18 - Goldman Sachs Bank USA plans to price 0.2% Morningstar Wide Moat Focus Target Volatility 5 index-linked certificates of deposit, according to a term sheet.
The CDs are expected to mature in seven years.
The index allocates exposure between a base index, the Morningstar Wide Moat Focus Total Return index, and a hypothetical cash position based on the degree of variation of the base index over the prior 20 or 60 trading days, whichever is greater, less the Libor rate. The index, which maintains a volatility target of 5% and is rebalanced quarterly, tracks the performance of 20 companies with a sustainable competitive advantage.
The payout at maturity will be par plus a supplemental amount, if any.
If the index gains, meaning the return on the exposure to the base index and the hypothetical cash position exceeds the return on Libor accrued over the life of the notes, the payout at maturity will be par plus the index return. Investors will receive par if the index stays flat or declines.
The Cusip is 38143AA88.
Goldman Sachs & Co. is the agent. Incapital LLC is the distributor.
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