Published on 10/13/2009 in the Prospect News Structured Products Daily.
New Issue: Goldman Sachs prices $11.58 million underlier-linked notes tied to three indexes via JPMorgan
By Angela McDaniels
Tacoma, Wash., Oct. 13 - Goldman Sachs Group, Inc. priced $11.58 million of 0% underlier-linked notes due Oct. 27, 2010 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
Goldman, Sachs & Co. and J.P. Morgan Securities Inc. are the underwriters.
The basket includes the Dow Jones Euro Stoxx 50 index with a 49% weight, the Topix index with a 28% weight and the FTSE 100 index with a 23% weight.
The payout at maturity will be par plus the sum of the weighted index returns.
If a basket index finishes above its initial level, its return will be double the gain, subject to a cap. If an index declines by 10% or less, its return will be 0%. If an index declines by more than 10%, its return will be 0% minus 1.1111% for every 1% decline beyond 10%.
The cap is 25% for the Euro Stoxx 50, 11% for the FTSE 100 and 6% for the Topix. Based on these caps, the maximum payout at maturity is $1,164.60 per $1,000 principal amount of notes.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Underlier-linked notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 (49% weight), Topix (28% weight) and FTSE 100 (23% weight)
|
| Amount: | $11,576,000
|
| Maturity: | Oct. 27, 2010
|
| Coupon: | 0%
|
| Price: | Variable
|
| Payout at maturity: | Par plus sum of weighted index returns
|
| Index returns: | If index finishes above its initial level, double the gain, capped at 25% for Euro Stoxx 50, 11% for FTSE 100 and 6% for Topix; if index declines by 10% or less, 0%; otherwise, 0% minus 1.1111% for every 1% decline beyond 10%
|
| Initial index levels: | 2,882.18 for Euro Stoxx 50; 5,161.87 for FTSE 100; 897.83 for Topix
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| Final index levels: | For each index, the average of its closing levels on the five trading days ending Oct. 22, 2010
|
| Pricing date: | Oct. 9
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| Settlement date: | Oct. 14
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| Underwriters: | Goldman, Sachs & Co. and J.P. Morgan Securities Inc.
|
| Fees: | 1.1%
|
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