Goldman removes coupon from leveraged notes tied to Morningstar index

By Angela McDaniels

Tacoma, Wash., Oct. 2 - Goldman Sachs Group, Inc. amended its planned offering of five-year leveraged notes linked to the Morningstar Wide Moat Focus Target Volatility 5 index, lowering the interest rate to zero from 0.5%, according to a 424B2 filing with the Securities and Exchange Commission.

The remaining terms of the notes are unchanged.

As previously reported, if the index return is positive, the payout at maturity will be par plus 1.1 to 1.25 times the index return. The exact participation rate will be set at pricing. If the index return is zero or negative, the payout will be par.

The index allocates exposure between the Morningstar Wide Moat Focus Total Return index (the base 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 degree is greater, less Libor. The index maintains a volatility target of 5% by allocating exposure between the base index and a hypothetical cash position that earns interest based on the federal funds effective rate.

The objective of the base index is to track the performance of companies that Morningstar believes have a sustainable competitive advantage, which Morningstar refers to as a "wide economic moat." The base index is reconstituted and rebalanced on a quarterly basis. It consists of an equally weighted basket of the 20 U.S. stocks with a wide economic moat that have the lowest ratios of current market price to fair value price, as determined by Morningstar.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38143U7B1.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.