By Jennifer Chiou
New York, Dec. 4 - Goldman Sachs Group, Inc. priced $200,000 of 0% trigger notes due Dec. 3, 2018 tied to the Morningstar Wide Moat Focus Target Volatility 20 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than or equal to the trigger level, 75% of the initial level, the payout at maturity will be par plus the greater of the index return and zero. If the final level is less than the trigger level, investors will be fully exposed to losses.
The index allocates exposure between the Morningstar Wide Moat Focus Total Return index (the base index) and a hypothetical cash position based on the volatility of the base index over the prior 20 or 60 trading days, whichever is greater, less Libor. The index maintains a volatility target of 20% 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.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Trigger notes
|
| Underlying index: | Morningstar Wide Moat Focus Target Volatility 20
|
| Amount: | $200,000
|
| Maturity: | Dec. 3, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index closes at or above in trigger level, par plus greater of index return and zero; otherwise, exposure to losses
|
| Initial level: | 3,099.1656
|
| Tigger level: | 2,324.3742, 75% of initial level
|
| Pricing date: | Nov. 28
|
| Settlement date: | Nov. 30
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 3.875%
|
| Cusip: | 38141GHU1
|
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