By Angela McDaniels
Tacoma, Wash., Oct. 30 – Goldman Sachs Group, Inc. priced $3.9 million of 0% notes due Nov. 1, 2021 linked to the GS Momentum Builder Multi-Asset 5 ER index, according to a 424B2 filing with the Securities and Exchange Commission.
The index measures the extent to which the performance of the underlying assets included in the index outperform the sum of Libor plus 50 basis points per year. The assets are up to 14 exchange-traded funds and a money market position and provide exposure to equities, fixed income, emerging markets, alternatives, commodities, inflation and cash equivalent asset classes. The index is rebalanced monthly. Its realized volatility for the prior month is calculated daily. If that volatility exceeds 6% on any day, the index is rebalanced for that day.
If the index return is positive, the payout at maturity will be par plus 300% of the index return. If the index return is negative or zero, the payout will be par.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Notes
|
| Underlying index: | GS Momentum Builder Multi-Asset 5 ER index
|
| Amount: | $3,898,000
|
| Maturity: | Nov. 1, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index return is positive, par plus 300% of index return; if index return is negative or zero, par
|
| Initial index level: | 108.59
|
| Pricing date: | Oct. 27
|
| Settlement date: | Oct. 30
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 4.35%
|
| Cusip: | 38147QHY5
|
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