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Goldman plans 60-month notes tied to Motif Capital Aging of America 7
By Susanna Moon
Chicago, Nov. 4 – GS Finance Corp. plans to price 0% 60-month notes linked to the Motif Capital Aging of America 7 ER index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Goldman Sachs Group, Inc.
The payout at maturity will be par plus 125% to 135% of any index gain, with the exact participation rate to be set at pricing.
If the index falls, the payout will be par.
The index is made up of equity securities listed on U.S. exchanges of companies concentrated in the healthcare and real estate sectors that may benefit from the long-term demographic shift towards an older population in the United States.
Each security included in the index is subject to a maximum and minimum weight limit.
In addition, the index has a 7% volatility control that rebalances the weight assigned to equity securities into a money market position if necessary to limit volatility.
Historically “a very significant portion” of up to 90% of the index has been allocated to the money market position.
The index return is calculated from the amount by which the equity positions and the money market position outperforms three-month Libor plus 75 basis points.
As of Oct. 27, the index included 113 stocks. The biggest were Amgen Inc. with a weight of 4.18%, Johnson & Johnson with a weight of 4.07%, Novartis AG at 3.31%, Celgene Corp. at 3.14%, Novo Nordisk A/S at 2.77%, Medtronic plc at 2.65%, UnitedHealth Group Inc. at 2.64%, Abbvie Inc. at 2.12%, Pfizer Inc. at 2.09% and Merck & Co. Inc. at 1.97%. On that date, 47.47% of the index was allocated to the money market position.
Goldman Sachs & Co. is the agent for the note offering.
The Cusip number is 40054KNY8.
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