Published on 1/31/2018 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $2.91 million leveraged buffered notes on index basket
By Wendy Van Sickle
Columbus, Ohio, Jan. 31 – GS Finance Corp. priced $2.91 million of 0% leveraged buffered notes due Jan. 31, 2020 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 3 times the basket gain, capped at 27.3%. Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline below the initial level if the basket falls by more than 10%.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Leveraged buffered notes
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| Underlying basket: | Euro Stoxx 50 index (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight)
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| Amount: | $2.91 million
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| Maturity: | Jan. 31, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket return is positive, par plus 300% of basket return, capped at 27.3%; par if basket falls by up to 10%; 1.1111% loss for each 1% decline if basket falls by more than 10%
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| Initial levels: | 3,630.15 for Stoxx, 7,615.84 for FTSE, 1,884.56 for Topix, 9,482.96 for Swiss Market, 6,050.023 for S&P/ASX
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| Pricing date: | Jan. 25
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| Settlement date: | Feb. 1
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 1.65%
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| Cusip: | 40055AFW2
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