By Angela McDaniels
Tacoma, Wash., Jan. 13 – Goldman Sachs Group, Inc. priced $17.55 million of 0% relative performance notes due Jan. 27, 2016 linked to the performance of the S&P 500 index and a basket of three S&P sector indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Select Sector Healthcare index, the Select Sector Financials index and the Select Sector Consumer Discretionary index.
The sector average return will be the average of the returns of the three sector indexes.
If the sector average return and the S&P 500 return are both positive, the payout at maturity will be par plus 115% of the sector average return, subject to a maximum return of 23%.
If the sector average return is positive but the S&P 500 return is negative, the payout will be par plus the sector average return plus the S&P 500 return (e.g., if the sector performance is 10% and the S&P 500 performance is negative 20%, the notes’ return will be negative 10%).
If the sector average return and the S&P 500 return are both negative, the payout will be par minus 1% for every 1% that the S&P 500's final level is less than its initial level.
If the sector average return is negative but the S&P 500 return is positive, the payout will be par.
Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Relative performance notes
|
| Underlying indexes: | S&P 500 index and equally weighted basket consisting of the Select Sector Healthcare, Select Sector Financials and Select Sector Consumer Discretionary indexes
|
| Amount: | $17,545,000
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| Maturity: | Jan. 27, 2016
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If sector average return and S&P 500 return are both positive, par plus 115% of sector average return, subject to maximum return of 23%; if sector average return is positive but S&P 500 return is negative, par plus sector average return plus S&P 500 return; if sector average return and S&P 500 return are both negative, par minus 1% for every 1% that S&P 500's final level is less than initial level; if sector average return is negative but S&P 500 return is positive, par
|
| Initial index levels: | 709.90 for health-care index, 241.17 for financials index, 712.88 for consumer discretionary index and 2,044.81 for S&P 500
|
| Final index levels: | For each index, average of its closing levels on five trading days ending Jan. 22, 2016
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| Pricing date: | Jan. 9
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| Settlement date: | Jan. 14
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| Underwriter: | Goldman Sachs & Co.
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 38147QRH1
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