GS plans buffered autocallables linked to 25 Euro Stoxx Banks stocks

By Angela McDaniels

Tacoma, Wash., Aug. 28 – GS Finance Corp. plans to price 36- to 39-month 0% autocallable buffered notes linked to a basket of the 25 stocks included in the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.

The basket will include ABN Amro Group NV (4.74% weight), Banco BPM SpA (2.8% weight), Banco Bilbao Vizcaya Argentaria, SA (5% weight), Bank of Ireland (3.63% weight), Bankia SA (2.33% weight), Bankinter, SA (3% weight), BNP Paribas SA (5% weight), CaixaBank SA (5% weight), Credit Agricole SA (5% weight), Commerzbank AG (5% weight), Natixis SA (3.3% weight), UniCredit SpA (5% weight), Deutsche Bank AG (5% weight), BPER Banca SpA (1.31% weight), Erste Group Bank AG (5% weight), FinecoBank Banca Fineco SpA (1.64% weight), ING Groep NV (5% weight), Intesa Sanpaolo SpA (5% weight), KBC Group NV (5% weight), Mediobanca SpA (3.02% weight), Raiffeisen Bank International AG (1.93% weight), Banco de Sabadell SA (5% weight), Banco Santander SA (5% weight), Societe Generale SA (5% weight) and Unione di Banche Italiane SpA (2.3% weight).

To determine the weights of each basket stock, the calculation agent began with the weights of the 25 companies in the index as of Aug. 7. Next, the calculation agent capped the weight of any company that was weighted at more than 5% in the index at 5% and distributed the excess weight to each of the other non-capped basket stocks pro rata according to their initial weights. The calculation agent repeated this reweighting process iteratively until no basket stock was weighted more than 5%.

The notes will be guaranteed by Goldman Sachs Group, Inc.

The notes will be automatically called at par plus a call premium if the basket closes at or above the initial basket level on either of two call observation dates, which are expected to occur about 13 and 24 months after the original issue date. The call premium is expected to be 12.2091% to 14.3541% for the first call observation date and 22.54% to 26.5% for the second call observation date.

If the notes are not called and the basket return is zero or positive, the payout at maturity will be par plus a fixed return that is expected to be 33.81% to 39.75% and will be set at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

Goldman Sachs & Co. is the underwriter.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.