Elaborating on the [SEC's] sweep letter, the Staff noted that issuers must disclose the "issuer estimated value" on the cover page of the offering document, and share this information with investors prior to the time of sale. This estimated value should be based on the value of the "bond" element and the "derivative" element of the offered structured note. It seems that the Staff continues to think about a structured note as a "compound" security, comprised of two components. Disclosure documents should include a description of the estimated value, and any models used in the calculation of this amount. In calculating the value of the bond component, an issuer may use its internal funding rate or prevailing spreads. In discussing the value of the derivative component that has factored into the estimated value, the issuer should discuss any valuation models or assumptions.
The estimated value of your notes at the time the terms of your notes were set...was equal to approximately $965 per $1,000 face amount, which is less than the original issue price. ...the price (not including GS&Co.'s customary bid and ask spreads) at which GS&Co. would initially buy or sell notes (if it makes a market, which it is not obligated to do) and the value that GS&Co. will initially use for account statements and otherwise equals approximately $990 per $1,000 face amount, which exceeds the estimated value of your notes as determined by reference to these models.