Published on 3/27/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $6.96 million contingent income callable notes tied to three indexes
By Susanna Moon
Chicago, March 27 – GS Finance Corp. priced $6.96 million of contingent income callable securities due March 21, 2019 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The notes pay a contingent quarterly coupon at an annual rate of 8.5% if each index closes at or above its coupon threshold level, 70% of its initial index level, on each day during that quarter.
The notes are callable at par on any quarterly determination date other than the final date.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 65% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
Goldman Sachs & Co. is the underwriter. Morgan Stanley Wealth Management is acting as dealer.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $6,955,000
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| Maturity: | March 21, 2019
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| Coupon: | 8.5% per year, payable quarterly if each index closes at or above its 70% coupon threshold on each day during that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to decline worst performing index
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| Call option: | At par on any quarterly determination date other than final date
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| Initial levels: | 3,448.41 for Stoxx, 1,391.524 for Russell, 2,378.25 for S&P
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| Coupon thresholds: | 2,413.887 for Stoxx, 974.0668 for Russell, 1,664.775 for S&P; 70% of initial levels
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| Downside thresholds: | 2,241.4665 for Stoxx, 904.4906 for Russell, 1,545.8625 for S&P; 65% of initial levels
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| Trade date: | March 17
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| Settlement date: | March 22
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| Underwriter: | Goldman Sachs & Co.
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| Dealer: | Morgan Stanley Wealth Management
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| Cusip: | 40054L2C7
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