Published on 11/18/2016 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $3.5 million contingent coupon callable notes linked to three indexes
By Susanna Moon
Chicago, Nov. 18 – GS Finance Corp. priced $3.5 million of callable contingent coupon notes due Nov. 24, 2031 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The coupon will be fixed at 10.5% for the first year. After that, the notes will pay a contingent quarterly coupon at an annual rate of 10.5% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The notes are callable at par on any determination date after one year.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Callable contingent coupon notes
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| Underlying indexes: | Russell 2000, S&P 500, Euro Stoxx 50
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| Amount: | $3.5 million
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| Maturity: | Nov. 24, 2031
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| Coupon: | 10.5% for the first year, payable quarterly; after that, 10.5% annualized per quarter if each index closes at or above 70% coupon barrier on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any index falls by more than 50%, in which case full exposure to any losses of worst performing index
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| Call option: | At par on any determination date beginning in January 2017
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| Initial levels: | 1,302.20 for Russell, 2,176.94 for S&P, 3,026.36 for Stoxx
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| Coupon barriers: | 911.54 for Russell, 1,523.858 for S&P, 2,118.452 for Stoxx; 70% of initial levels
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| Trigger levels: | 50% of initial levels
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| Pricing date: | Nov. 16
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| Settlement date: | Nov. 21
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 3.8%
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| Cusip: | 40054KPH3
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