Published on 11/21/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $6 million trigger callable contingent yield notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 21 – GS Finance Corp. priced $6 million of trigger callable contingent yield notes due Nov. 25, 2019 linked to the worst performing of 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 will be guaranteed by Goldman Sachs Group, Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 10% if each index closes at or above its coupon barrier level, 65% of its initial level, on each trading day that quarter.
The notes will be callable at par on any coupon payment date after May 24, 2017.
The payout at maturity will be par of $10 unless any index finishes below its 55% downside thredhold level, in which case investors will lose 1% for each 1% decline of the worst performing index.
Goldman, Sachs & Co. is the agent.
Issuer: | GS Finance Corp.
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Guarantor: | Goldman Sachs Group, Inc.
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Issue: | Trigger callable contingent yield notes
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Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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Amount: | $6 million
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Maturity: | Nov. 25, 2019
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Coupon: | 10% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading day that quarter
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Price: | Par of $10
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Payout at maturity: | Par unless any index finishes below downside threshold level, in which case 1% loss for each 1% decline of worst performing index
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Call option: | At par quarterly on any coupon date after May 24, 2017
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Initial levels: | 2,187.12 for S&P, 1,309.484 for Russell, 3,041.79 for Stoxx
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Coupon barrier levels: | 1,421.628 for S&P, 851.165 for Russell, 1,977.164 for Stoxx; 65% of initial levels
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Downside threshold: | 1,202.916 for S&P, 720.216 for Russell, 1,672.985 for Stoxx; 55% of initial levels
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Pricing date: | Nov. 17
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Settlement date: | Nov. 25
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Underwriter: | Goldman, Sachs & Co.
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Fees: | 1.25%
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Cusip: | 36251U301
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