Published on 3/3/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $6.26 million contingent interest autocallables on three indexes
By Devika Patel
Knoxville, Tenn., March 3 – GS Finance Corp. priced $6.26 million of contingent income callable securities due March 5, 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 are guaranteed by Goldman Sachs Group, Inc.
Each quarter, the notes pay a contingent coupon at an annual rate of 8% if each index closes at or above its downside threshold level, 65% of its initial index level, on the determination date for that quarter.
The notes are callable at par on any quarterly determination date between Aug. 31, 2017 and Dec. 3, 2018, inclusive.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index.
Goldman Sachs & Co. is the agent, with Morgan Stanley Wealth Management handling distribution.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | S&P 500 and Russell 2000, Euro Stoxx 50
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| Amount: | $6,263,000
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| Maturity: | March 5, 2019
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| Coupon: | 8% per year, payable quarterly if each index closes at or above downside threshold level on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, 1% loss for each 1% decline of lowest-performing index
|
| Call option: | At par on any quarterly determination date between Aug. 31, 2017 and Dec. 3, 2018, inclusive
|
| Initial index levels: | 2,363.64 for S&P 500, 1,386.684 for Russell 2000 and 3,319.61for Euro Stoxx 50
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| Downside thresholds: | 1,536.366 for S&P 500, 901.3446 for Russell 2000 and 2,157.7465 for Euro Stoxx 50; 65% of initial levels
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| Pricing date: | Feb. 28
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| Settlement date: | March 3
|
| Agent: | Goldman Sachs & Co.
|
| Fees: | 2.175%
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| Cusip: | 40054KXC5
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