Published on 9/18/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $565,000 callable contingent coupon notes linked to indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Sept. 18 – GS Finance Corp. priced $565,000 of callable contingent coupon notes due Sept. 20, 2021 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, 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 10.25% if each asset closes at or above its barrier level, 80% of its initial level, on the observation date that period.
The notes are callable at par on any coupon payment date from March 2018 to June 2021.
The payout at maturity will be par plus the final coupon, if any, unless any asset closes below its downside threshold, 60% of its initial level, in which case investors will be fully exposed to the loss of the least-performing asset.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Callable contingent coupon notes
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| Underlying assets: | Russell 2000, S&P 500, iShares MSCI Emerging Markets ETF
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| Amount: | $565,000
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| Maturity: | Sept. 20, 2021
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| Coupon: | 10.25%, payable quarterly if each asset closes at or above barrier level on observation date that period
|
| Price: | Par
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| Payout at maturity: | Par plus final coupon, if any, unless any asset finishes below 60% downside threshold, in which case full exposure to loss of lesser performing index
|
| Call option: | At par on any coupon payment date from March 2018 to June 2021
|
| Initial levels: | 1,426.894 for Russell 2000, 2,498.37 for S&P 500, $45.20 for ETF
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| Barrier levels: | 1,141.5152 for Russell 2000, 1,998.696 for S&P 500, $36.16 for ETF; 80% of initial levels
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| Downside thresholds: | 856.1364 for Russell, 1,499.022 for S&P, $27.12 for ETF
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| Pricing date: | Sept. 13
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| Settlement date: | Sept. 18
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 0.8%
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| Cusip: | 40054LT53
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