Published on 2/21/2018 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $38.03 million trigger autocallable contingent yield note on S&P, Stoxx
By Wendy Van Sickle
Columbus, Ohio, Feb. 21 – GS Finance Corp. priced $38.03 million of 0% trigger autocallable contingent yield notes due Feb. 22, 2028 linked to the Euro Stoxx 50 index and the S&P 500 index, according to an FWP 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 8% if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date beginning in February 2019.
The payout at maturity will be par plus the final coupon, if any, unless either index finishes below the downside threshold level, 50% of its initial level, in which case investors will lose 1% for every 1% loss of the worse performing index from its initial level.
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 autocallable contingent yield notes
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| Underlying indexes: | S&P 500 and Euro Stoxx 50
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| Amount: | $38,032,820
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| Maturity: | Feb. 22, 2028
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| Coupon: | 8%, payable quarterly if each index closes at or above coupon barrier on observation date
|
| Price: | Par of $10
|
| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly observation date after one year
|
| Payout at maturity: | Par plus any coupon unless index closes below downside threshold level, in which case will lose 1% for each 1% decline of the worse performing index from initial level
|
| Initial levels: | 2,732.22 for S&P, 3,426.80 for Stoxx
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| Coupon barriers: | 1,912.55 for S&P, 2,398.76 for Stoxx, 70% of initial levels
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| Thresholds: | 1,366.11 for S&P, 1,713.40 for Stoxx, 50% of initial levels
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| Pricing date: | Feb. 16
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| Settlement date: | Feb. 22
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| Agent: | Goldman Sachs & Co.
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| Fees: | 3.95%
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| Cusip: | 36254F863
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