Published on 2/29/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $11.02 million trigger phoenix autocallables linked to Russell, S&P
By Angela McDaniels
Tacoma, Wash., Feb. 29 – GS Finance Corp. priced $11.02 million of trigger phoenix autocallable optimization securities due Feb. 27, 2026 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The notes pay a contingent quarterly coupon at an annual rate of 8.85% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
Beginning in February 2017, the notes will be called at par of $10 if each index closes at or above its initial level on any quarterly observation date.
The payout at maturity will be par plus the final contingent coupon, if any, unless either index finishes below its trigger level, 50% of its initial level, in which case investors will be exposed to the decline of the lesser- performing index.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Trigger phoenix autocallable optimization securities
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $11,023,170
|
| Maturity: | Feb. 27, 2026
|
| Coupon: | 8.85% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus contingent coupon, if any, unless either index finishes below trigger level, in which case exposure to decline of lesser- performing index
|
| Call: | Automatically at par if each index closes at or above initial level on any quarterly observation date after one year
|
| Initial index levels: | 1,951.70 for S&P 500 and 1,031.576 for Russell 2000
|
| Coupon barriers: | 1,366.190 for S&P 500 and 722.103 for Russell 2000; 70% of initial levels
|
| Trigger levels: | 975.850 for S&P 500 and 515.788 for Russell 2000; 50% of initial levels
|
| Pricing date: | Feb. 25
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| Settlement date: | Feb. 29
|
| Agent: | Goldman Sachs & Co.
|
| Fees: | 3.9%
|
| Cusip: | 36250E415
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