Published on 3/1/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $502,000 autocallables linked to Russell 2000, S&P 500
By Angela McDaniels
Tacoma, Wash., March 1 – GS Finance Corp. priced $502,000 of 0% autocallable notes due Feb. 28, 2019 linked to 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 will be automatically called at par plus 12.5% per year if each index closes at or above its call level on either call observation date. The call level is 100% of the initial index level on March 10, 2017 and 95% of the initial level on Feb. 26, 2018.
If the notes are not called and the return of each index is greater than or equal to negative 10%, the payout at maturity will be par plus 37.5%. If the return of each index is greater than or equal to negative 25% but the return of either index is less than negative 10%, the payout will be par. If the return of either index is less than negative 25%, investors will be fully 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: | Autocallable notes
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $502,000
|
| Maturity: | Feb. 28, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If notes are not called and return of each index is greater than or equal to negative 10%, par plus 37.5%; if return of each index is greater than or equal to negative 25% but return of either index is less than negative 10%, par; if return of either index is less than negative 25%, full exposure to decline of lesser-performing index
|
| Call: | Automatically at par plus 12.5% per year if each index closes at or above call level on either call observation date; call level is 100% of initial index level on March 10, 2017 and 95% of initial level on Feb. 26, 2018
|
| Initial index levels: | 1,929.80 for S&P 500 and 1,022.077 for Russell 2000
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 29
|
| Agent: | Goldman Sachs & Co.
|
| Fees: | 2.425%
|
| Cusip: | 40054CBZ6
|
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