Published on 9/21/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $21 million trigger callable notes on three indexes
By Marisa Wong
Morgantown, W.Va., Sept. 21 – GS Finance Corp. priced $21 million of trigger callable contingent yield notes due March 26, 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 will pay a contingent coupon at an annual rate of 10.5% if each index closes at or above its barrier level, 65% of its initial level, on each day during the quarterly observation period.
The notes will be callable at par on any coupon payment date after March 27, 2017.
The payout at maturity will be par of $10 unless any index finishes below its 55% downside threshold level, in which case investors will lose 1% for each 1% decline of the worst performing index.
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 callable contingent yield notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $21 million
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| Maturity: | March 26, 2019
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| Coupon: | 10.5% per year, payable each quarter that each index closes at or above its barrier level each day for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par unless any index falls by more than 45%, in which case 1% loss for each 1% decline of worst performing index
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| Call option: | At par quarterly on any coupon date after March 27, 2017
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| Initial levels: | 2,139.12 for S&P 500, 1,232.526 for Russell 2000 and 2,968.31 for Euro Stoxx
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| Barrier levels: | 1,390.428 for S&P 500, 801.142 for Russell 2000 and 1,929.402 for Euro Stoxx; 65% of initial levels
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| Downside thresholds: | 1,176.516 for S&P 500, 677.889 for Russell 2000 and 1,632.571 for Euro Stoxx; 55% of initial levels
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| Pricing date: | Sept. 19
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| Settlement date: | Sept. 26
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| Underwriter: | Goldman, Sachs & Co.
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| Fees: | 1.175%
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| Cusip: | 36250Y726
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