Published on 10/13/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $16.73 million trigger callable notes on three indexes
By Marisa Wong
Morgantown, W.Va., Oct. 13 – GS Finance Corp. priced $16.73 million of trigger callable contingent yield notes due Oct. 16, 2018 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 9.7% if each index closes at or above its coupon 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 April 17, 2017.
The payout at maturity will be par of $10 unless any index finishes below its 65% 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.
|
| 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
|
| Amount: | $16,729,500
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| Maturity: | Oct. 16, 2018
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| Coupon: | 9.7% per year, payable each quarter that each index closes at or above its coupon barrier each day for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par unless any index falls by more than 35%, in which case 1% loss for each 1% decline of worst performing index
|
| Call option: | At par quarterly on any coupon date after April 17, 2017
|
| Initial levels: | 2,153.74 for S&P 500, 1,236.559 for Russell 2000 and 3,000.57 for Euro Stoxx 50
|
| Coupon barriers: | 1,399.931 for S&P 500, 803.763 for Russell 2000 and 1,950.371 for Euro Stoxx 50; 65% of initial levels
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| Downside thresholds: | 1,399.931 for S&P 500, 803.763 for Russell 2000 and 1,950.371 for Euro Stoxx 50; 65% of initial levels
|
| Pricing date: | Oct. 7
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| Settlement date: | Oct. 17
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| Underwriter: | Goldman, Sachs & Co.
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| Fees: | 1.65%
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| Cusip: | 36250Y858
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