Published on 12/22/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $10.77 million contingent income callable notes linked to indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 22 – GS Finance Corp. priced $10.77 million of contingent income callable securities due Dec. 24, 2020 linked to the worst performing of the MSCI EAFE index, the Russell 2000 index and the S&P 500 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 pay a contingent coupon at an annual rate of 8.5% if each index closes at or above its downside threshold level, 60% of its initial index level, on the observation date that quarter.
Beginning June 23, 2017, the notes are callable at par on any quarterly determination date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
Goldman Sachs & Co. is the underwriter. Morgan Stanley Wealth Management is acting as dealer.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | MSCI EAFE, Russell 2000 and S&P 500
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| Amount: | $10,765,000
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| Maturity: | Dec. 24, 2020
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| Coupon: | 8.5% per year, payable quarterly if each index closes at or above its downside threshold level on observation date that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
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| Call option: | Beginning June 23, 2017, at par on any quarterly determination date other than final one
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| Initial index levels: | 2,270.76 for S&P, 1,383.956 for Russell and 1,670.71 for MSCI
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| Downside thresholds: | 1,362.456 for S&P, 830.3736 for Russell and 1,002.426 for MSCI; 60% of initial index levels
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 23
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| Underwriter: | Goldman Sachs & Co.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.3%
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| Cusip: | 40054KRX6
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