Published on 8/8/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $530,000 index-linked notes on S&P 500, Russell 2000
By Marisa Wong
Morgantown, W.Va., Aug. 8 – GS Finance Corp. priced $530,000 of 0% index-linked notes due July 31, 2020 linked to the lesser 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.
If the return of each index is zero or positive, the payout at maturity will be par plus 1.22 times the return of the lesser performing index, subject to a maximum settlement amount of $1,244 per $1,000 principal amount.
If either index falls but the return of each index is at least negative 39%, the payout will be par plus the absolute value of the return of the lesser performing index.
Otherwise, investors will lose 1% for every 1% that the lesser performing index declines below its initial level.
Goldman, Sachs & Co. is the agent.
Issuer: | GS Finance Corp.
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Guarantor: | Goldman Sachs Group, Inc.
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Issue: | Index-linked notes
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $530,000
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Maturity: | July 31, 2020
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the return of each index is zero or positive, par plus 1.22 times the return of the lesser performing index, capped at 24.4%; if either index falls but the return of each index is at least negative 39%, par plus the absolute value of the return of the lesser performing index; otherwise, 1% loss for every 1% decline of the lesser performing index below its initial level
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Initial levels: | 2,472.10 for S&P, 1,429.260 for Russell
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Pricing date: | July 28
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Settlement date: | Aug. 2
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Agent: | Goldman, Sachs & Co.
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Fees: | 0.725%
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Cusip: | 40054LM27
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