Published on 2/12/2018 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $1.75 million 7.91% contingent coupon callables on indexes, fund
By Susanna Moon
Chicago, Feb. 12 – GS Finance Corp. priced $1.75 million of callable contingent coupon notes due Aug. 4, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7.91% if each underlying component closes at or above its 85% coupon barrier on the review date for that quarter.
The notes are callable at par on any call observation date.
The payout at maturity will be par unless any component finishes below its 70% downside threshold, in which case investors will be exposed to any losses of the worst performing index or fund.
The guarantor is Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Callable contingent coupon notes
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| Underlying assets: | Russell 2000 index, S&P 500 index and iShares MSCI EAFE ETF
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| Amount: | $1.75 million
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| Maturity: | Aug. 4, 2020
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| Coupon: | 7.91% annualized, payable quarterly if each component closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Call option: | At par on any interest payment date beginning May 2018
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| Payout at maturity: | Par unless either component finishes below 70% downside threshold, in which case 1% loss per 1% decline of worst performing index or fund
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| Initial index levels: | 1,582.817 for Russell, 2,822.43 for S&P, $73.94 for fund
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| Coupon barriers: | 1,345.39445 for Russell, 2,399.0655 for S&P, $62.849 for fund, 85% of initial levels
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| Downside thresholds: | 1,107.9719 for Russell, 1,975.701 for S&P, $51.758 for fund, 70% of initial levels
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| Pricing date: | Jan. 30
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| Settlement date: | Feb. 2
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 2.425%
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| Cusip: | 40055AH26
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