Published on 3/16/2018 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $5.71 million 7.25% contingent income autocalls tied to indexes
By Susanna Moon
Chicago, March 16 – GS Finance Corp. priced $5.71 million of contingent income autocallable securities due March 3, 2021 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 will pay a contingent quarterly coupon at an annual rate of 7.25% if each index closes at or above its 75% coupon barrier on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any review date.
The payout at maturity will be par unless either index finishes below its 75% downside threshold, in which case investors will be fully exposed to any losses of the worse performing index.
The guarantor is Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the agent with Morgan Stanley Wealth Management as the dealer.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying assets: | Russell 2000 and S&P 500
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| Amount: | $5,712,000
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| Maturity: | March 3, 2021
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| Coupon: | 7.25% annualized, payable quarterly if each index closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above initial level on any quarterly call date beginning Feb. 25, 2019
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| Initial levels: | 1,512.446 for Russell, 2,713.83 for S&P
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| Downside thresholds: | 1,134.3345 for Russell, 2,035.3725 for S&P, 75% of initial levels
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| Pricing date: | Feb. 28
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| Settlement date: | March 5
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 2.675%
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| Cusip: | 40055AMQ7
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