Published on 7/8/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $7.66 million trigger contingent yield notes on indexes
By Tali Rackner
Norfolk, Va., July 8 – GS Finance Corp. priced $7.66 million of trigger contingent yield notes due June 30, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index and the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Goldman Sachs Group, Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 10.4% if each index closes at or above its barrier level, 60% of its initial level, on any quarterly coupon determination date.
The notes will be callable at par on any coupon payment date.
The payout at maturity will be par unless any index finishes below its 60% downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
Goldman, Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Trigger contingent yield notes
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| Underlying indexes: | S&P 500, Russell 2000 and MSCI EAFE
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| Amount: | $7,655,000
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| Maturity: | June 30, 2020
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| Coupon: | 10.4% per year, payable quarterly if each index closes at or above its barrier level on any quarterly coupon determination date
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| Price: | Par of $10
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| Payout at maturity: | Par unless any index finishes below 60% downside threshold level, in which case full exposure to loss of worst performing index
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| Call option: | At par quarterly on any coupon payment date
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| Initial levels: | 2,036.09 for S&P, 1,107.298 for Russell, 1,546.73 for MSCI EAFE
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| Barrier/downside thresholds: | 1,221.654 for S&P, 664.379 for Russell, 928.038 for MSCI EAFE; 60% of initial levels
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| Pricing date: | June 28
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| Settlement date: | June 30
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 2.3%
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| Cusip: | 36250Y361
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