Published on 2/6/2018 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $1.15 million trigger absolute return step notes tied to S&P 500
By Susanna Moon
Chicago, Feb. 6 – GS Finance Corp. priced $1.15 million of 0% trigger absolute return step securities due Jan. 31, 2023 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes at or above its initial level, the payout at maturity will be par of $10 plus the greater of the gain and the step return of 31%.
If the index falls by up to the 70% downside threshold, the payout will be par plus the absolute value of the index return.
Otherwise, investors will be fully exposed to any losses.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman, Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Trigger absolute return step securities
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| Underlying index: | S&P 500
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| Amount: | $1,147,500
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| Maturity: | Jan. 31, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If index gains, par plus greater of return and 31%; if index falls by up 30%, the par plus absolute return; otherwise, 1% loss for each 1% decline
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| Initial index level: | 2,872.87
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| Downside threshold: | 2,011.01, 70% of initial level
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Underwriters: | Goldman, Sachs & Co.
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| Fees: | 0.35%
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| Cusip: | 36254F624
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