Published on 9/14/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $1 million callable contingent coupon notes linked to index, ETF
By Wendy Van Sickle
Columbus, Ohio, Sept. 14 – GS Finance Corp. priced $1 million of callable contingent coupon notes due Sept. 16, 2021 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Each month, the notes pay a contingent coupon at an annual rate of 9.8% if each asset closes at or above its barrier level, 78% of its initial level, on each trading day that month.
The notes are callable at par on any coupon payment date from March 2018 to August 2021.
The payout at maturity will be par plus the final coupon, if any, unless any asset closes below 78% of its initial level, in which case investors will lose 1.2821% for each 1% loss of the least-performing asset beyond 22%.
Goldman Sachs & Co. is the underwriter.
| 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: | Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF
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| Amount: | $1 million
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| Maturity: | Sept. 16, 2021
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| Coupon: | 9.8%, payable monthly if each asset closes at or above barrier level on each trading day that month
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| Price: | Par
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| Payout at maturity: | Par plus final coupon, if any, unless any asset finishes below 78% of initial level, in which case 1.2821% loss for each 1% loss of the least-performing asset beyond 22%
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| Call option: | At par on any coupon payment date from March 2018 to August 2021
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| Initial levels: | 3,495.19 for index, $45.49 for ETF
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| Barrier levels: | 2,726.2482 for index, $35.4822 for ETF; 78% of initial levels
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| Pricing date: | Sept. 11
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| Settlement date: | Sept. 14
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 0.4%
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| Cusip: | 40054LT38
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