Published on 11/16/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $10.25 million contingent income callable notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 16 – GS Finance Corp. priced $10.25 million of contingent income callable securities due Nov. 15, 2018 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Each quarter, the notes pay a contingent coupon at an annual rate of 9% if each index closes at or above its downside threshold level, 65% of its initial index level, on each trading day that quarter.
Beginning May 16, 2017, the notes are callable at par on any quarterly coupon payment date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the worst performing index.
Goldman Sachs & Co. is the underwriter. Morgan Stanley Wealth Management is acting as dealer.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $10,253,000
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| Maturity: | Nov. 15, 2018
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| Coupon: | 9% per year, payable each quarter that each index closes at or above its downside threshold each trading day 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 plus final contingent coupon; otherwise, full exposure to decline of worst performing index
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| Call option: | Beginning May 16, 2017, at par on any quarterly determination date other than final one
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| Initial index levels: | 2,164.45 for S&P, 1,282.394 for Russell, 3,030.02 for Euro Stoxx
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| Downside thresholds: | 1,406.8925 for S&P, 833.5561 for Russell, 1,969.513 for Euro Stoxx, 65% of initial index levels
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| Pricing date: | Nov. 11
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| Settlement date: | Nov. 16
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| Underwriter: | Goldman Sachs & Co.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.15%
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| Cusip: | 40054KPD2
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