Published on 12/8/2016 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $6.15 million step-down trigger autocallables tied to MSCI EAFE, S&P 500
By Susanna Moon
Chicago, Dec. 8 – GS Finance Corp. priced $6.15 million of 0% step-down trigger autocallable notes due Nov. 30, 2021 linked to the MSCI EAFE 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.
The notes will be called at par of $10 plus an annual call premium of 7.5% if each index closes at or above its call threshold level on any call observation date after one year.
The call threshold level will be the initial index level for every observation date except for the final observation date, which will be 60% of the initial level.
If each index finishes at or above its 60% downside threshold, the payout at maturity will be $13.75 for each $10.00 par amount.
Otherwise, investors will be fully exposed to any losses of the worst performing index.
Goldman, Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Step-down trigger autocallable notes
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| Underlying indexes: | MSCI EAFE index, S&P 500 index
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| Amount: | $6,147,500
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| Maturity: | Nov. 30, 2021
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 7.5% annualized if each index closes at or above its call threshold level on any call observation date beginning in Dec. 4, 2017
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| Payout at maturity: | Par plus 37.5% unless either index closes below 60% trigger level, in which case 1% loss for each 1% decline of worse performing index
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| Initial levels: | 1,628.23 for MSCI EAFE, 2,201.72 for S&P
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| Downside thresholds: | 976.94 for MSCI EAFE, 1,321.03 for S&P; 60% of initial levels
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| Pricing date: | Nov. 28
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| Settlement date: | Nov. 30
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| Agent: | Goldman, Sachs & Co.
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| Fees: | 2.85%
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| Cusip: | 36251U319
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