By Toni Weeks
San Luis Obispo, Calif., July 22 – Goldman Sachs Group, Inc. priced $7.82 million of trigger phoenix autocallable optimization securities due July 24, 2024 linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index closes at or above its coupon barrier, 70% of its initial level, on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 7.15% per year. Otherwise, no coupon will be paid that quarter.
Beginning July 20, 2015, the notes will be called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date.
If the notes are not called and each index finishes at or above its 70% coupon barrier level, the payout at maturity will be par plus the contingent coupon. If each index finishes below the coupon barrier but at or above the trigger level, 50% of the initial level, the payout will be par. Otherwise, investors will be exposed to decline of the worst-performing index from its initial level.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Trigger phoenix autocallable optimization securities
|
| Underlying indexes: | Euro Stoxx 50, Russell 2000
|
| Amount: | $7,816,230
|
| Maturity: | July 24, 2024
|
| Coupon: | 7.15% annualized for each quarter that indexes closes at or above coupon barrier level on observation date for that quarter
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par plus contingent coupon if each index finishes at or above coupon barrier level; par if each index finishes below coupon barrier but at or above trigger level; otherwise, full exposure to losses of worst-performing index
|
| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly observation date beginning July 20, 2015
|
| Initial index levels: | 3,164.21 for Euro Stoxx and 1,151.611 for Russell
|
| Coupon barriers: | 2,214.947 for Euro Stoxx and 806.1277 for Russell; 70% of initial levels
|
| Trigger levels: | 1,582.105 for Euro Stoxx and 575.8055 for Russell; 50% of initial levels
|
| Pricing date: | July 18
|
| Settlement date: | July 23
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 3.95%
|
| Cusip: | 38148C445
|
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