By Marisa Wong
Madison, Wis., Sept. 26 – Goldman Sachs Group, Inc. priced $1.78 million of autocallable contingent coupon notes due Oct. 9, 2029 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of $16.25 for each $1,000 par amount if each component closes at or above 80% barrier level on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination date beginning in September 2016.
The payout at maturity will be par plus the contingent coupon if the index return of both indexes is greater than or equal to negative 20%.
If the index return of both indexes is less than negative 20% but greater than or equal to negative 35%, the payout will be par. Investors will not receive a coupon.
If the index return of either index is less than negative 35%, investors will be fully exposed to any losses of the worse performing component.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Autocallable contingent coupon notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1,784,000
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| Maturity: | Oct. 9, 2029
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| Contingent coupon: | Contingent quarterly coupon of 1.625% if each component closes at or above 80% barrier level on the determination date for that quarter
|
| Price: | Par
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| Payout at maturity: | If index return of both indexes is greater than or equal to negative 20%, par plus contingent coupon; if index return of both indexes is less than negative 20% but greater than or equal to negative 35%, par; otherwise, investors will be fully exposed to any losses of the worse performing component
|
| Call: | Automatically at par plus contingent coupon if both indexes close at or above initial levels on any quarterly determination date from September 2016 onward
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| Initial index levels: | 1,982.77 for S&P 500, 1,118.715 for Russell 2000
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| Barrier levels: | 1,586.216 for S&P 500, 894.972 for Russell 2000
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| Pricing date: | Sept. 23
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| Settlement date: | Sept. 26
|
| Underwriter: | Goldman Sachs & Co.
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| Fees: | 5.15%
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| Cusip: | 38147QGR1
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