By Angela McDaniels
Tacoma, Wash., Jan. 29 – Goldman Sachs Group, Inc. priced $3.97 million of autocallable contingent coupon notes due Feb. 10, 2023 linked to the Russell 2000 index and the West Texas Intermediate light sweet crude oil futures contract, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a coupon if each underlying component closes at or above its barrier level, 70% of its initial level, on the review date for that quarter. The coupon amount per $1,000 principal amount of notes is $20 for the first 16 quarters, $25 for the next eight quarters and $30 for the final eight quarters.
Beginning a year after issuance, the notes will be called at par plus the coupon if each component closes at or above its initial level on any quarterly determination date.
If the notes have not been called, the payout at maturity will be par plus the contingent coupon if the return of each underlying component is negative 30% or greater.
If the return of each underlying component is at least negative 50% and the return of either component is less than negative 30%, the payout will be par but without the coupon.
If the return of either component is less than negative 50%, investors will share fully in the losses of the worst-performing component.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Autocallable contingent coupon notes
|
| Underlying components: | Russell 2000 index and West Texas Intermediate light sweet crude oil
|
| Amount: | $3,966,000
|
| Maturity: | Feb. 10, 2023
|
| Coupon: | Each quarter, notes pay coupon if each underlying component closes at or above barrier level, 70% of initial level, the review date for that quarter; coupon amount per $1,000 principal amount of notes is $20 for first 16 quarters, $25 for next eight quarters and $30 for final eight quarters
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon if return of each underlying component is negative 30% or greater; par only (no coupon) if return of each underlying component is at least negative 50% and return of either component is less than negative 30%; if return of either component is less than negative 50%, full exposure to losses of worst-performing component
|
| Call: | From January 2016 onward, notes will be called at par plus coupon if each component closes at or above initial level on any quarterly determination date
|
| Initial levels: | $46.23 for oil and 1,194.658 for Russell 2000
|
| Pricing date: | Jan. 27
|
| Settlement date: | Jan. 30
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 4.65%
|
| Cusip: | 38147QR57
|
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