Published on 6/16/2015 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $7 million contingent coupon autocallables linked to two indexes
By Toni Weeks
San Luis Obispo, Calif., June 16 – Goldman Sachs Group, Inc. priced $7 million of autocallable contingent coupon notes due June 26, 2025 linked to the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 9.02% if each underlying index closes at or above its trigger level, 70% of its initial level, on the determination date for that quarter.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly determination date after one year.
If the notes are not called and each index finishes at or above its 70% trigger level, the payout at maturity will be par plus the contingent coupon. If either index finishes below the trigger level but each index finishes at or above 50% of the initial level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the worst-performing index.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Autocallable contingent coupon notes
|
| Underlying indexes: | Euro Stoxx 50 and Russell 2000
|
| Amount: | $7 million
|
| Maturity: | June 26, 2025
|
| Coupon: | Each quarter, notes pay coupon at rate of 9.02% per year if each index closes at or above coupon trigger level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon if return of each index is negative 30% or greater; if return of either index is less than negative 30% but at or above negative 50%, par; otherwise, full exposure to losses of worst-performing index
|
| Call: | From June 12, 2016 onward, at par plus coupon if each index closes at or above initial level on any quarterly determination date
|
| Initial levels: | 3,502.77 for Euro Stoxx, 1,265.022 for Russell 2000
|
| Coupon trigger levels: | 2,451.939 for Euro Stoxx, 885.5154 for Russell 2000; 70% of initial levels
|
| Pricing date: | June 12
|
| Settlement date: | June 17
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 4.05%
|
| Cusip: | 38148T5J4
|
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