Published on 11/25/2015 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $12.96 million trigger phoenix autocallables on indexes
By Marisa Wong
Morgantown, W.Va., Nov. 25 – Goldman Sachs Group, Inc. priced $12.96 million of trigger phoenix autocallable optimization securities due Nov. 24, 2020 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 11% per year if each index closes at or above its barrier level, 70% of its initial level, on the observation date for that quarter.
Beginning in May 2016, the notes will be called at par of $10 if each index closes at or above its initial level on any quarterly observation date.
If the final level of each index is greater than or equal to its barrier level, the payout at maturity will be par plus the final contingent coupon. If any index finishes below its barrier level, investors will be fully exposed to the decline of the worst-performing index.
Goldman Sachs & Co. is the agent.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Trigger phoenix autocallable optimization securities
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| Underlying indexes: | Euro Stoxx 50 index, Russell 2000 index and S&P 500 index
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| Amount: | $12,958,000
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| Maturity: | Nov. 24, 2020
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| Coupon: | 11% per year, payable quarterly if each index closes at or above its barrier level on the observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If the final level of each index is greater than or equal to its barrier level, par plus the final contingent coupon; otherwise, investors will be fully exposed to the decline of the worst-performing index
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| Call: | Beginning in May 2016, at par if each index closes at or above its initial level on any quarterly observation date
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| Initial levels: | 2,089.17 for S&P 500, 3,452.45 for Euro Stoxx, 1,175.151 for Russell
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| Pricing date: | Nov. 20
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| Settlement date: | Nov. 25
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 2.8%
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| Cusip: | 38148X639
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