Published on 12/17/2015 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $5.76 million trigger phoenix autocallables on Russell 2000, S&P 500
By Marisa Wong
Morgantown, W.Va., Dec. 17 – Goldman Sachs Group, Inc. priced $5.76 million of trigger phoenix autocallable optimization securities due Dec. 21, 2017 tied to 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 8.25% per year if each index closes at or above its barrier level, 70% of its initial level, on the observation date for that quarter. The exact coupon will be set at pricing.
The notes will be called at par of $10 if each index closes at or above its initial level on any quarterly observation date after six months.
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.
|
| Issue: | Trigger phoenix autocallable optimization securities
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| Underlying indexes: | Russell 2000, S&P 500
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| Amount: | $5.76 million
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| Maturity: | Dec. 21, 2017
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| Coupon: | 8.25% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon if each index finishes at or above trigger level; otherwise, full exposure to decline of lesser performing index
|
| Call: | At par if each index closes at or above its initial level on any quarterly observation date after six months
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| Initial index levels: | 1,131.552 for Russell, 2,043.41 for S&P 500
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| Barrier/trigger levels: | 792.086 for Russell, 1,430.39 for S&P 500; 70% of initial levels
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| Pricing date: | Dec. 15
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| Settlement date: | Dec. 18
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| Agent: | Goldman Sachs & Co.
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| Fees: | 1.675%
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| Cusip: | 38148X761
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