Published on 3/28/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $3.8 million contingent coupon autocallables tied to three underliers
By Wendy Van Sickle
Columbus, Ohio, March 28 – GS Finance Corp. priced $3.8 million of autocallable contingent coupon underlier-linked notes due April 7, 2022 linked to the Dow Jones Industrial Average, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annual rate of 9.2% if each underlier closes at or above 70% of its initial level on the determination date for that quarter.
Beginning in September 2016, the notes will be automatically called at par plus the coupon if all three underliers close at or above their initial levels on any quarterly determination date. The call premium is 11.6% if the notes are called July 21, 2016 and 23.2% if called on July 21, 2017.
If the notes are not called and all three of the underliers finish at or above 70% of their initial levels, the payout at maturity will be par plus the final coupon.
Otherwise, investors will be fully exposed to the loss of the worst performing underlier.
Goldman, Sachs & Co. is the agent.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Autocallable contingent coupon underlier-linked notes
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| Underlying components: | Dow Jones Industrial Average, Russell 2000 index, iShares MSCI EAFE ETF
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| Amount: | $3,803,000
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| Maturity: | April 7, 2022
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| Coupon: | Quarterly at annual rate of 9.2% if each underlier closes at or above 70% of initial level on observation date
|
| Price: | Par
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| Payout at maturity: | If all three underliers finish at or above 70% of their initial levels, par plus final coupon; otherwise, full exposure to loss of the worse performing underlier
|
| Call: | At par plus coupon if all three underliers components close at or above their initial levels on any quarterly determination date beginning in September 2016; call premium is 11.6% if the notes are called July 21, 2016 and 23.2% if called on July 21, 2017
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| Initial levels: | 17,515.73 for Dow, 1,079.537 for Russell, $56.35 for iShares MSCI EAFE
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| Pricing date: | March 24
|
| Settlement date: | March 30
|
| Agent: | Goldman, Sachs & Co.
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| Fees: | 3.625%
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| Cusip: | 40054K6G6
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