Published on 4/19/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $8.13 million contingent income callable notes linked to indexes
By Angela McDaniels
Tacoma, Wash., April 19 – GS Finance Corp. priced $8.13 million of contingent income callable securities due April 20, 2020 linked to the worst performing of the MSCI EAFE index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9% if each index closes at or above its downside threshold level, 60% of its initial index level, on the determination date for that quarter.
The notes are callable at par on any quarterly determination date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
Goldman Sachs & Co. is the underwriter. Morgan Stanley Wealth Management is acting as dealer.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Contingent income callable securities
|
| Underlying indexes: | MSCI EAFE, Russell 2000 and S&P 500
|
| Amount: | $8,129,000
|
| Maturity: | April 20, 2020
|
| Coupon: | 9% per year, payable quarterly if each index closes at or above its downside threshold level on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
|
| Call option: | At par on any quarterly determination date other than final one
|
| Initial index levels: | 1,682.11 for MSCI EAFE, 2,080.73 for S&P 500 and 1,130.923 for Russell 2000
|
| Downside threshold: | 1,009.266 for MSCI EAFE, 1,248.438 for S&P 500 and 678.5538 for Russell 2000; 60% of initial index levels
|
| Pricing date: | April 15
|
| Settlement date: | April 20
|
| Underwriter: | Goldman Sachs & Co.
|
| Dealer: | Morgan Stanley Wealth Management
|
| Fees: | 2.29%
|
| Cusip: | 40054KAP1
|
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