Published on 7/7/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $8.1 million contingent income callable notes linked to indexes
By Wendy Van Sickle
Columbus, Ohio, July 7 – GS Finance Corp. priced $8.1 million of contingent income callable securities due July 3, 2019 linked to the least 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 10% if each index closes at or above its downside threshold level, 60% of its initial index level, on the determination date for that quarter.
Beginning Oct. 5, 2016, 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: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $8,098,000
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| Maturity: | July 3, 2019
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| Coupon: | 10% per year, payable quarterly if each index closes at or above its downside threshold level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon, if any; if final level of any index is less than downside threshold level, full exposure to decline of least-performing index
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| Call option: | Beginning Oct. 5, 2016, at par on any quarterly determination date other than final one
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| Initial index levels: | 1,608.45 for MSCI EAFE, 1,151.923 for Russell 2000 and 2,098.86 for S&P 500
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| Downside thresholds: | 965.07 for MSCI EAFE, 691.1538 for Russell 2000 and 1, 1,259.316 for S&P 500; 60% of initial levels
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| Pricing date: | June 30
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| Settlement date: | July 6
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 2.175%
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| Cusip: | 40054KEJ1
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