Published on 7/7/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $1 million callable contingent coupon notes linked to indexes
By Tali Rackner
Norfolk, Va., July 7 – GS Finance Corp. priced $1 million of callable contingent coupon notes due July 2, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, and 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 8.6% if each index closes at or above its barrier level, 55% of its initial level, on the observation date for that quarter.
The notes will be callable at par plus the coupon, if any, on any interest payment date.
The payout at maturity will be par plus the final coupon unless the return of any index is less than negative 45%, in which case investors will be fully exposed to the decline of the worst-performing index.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Callable contingent coupon notes
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| Underlying indexes: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $1 million
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| Maturity: | July 2, 2018
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| Coupon: | 8.6%, payable quarterly if each index closes at or above 55% barrier level on observation date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus final coupon, if any, unless any index finishes below 55% of its initial level, in which case full exposure to decline of worse-performing index
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| Call: | At par plus accrued interest, if any, on any quarterly coupon payment date
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| Initial levels: | 1,127.538 for Russell 2000, 2,037.41 for S&P 500 and 2,776.09 for Euro Stoxx 50
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| Barrier levels: | 60% of initial levels
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| Pricing date: | June 27
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| Settlement date: | June 30
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 0.425%
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| Cusip: | 40054KEM4
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