Published on 8/17/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $3.58 million trigger callable contingent yield notes linked to three indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 17 – GS Finance Corp. priced $3.58 million of trigger callable contingent yield notes due Aug. 20, 2018 linked to the least performing of the Euro Stoxx 50 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 pay a contingent coupon at an annual rate of 9.15% if each index closes at or above its downside threshold level, 65% of its initial level, on each day during that quarter.
The notes are callable at par on any coupon payment date.
The payout at maturity will be par unless any index finishes below its downside threshold level, in which case investors will be fully exposed to the decline of the worst-performing index.
Goldman Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Trigger callable contingent yield notes
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $3,584,000
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| Maturity: | Aug. 20, 2018
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| Coupon: | 9.15% per year, payable quarterly if each index closes at or above downside threshold level on each day during that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below downside threshold level, in which case full exposure to loss of worst-performing index
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| Call option: | At par on any coupon payment date
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| Initial levels: | 2,184.05 for S&P 500, 1,229.820 for Russell 2000 and 3,044.94 for Euro Stoxx 50
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| Downside threshold: | 1,419.63 for S&P 500, 799.383 for Russell 2000 and 1,979.21 for Euro Stoxx 50; 65% of initial levels
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| Pricing date: | Aug. 12
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| Settlement date: | Aug. 19
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 1.5%
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| Cusip: | 22548R822
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