Published on 10/25/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $12.14 million contingent income callable notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Oct. 25 – GS Finance Corp. priced $12.14 million of contingent income callable securities due Oct. 26, 2021 linked to the lesser performing of 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 6% if each index closes at or above its downside threshold level, 50% of its initial index level, every day during that quarter.
Beginning April 26, 2017, the notes are callable at par on any quarterly coupon payment date other than the final one.
If each index finishes at or above its downside threshold level, 50% of the initial level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lesser-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.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $12,137,000
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| Maturity: | Oct. 26, 2021
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| Coupon: | 6% per year, payable each quarter that each index closes at or above its downside threshold every day that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus final contingent coupon, if any; otherwise, full exposure to decline of lesser-performing index
|
| Call option: | Beginning April 26, 2017, at par on any quarterly determination date other than final one
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| Initial index levels: | 2,141.16 for S&P and 1,218.096 for Russell
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| Downside thresholds: | 1,070.58 for S&P and 609.048 for Russell, 50% of initial index levels
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| Pricing date: | Oct. 21
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| Settlement date: | Oct. 26
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| Underwriter: | Goldman Sachs & Co.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.7%
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| Cusip: | 40054KMB9
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