Published on 12/15/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $6.5 million trigger callable contingent yield notes on indexes
By Marisa Wong
Morgantown, W.Va., Dec. 15 – GS Finance Corp. priced $6.5 million of trigger callable contingent yield notes due Dec. 16, 2019 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 10.25% if each index closes at or above its coupon barrier level, 65% of its initial level, on each trading day that quarter.
The notes will be callable at par on any coupon payment date on or after June 16, 2017.
The payout at maturity will be par of $10 unless any index finishes below its 60% downside threshold level, in which case investors will lose 1% for each 1% decline of the worst performing index.
Goldman, Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Trigger callable contingent yield notes
|
| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
|
| Amount: | $6.5 million
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| Maturity: | Dec. 16, 2019
|
| Coupon: | 10.25% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading day that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par unless any index finishes below downside threshold level, in which case 1% loss for each 1% decline of worst performing index
|
| Call option: | At par quarterly on any coupon date beginning June 16, 2017
|
| Initial levels: | 2,246.19 for S&P, 1,386.368 for Russell and 3,185.79 for Stoxx
|
| Coupon barrier levels: | 1,460.024 for S&P, 901.139 for Russell and 2,070.764 for Stoxx; 65% of initial levels
|
| Downside thresholds: | 1,347.714 for S&P, 831.821 for Russell and 1,911.474 for Stoxx; 60% of initial levels
|
| Pricing date: | Dec. 9
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| Settlement date: | Dec. 16
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| Underwriter: | Goldman, Sachs & Co.
|
| Fees: | 1.25%
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| Cusip: | 36251U459
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