Published on 1/3/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $6.84 million trigger callable contingent yield notes on indexes
By Susanna Moon
Chicago, Jan. 3 – GS Finance Corp. priced $6.84 million of trigger callable contingent yield notes due Jan. 3, 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 9.25% 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 30, 2017.
The payout at maturity will be par of $10 unless any index finishes below its 65% downside threshold level, in which case investors will be fully exposed to any losses 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: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $6,842,000
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| Maturity: | Jan. 3, 2019
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| Coupon: | 9.25% per year, payable quarterly if each index closes at or above its 65% coupon barrier on each trading day that quarter
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| Price: | Par of $10
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| 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
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| Call option: | At par quarterly on any coupon date beginning June 30, 2017
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| Initial levels: | 2,263.79 for S&P, 1,371.51 for Russell and 3,273.97 for Stoxx
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| Downside thresholds: | 1,471.464 for S&P, 891.482 for Russell and 2,128.081 for Stoxx; 65% of initial levels
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| Pricing date: | Dec. 23
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| Settlement date: | Jan. 3
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| Underwriter: | Goldman, Sachs & Co.
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| Fees: | 1.675%
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| Cusip: | 36251U491
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