Published on 1/4/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $5.99 million contingent income callable notes linked to indexes
By Susanna Moon
Chicago, Jan. 4 – GS Finance Corp. priced $5.99 million of contingent income callable securities due Jan. 2, 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 8.35% if each index closes at or above its downside threshold level, 65% of its initial index level, on the observation date for that quarter.
The notes are callable at par on any coupon payment date from June 28, 2017 to Sept. 27, 2018.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 65% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
Goldman Sachs & Co. is the underwriter. Morgan Stanley Wealth Management is acting as dealer.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $5,985,000
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| Maturity: | Jan. 2, 2019
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| Coupon: | 8.35% per year, payable quarterly if each index closes at or above its downside threshold on observation date that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to any losses of worst performing index
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| Call option: | At par on any coupon payment date from June 28, 2017 to Sept. 27, 2018
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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: | 1,471.4635 for S&P, 891.4815 for Russell and 2,128.0805 for Stoxx; 65% of initial index levels
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| Pricing date: | Dec. 23
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| Settlement date: | Dec. 30
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| Underwriter: | Goldman Sachs & Co.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.175%
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| Cusip: | 40054KSH0
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