Published on 1/11/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $13.84 million trigger callable contingent yield notes on indexes
By Marisa Wong
Morgantown, W.Va., Jan. 11 – GS Finance Corp. priced $13.84 million of trigger callable contingent yield notes due July 14, 2021 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the MSCI EAFE 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 will pay a contingent coupon at an annual rate of 8.75% if each index closes at or above its coupon barrier level, 60% of its initial level, on the determination date for that quarter.
The notes will be callable at par on any coupon payment date on or after July 13, 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 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 MSCI EAFE index
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| Amount: | $13.84 million
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| Maturity: | July 14, 2021
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| Coupon: | 8.75% per year, payable each quarter that each index closes at or above its coupon barrier on determination date 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 July 13, 2017
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| Initial levels: | 2,268.90 for S&P 500, 1,357.491 for Russell 2000 and 1,708.56 for MSCI EAFE
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| Coupon barriers: | 1,361.340 for S&P 500, 814.495 for Russell 2000 and 1,025.136 for MSCI EAFE; 60% of initial levels
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| Downside thresholds: | 1,361.340 for S&P 500, 814.495 for Russell 2000 and 1,025.136 for MSCI EAFE; 60% of initial levels
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| Pricing date: | Jan. 9
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| Settlement date: | Jan. 12
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| Underwriter: | Goldman, Sachs & Co.
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| Fees: | 2.3%
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| Cusip: | 36251U699
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