Published on 5/17/2017 in the Prospect News Structured Products Daily.
New Issue: GS prices $2.03 million trigger autocallable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, May 17 – GS Finance Corp. priced $2.03 million of trigger autocallable contingent yield notes due May 17, 2027 linked to the Russell 2000 index and the MSCI Emerging Markets 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 6.85% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date beginning May 14, 2018.
The payout at maturity will be par plus the final coupon if any unless either index finishes below the downside threshold, 50% of the initial level, in which case investors will lose 1% for each 1% decline of the worse performing index.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | Russell 2000 and MSCI Emerging Markets
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| Amount: | $2,031,000
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| Maturity: | May 17, 2027
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| Coupon: | 6.85%, payable quarterly if each index closes at or above downside threshold on observation date
|
| Price: | Par of $10
|
| Call: | Beginning May 14, 2018, at par plus contingent coupon if each index closes at or above initial level on any quarterly observation date
|
| Payout at maturity: | Par plus final coupon if any unless index finishes below 70% downside threshold, in which case 1% loss for each 1% decline of the worse performing index
|
| Initial levels: | 1,382.77 for Russell, 1,002.37 for MSCI Emerging Markets
|
| Coupon barriers: | 967.939 for Russell, 701.659 for MSCI Emerging Markets, 70% of initial levels
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| Downside thresholds: | 691.385 for Russell, 501.185 for MSCI Emerging Markets, 50% of initial levels
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| Pricing date: | May 12
|
| Settlement date: | May 17
|
| Underwriter: | Goldman, Sachs & Co.
|
| Fees: | 3.95%
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| Cusip: | 36251V655
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