Published on 8/17/2017 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $4.67 million autocallable jump securities tied to three indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 17 – GS Finance Corp. priced $4.67 million of 0% jump securities with autocallable feature due Aug. 14, 2020 linked to the worst performing of the S&P 500 index, Russell 2000 index and Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Goldman Sachs Group, Inc.
The notes will be called at par plus an annual premium of 12.35% if each index closes at or above its initial level on any quarterly call observation date beginning Aug. 17, 2018.
The payout at maturity will be par plus 37.05% if each index finishes at or above its initial level. If the worst performing index declines by no more than 30%, the payout will be par. If the worst performing index finishes below its 70% downside threshold level, investors will be fully exposed to the decline.
Goldman Sachs & Co. is the underwriter with Morgan Stanley Wealth Management as a dealer.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Jump securities with autocallable feature
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $4.67 million
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| Maturity: | Aug. 14, 2020
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 12.35% a year if each index closes above initial level on any quarterly review date after a year
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus 37.05%; if worst performing index falls by up to 30%, par; otherwise, full exposure to loss of worst performing index
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| Initial levels: | 2,441.32 for S&P, 1,374.231 for Russell and 3,406.34 for Stoxx
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| Downside thresholds: | 1,708.92 for S&P, 961.962 for Russell and 2,384.44 for Stoxx; 70% of initial levels
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| Trade date: | Aug. 11
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| Settlement date: | Aug. 18
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| Agent: | Goldman Sachs & Co. with Morgan Stanley Wealth Management handling distribution
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| Fees: | 3.175%
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| Cusip: | 36253M521
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