Published on 2/6/2018 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $16.77 million 8.9% contingent coupon callables tied to fund, indexes
By Susanna Moon
Chicago, Feb. 6 – GS Finance Corp. priced 16.77 million of callable contingent coupon notes due Jan. 31, 2022 linked to the least performing of the iShares MSCI EAFE exchange-traded fund, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.9% if each underlying component closes at or above its 80% coupon barrier on each trading day during that quarter.
The notes will be called at par if each component closes at or above its initial level on any call observation date after six months.
The payout at maturity will be par unless any component finishes below its 60% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index or fund.
The guarantor is Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Callable contingent coupon notes
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| Underlying assets: | iShares MSCI EAFE ETF, Russell 2000 index, S&P 500 index
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| Amount: | $16,766,000
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| Maturity: | Jan. 31, 2022
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| Coupon: | 8.9% annualized, payable quarterly if each component closes at or above 80% coupon barrier on each trading day for that quarter
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| Price: | Par
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| Call: | At par if each component closes at or above its initial level on any interest payment date beginning July 2018
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| Payout at maturity: | Par unless any component falls by more than 40%, in which case 1% loss per 1% decline of worst performing index or fund
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| Initial index levels: | $75.25 for fund, 1,608.05 for Russell and 2,872.87 for S&P
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| Coupon barriers: | $60.20 for fund, 1,286.4464 for Russell and 2,298.296 for S&P; 80% of initial levels
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| Downside thresholds: | $45.15 for fund, 964.8348 for Russell and 1,723.722 for S&P; 60% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 2.55%
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| Cusip: | 40055AF77
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