Published on 2/15/2018 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $1 million autocallable contingent coupon notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Feb. 15 – GS Finance Corp. priced $1 million of autocallable contingent coupon notes due Feb. 13, 2020 linked to the iShares MSCI EAFE ETF, the S&P 500 index and the Russell 2000 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 of 8.85% per annum if each asset closes at or above its 80% coupon barrier level on the determination date for that quarter.
Beginning in August, the notes will be called at par plus the contingent coupon if each asset closes at or above its initial level on any quarterly review date.
The payout at maturity will be par plus the final coupon, if any, unless any asset closes below its 65% trigger level, in which case investors will lose 1% for each 1% decline of the least-performing asset.
Goldman Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Autocallable contingent coupon notes
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| Underlying assets: | iShares MSCI EAFE ETF, Euro Stoxx 50 and Russell 2000
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| Amount: | $1 million
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| Maturity: | Feb. 13, 2020
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| Contingent coupon: | 8.85% annualized, payable quarterly if each component closes at or above 80% coupon barrier level on the determination date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon, if any, unless any asset closes below its 65% trigger level, in which case 1% loss for each 1% decline of lesser-performing asset
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| Call: | Automatically at par plus contingent coupon if each asset closes at or above initial level on any quarterly determination date beginning in August
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| Initial levels: | $68.59 for ETF, 2,619.55 for S&P and 1,477.836 for Russell 2000
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| Coupon barriers: | $54.872 for ETF, 2,095.64 for S&P and 1,182.2688 for Russell 2000; 80% of initial levels
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| Trigger levels: | $44.5835 for ETF, 1,702.7075 for S&P and 960.5934 for Russell 2000; 65% of initial levels
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| Pricing date: | Feb. 9
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| Settlement date: | Feb. 14
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| Agent: | Goldman, Sachs & Co.
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| Fees: | 2.4%
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| Cusip: | 40055AL96
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