Published on 7/6/2018 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $17.26 million of contingent income callables tied to three indexes
By Wendy Van Sickle
Columbus, Ohio, July 6 – Barclays Bank plc priced $17.26 million of contingent income callable securities due Jan. 6, 2023 linked to the least performing of the Russell 2000 index, the S&P 500 index and the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 8.35% if each index closes at or above its 70% coupon barrier on the observation date that quarter.
After six months, the notes will be callable at par on any quarterly determination date other than the final date.
The payout at maturity will be par plus the final coupon unless any index finishes below its 60% downside threshold, in which case investors will be fully exposed to the decline of the worst performing index.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Russell 2000, S&P 500 and MSCI EAFE
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| Amount: | $17,263,000
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| Maturity: | Jan. 6, 2023
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| Coupon: | 8.35% annualized, payable quarterly if each index closes at or above coupon barrier on observation date that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to decline of worst performing index
|
| Call option: | At par on any interest payment date after six months
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| Initial levels: | 1,655.086 for Russell, 2,726.71 for S&P and 1,930.13 for EAFE
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| Coupon barriers: | 1,158.5602 for Russell, 1,908.697 for S&P and 1,351.091 for EEAFE; 70% of initial levels
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| Downside thresholds: | 993.0516 for Russell, 1,636.026 for S&P and 1,158.078 for EAFE; 60% of initial levels
|
| Pricing date: | July 2
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| Settlement date: | July 6
|
| Agent: | Goldman Sachs & Co. LLC
|
| Fees: | 2.3%
|
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| Cusip: | 40055QHA3
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