Published on 8/21/2014 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $6.68 million trigger phoenix autocallables linked to two indexes
By Susanna Moon
Chicago, Aug. 21 – Goldman Sachs Group, Inc. priced $6.68 million of trigger phoenix autocallable optimization securities due Aug. 23, 2024 linked to the least performing of the S&P 500 index and the Euro Stoxx 50 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 7.4% if each index closes at or above its coupon barrier, 70% of its initial level, on an observation date for that quarter.
The notes will be called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date.
If the notes are not called and each index finishes at or above its 70% coupon barrier level, the payout at maturity will be par plus the contingent coupon.
If each index finishes below the coupon barrier but at or above the trigger level, 50% of the initial level, the payout will be par.
Otherwise, investors will be exposed to any losses of the worst performing index.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Trigger phoenix autocallable optimization securities
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| Underlying indexes: | S&P 500, Euro Stoxx 50
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| Amount: | $6,675,000
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| Maturity: | Aug. 23, 2024
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| Coupon: | 7.4% per year, for each quarter that indexes closes at or above coupon barrier level on observation date for that quarter
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| Price: | Par of $10.00
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| Payout at maturity: | Par plus contingent coupon if each index finishes at or above coupon barrier level; par if each index finishes below coupon barrier but at or above trigger level; otherwise, full exposure to losses of worst-performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly observation date beginning Aug. 19, 2015
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| Initial index levels: | 1,981.60 for S&P, 3,091.11 for Euro Stoxx
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| Coupon barriers: | 1,387.12 for S&P, 2,163.78 for Euro Stoxx; 70% of initial levels
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| Trigger levels: | 990.80 for S&P, 1,545.56 for Euro Stoxx; 50% of initial levels
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| Pricing date: | Aug. 19
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| Settlement date: | Aug. 22
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 2.4%
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| Cusip: | 38148F224
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