Published on 8/31/2015 in the Prospect News Structured Products Daily.
New Issue: Goldman Sachs sells $8.8 million trigger phoenix callable notes linked to indexes
New York, Aug. 31 – Goldman Sachs Group, Inc. priced $8.8 million of trigger phoenix callable optimization securities due Sept. 4, 2019 linked to the S&P 500 index, the Russell 2000 index and the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index closes at or above its barrier level, 60% of its initial level, on a quarterly observation date, the issuer will pay a contingent coupon at an annual rate of 9.4% for that quarter. Otherwise, no coupon will be paid that quarter.
Goldman may call the notes at par plus the contingent coupon on any coupon payment date.
If the notes are not called, the payout will be par plus the contingent coupon unless any index falls by more than 40% in which case investors will be fully exposed to the decline of the worst-performing index from its initial level.
Goldman, Sachs & Co. is the agent.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Trigger phoenix autocallable optimization securities
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| Underlying indexes: | S&P 500, Russell 2000, MSCI EAFE
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| Amount: | $8.8 million
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| Maturity: | Sept. 4, 2019
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| Coupon: | 9.4% per year payable quarterly if each index closes at or above 60% barrier level on observation date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus contingent coupon if each index finishes at or above 60% barrier level; full exposure to decline of worst-performing index if any finish below 60% trigger level
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| Call option: | At par plus contingent coupon on any quarterly coupon payment date
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| Initial index levels: | 1,987.66 for S&P 500, 1,153.608 for Russell 2000, 1,731.138 for MSCI EAFE
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| Trigger levels: | 1,192.596 for S&P 500, 692.165 for Russell 2000, 1,038.678 for MSCI EAFE, 60% of initial levels
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| Barrier levels: | 1,192.596 for S&P 500, 692.165 for Russell 2000, 1,038.678 for MSCI EAFE, 60% of initial levels
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| Pricing date: | Aug. 27
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| Settlement date: | Aug. 31
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| Agent: | Goldman, Sachs & Co.
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| Fees: | 2.05%
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| Cusip: | 38148X266
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