By Susanna Moon
Chicago, Aug. 29 – Goldman Sachs Group, Inc. priced $9.4 million of trigger phoenix autocallable optimization securities due Aug. 30, 2024 linked to the least performing of the iShares MSCI Emerging Markets exchange-traded fund and the iShares Russell 2000 ETF, 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% if each fund 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 fund closes at or above its initial level on any quarterly observation date.
If the notes are not called and each fund finishes at or above its 70% coupon barrier level, the payout at maturity will be par plus the contingent coupon.
If each fund 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 fund.
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 funds: | iShares MSCI Emerging Markets ETF and the iShares Russell 2000 ETF
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| Amount: | $9,401,410
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| Maturity: | Aug. 30, 2024
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| Coupon: | 7% per year, for each quarter that funds 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 fund finishes at or above coupon barrier level; par if each fund finishes below coupon barrier but at or above trigger level; otherwise, full exposure to losses of worst performing fund
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| Call: | At par plus contingent coupon if each fund closes at or above initial level on any quarterly observation date beginning Aug. 30, 2015
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| Initial fund levels: | $45.58 for EM fund, $116.51 for Russell fund
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| Coupon barriers: | $31.91 for EM fund, $81.56 for Russell fund; 70% of initial levels
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| Trigger levels: | $22.79 for EM fund, $58.26 for Russell fund; 50% of initial levels
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| Pricing date: | Aug. 27
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| Settlement date: | Aug. 29
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 3.95%
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| Cusip: | 38148F232
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