By Toni Weeks
San Luis Obispo, Calif., Nov. 21 - Goldman Sachs Group, Inc. priced $5 million of callable quarterly range accrual notes due Nov. 22, 2023 linked to Libor and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 8.5% per year multiplied by the proportion of days on which the index closes at or above the barrier level, 70% of the initial index level, and Libor is 6% or less. Interest will be payable quarterly.
The payout at maturity will be par if the index finishes at or above 60% of the initial level. Otherwise, investors will share fully in losses from the initial level.
Beginning Nov. 22, 2015, the notes will be callable at par on any interest payment date.
The initial index level is higher than the index's actual closing level of 1,101.38 at pricing.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Callable quarterly range accrual notes
|
| Underlying index: | Russell 2000
|
| Amount: | $3,234,000
|
| Maturity: | Nov. 22, 2023
|
| Coupon: | 8.5% multiplied by proportion of days on which index closes at or above barrier level and Libor is 6% or less; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par if index finishes at or above 60% trigger buffer level; otherwise full exposure to losses from initial index level
|
| Call option: | At par on any interest payment date beginning Nov. 22, 2015
|
| Initial level: | 1,108.53
|
| Barrier level: | 775.971, 70% of initial level
|
| Trigger buffer level: | 60% of initial level
|
| Pricing date: | Nov. 19
|
| Settlement date: | Nov. 22
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 2.75%
|
| Cusip: | 38147QV60
|
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