By Toni Weeks
San Luis Obispo, Calif., Dec. 31 – Goldman Sachs Group, Inc. priced $3.25 million of callable buffered monthly S&P 500 index-linked range accrual notes due June 30, 2022, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 5.65% for each day that the index closes at or above the 80% coupon barrier level. Interest is payable monthly.
The payout at maturity will be par if the index return is at least negative 20%. If the index return is less than negative 20%, investors will lose 1% for each 1% index decline beyond the 20% buffer.
The notes will be callable at par on any interest payment date beginning Dec. 31, 2015.
Goldman Sachs & Co. is the underwriter.
Issuer: | Goldman Sachs Group, Inc.
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Issue: | Callable buffered monthly range accrual notes
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Underlying index: | S&P 500
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Amount: | $3.25 million
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Maturity: | June 30, 2022
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Coupon: | 5.65% for each day that index closes at or above 80% coupon barrier level; payable monthly
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Price: | Par
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Payout at maturity: | Par unless index finishes below 80% trigger level, in which case 1% loss for each 1% index decline beyond 20% buffer
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Call option: | At par on any interest payment date beginning Dec. 31, 2015
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Initial level: | 2,090.57
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Coupon barrier level: | 1,672.456, 80% of initial level
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Pricing date: | Dec. 29
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Settlement date: | Dec. 31
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Underwriter: | Goldman Sachs & Co.
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Fees: | 4.5%
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Cusip: | 38147QPR1
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