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Published on 12/31/2014 in the Prospect News Structured Products Daily.

New Issue: Goldman prices $3.25 million callable buffered monthly range accrual notes on S&P 500

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.
Issue:Callable buffered monthly range accrual notes
Underlying index:S&P 500
Amount:$3.25 million
Maturity:June 30, 2022
Coupon:5.65% for each day that index closes at or above 80% coupon barrier level; payable monthly
Price:Par
Payout at maturity:Par unless index finishes below 80% trigger level, in which case 1% loss for each 1% index decline beyond 20% buffer
Call option:At par on any interest payment date beginning Dec. 31, 2015
Initial level:2,090.57
Coupon barrier level:1,672.456, 80% of initial level
Pricing date:Dec. 29
Settlement date:Dec. 31
Underwriter:Goldman Sachs & Co.
Fees:4.5%
Cusip:38147QPR1

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