By Susanna Moon
Chicago, Jan. 26 - Goldman Sachs Group, Inc. priced $892,000 of CMS spread notes due Jan. 31, 2026, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 11% for the first year. After that, the rate will be four times the spread of the 10-year Constant Maturity Swap rate over the two-year CMS rate minus 15 basis points, up to a maximum rate of 11%. Interest is payable quarterly and cannot be less than zero.
If the final CMS spread minus 15 bps multiplied by four is greater than zero, the payout at maturity will be par plus 20 times the CMS spread minus 15 bps. Otherwise, the payout will be par.
The notes are callable at par plus accrued interest on any quarterly redemption date between Jan. 31, 2012 and July 31, 2025.
The payout at maturity will be par.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | CMS spread notes
|
| Amount: | $892,000
|
| Maturity: | Jan. 31, 2026
|
| Coupon: | 11% for one year; thereafter, four times difference between 10-year CMS rate and two-year CMS rate less 15 bps, capped at 11% with floor of zero; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par plus 20 times CMS spread minus 15 bps if final CMS spread minus 15 bps multiplied by four is greater than zero; otherwise, par
|
| Call option: | At par plus accrued interest on any quarterly redemption date from Jan. 31, 2012 through July 31, 2025
|
| Pricing date: | Jan. 24
|
| Settlement date: | Jan. 31
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 4.8%
|
| Cusip: | 38143UQT1
|
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