By Angela McDaniels
Tacoma, Wash., June 6 – Goldman Sachs Group, Inc. priced $10.23 million of 0% notes due July 12, 2017 linked to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the final reference rate level is greater than or equal to 62.5% of the initial reference rate level, the payout at maturity will be par plus 7%.
If the final reference rate level is less than 62.5% of the initial reference rate level but greater than or equal to 58.125% of the initial reference rate level, the payout will be the sum of (i) the product of (a) $1,000 times (b) the threshold rate plus (ii) $70. The threshold rate is equal to the quotient of the final reference rate level divided by the threshold level. In this case, the return on the notes will be zero or positive.
If the final reference rate level is less than 58.125% of the initial reference rate level, the payout will be the sum of (i) the product of (a) $1,000 times (b) the threshold rate plus (ii) $70. In this case, the return on the notes will be negative.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Notes
|
| Underlying rate: | 10-year Constant Maturity Swap rate
|
| Amount: | $10,234,000
|
| Maturity: | July 12, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final reference rate level is greater than or equal to 62.5% of initial reference rate level, par plus 7%l otherwise, sum of (i) product of (a) $1,000 times (b) threshold rate plus (ii) $70
|
| Initial rate: | 1.6904
|
| Pricing date: | June 2
|
| Settlement date: | June 9
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.9%
|
| Cusip: | 38148TN54
|
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