By Kiku Steinfeld
Chicago, Nov. 30 – GS Finance Corp. priced $2 million of callable CMS spread and index-linked range accrual notes due Nov. 24, 2036 linked to the Euro Stoxx Banks index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are callable quarterly at par after one year.
Interest will be fixed at 10% for the first year. After that, it will accrue at an annual rate equal to the interest factor, which is the product of 18.5 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate on the related observation date, subject to a maximum interest factor of 12% and a minimum interest factor of 0%.
Interest will be paid quarterly after the first year based on the calculated interest rate detailed above multiplied by the number of days each quarter that each index has closed at or above 70% of its initial level divided by the number of days in the interest accrual period.
The payout at maturity will be par if each index finishes above 65% of its initial level.
Otherwise, investors will be fully exposed to the decline of the least performing index from its initial level.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Callable CMS spread and index-linked range accrual notes
|
| Underlying indexes: | Euro Stoxx Banks index, S&P 500 index
|
| Amount: | $2 million
|
| Maturity: | Nov. 24, 2036
|
| Coupon: | Fixed at 10% for the first year; after that, product of 18.5 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate on the related observation date, subject to a ceiling of 12% and a floor of 0%, payable quarterly based on how many days all indexes finish at or above 65% of their initial levels divided by the number of days in the accrual period
|
| Price: | Par
|
| Payout at maturity: | Par if each index finishes at or above final barrier level; otherwise, full exposure to the decline of the least performing index from its initial level
|
| Call option: | At par on any interest payment date beginning after one year
|
| Initial levels: | 99.60 for Stoxx Banks, 4,697.96 for S&P
|
| Index barrier levels: | 70% of initial levels
|
| Trigger buffer levels: | 65% of initial levels
|
| Pricing date: | Nov. 19
|
| Settlement date: | Nov. 24
|
| Agent: | Goldman Sachs & Co. LLC
|
| Fees: | 5%
|
| Cusip: | 40057K6C2
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
