Published on 6/5/2014 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $1.43 million callable range accrual notes on Russell, 10-year CMS rate
By Toni Weeks
San Luis Obispo, Calif., June 5 – Goldman Sachs Group, Inc. priced $1.43 million of callable quarterly range accrual notes due June 6, 2024 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 7% for the first year. After that it will be the applicable rate multiplied by the proportion of days on which the index closes at or above the barrier level, 70% of the initial index level. The applicable rate is the 10-year Constant Maturity Swap rate plus 155 basis points. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par if the index finishes at or above 50% of the initial level. Otherwise, investors will share fully in losses from the initial level.
Beginning June 6, 2015, the notes will be callable at par on any interest payment date.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Callable quarterly range accrual notes
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| Underlying components: | Russell 2000 index, 10-year CMS rate
|
| Amount: | $1,425,000
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| Maturity: | June 6, 2024
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| Coupon: | 7% for first year, then (i) 10-year CMS rate plus 155 bps multiplied by (ii) proportion of days on which index closes at or above barrier level; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par if index finishes at or above 50% trigger buffer level; otherwise full exposure to losses from initial index level
|
| Call option: | At par on any interest payment date beginning June 6, 2015
|
| Initial level: | 1,126.15
|
| Barrier level: | 788.305, 70% of initial level
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| Trigger buffer level: | 50% of initial level
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| Pricing date: | June 3
|
| Settlement date: | June 6
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 3.4%
|
| Cusip: | 38147QFQ4
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