By Susanna Moon
Chicago, Aug. 3 – Goldman Sachs Group, Inc. priced $5.03 million of callable monthly S&P 500 index-linked range accrual notes due Jan. 31, 2023, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 6.35% annualized for each day that the index closes at or above the barrier level, 75% of the initial index level. Interest is payable monthly.
The payout at maturity will be par if the index falls by up to 20%.
If the index falls by more than 20%, investors will lose 1% for each 1% decline beyond 20%.
The notes will be callable at par on any interest payment date after one year.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Callable buffered monthly range accrual notes
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| Underlying index: | S&P 500
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| Amount: | $5,025,000
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| Maturity: | Jan. 31, 2023
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| Coupon: | 6.35% per year for each day that index closes at or above barrier level; payable monthly
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| Price: | Par
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| Payout at maturity: | Par if index falls by up to 20%; otherwise, 1% loss per 1% drop beyond 20%
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| Call option: | At par on any interest payment date beginning July 31, 2016
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| Initial level: | 2,108.57
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| Barrier level: | 80% of initial level
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| Pricing date: | July 29
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| Settlement date: | July 31
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 4.82%
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| Cusip: | 38148T6X2
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