Published on 1/4/2016 in the Prospect News Structured Products Daily.
New Issue: Goldman Sachs prices $3.49 million range accrual notes linked to Russell 2000
By Susanna Moon
Chicago, Jan. 4 – Goldman Sachs Group, Inc. priced $3.49 million of callable range accrual securities due Dec. 31, 2030 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first year, payable quarterly. After that, it will accrue at 8 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate, up to a maximum rate of 10%, for each day that the index closes at or above its accrual barrier, 50% of its initial index level. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.
The notes are callable at par on any interest payment date after one year.
Goldman, Sachs & Co. is the agent.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Callable range accrual securities
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| Underlying index: | Russell 2000
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| Amount: | $3.49 million
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| Maturity: | Dec. 31, 2030
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| Coupon: | 10% for one year; after that, 8 times the spread of the 30-year CMS rate minus the two-year CMS rate, up to a maximum rate of 10%, for each day that the index closes at or above its accrual barrier, 50% of its initial index level. Interest is payable quarterly and cannot be less than zero
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| Price: | Par
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| Payout at maturity: | Par unless index falls by more than 50%, in which case full exposure to any losses
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| Call option: | At par on any interest payment date beginning Dec. 31, 2016
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| Initial level: | 1,148.213
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| Barrier level: | 574.1065, 50% of initial level
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| Pricing date: | Dec. 28
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| Settlement date: | Dec. 31
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| Agent: | Goldman, Sachs & Co.
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| Fees: | 4.55%
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| Cusip: | 38148TKF5
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