Published on 9/7/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $510,000 callable CMS spread range accrual notes tied to S&P 500
By Wendy Van Sickle
Columbus, Ohio, Sept. 7 – GS Finance Corp. priced $510,000 of callable CMS spread and index-linked range accrual notes due Sept. 5, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be fixed at 7% for the first year, payable quarterly. After that, it will accrue at 7.2 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 75% coupon barrier, up to a maximum rate of 10%. Interest will be 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 will be callable at par on any interest payment date beginning Sept. 5, 2018.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Callable CMS spread and index-linked range accrual notes
|
| Underlying index: | S&P 500
|
| Amount: | $510,000
|
| Maturity: | Sept. 5, 2024
|
| Coupon: | 7% initially; beginning Sept. 5, 2018, 7.2 times spread of 30-year CMS rate over the two-year CMS rate for each day that index closes at or above 70% coupon barrier, capped at 10%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless index falls by more than 50%, in which case full exposure to losses
|
| Call option: | At par on any interest payment date beginning Sept. 5, 2018
|
| Initial level: | 2,471.65
|
| Coupon barrier: | 1,853.7375, 75% of initial level
|
| Trigger level: | 1,235.825, 50% of initial level
|
| Pricing date: | Aug. 31
|
| Settlement date: | Sept. 6
|
| Agent: | Goldman Sachs & Co.
|
| Fees: | 2.875%
|
| Cusip: | 40054LPB4
|
|
|
|
|
© 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.
