Published on 3/31/2016 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $3.56 million callable buffered range accrual notes on Russell, CMS rates
By Wendy Van Sickle
Columbus, Ohio, March 31 – GS Finance Corp. priced $3.56 million of callable buffered Russell 2000 index-linked range accrual notes due March 31, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The coupon will be fixed at 10% for the first year. After that, interest will accrue at 10 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 barrier level, 67.5% of the initial index level, 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 falls by more than 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 after March 31, 2017.
Goldman Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Callable monthly range accrual notes
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| Underlying index: | Russell 2000
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| Amount: | $3,559,000
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| Maturity: | March 31, 2031
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| Coupon: | 10% for the first year, then 10 times 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 barrier level, 67.5% of the initial index level, up to a maximum rate of 10% with a floor of 0; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If index return is greater than or equal to negative 50%, par; otherwise, full exposure to loss
|
| Call option: | At par on any interest payment date beginning March 31, 2017
|
| Initial index level: | 1,109.082
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| Barrier level: | 748.63035, 67.5% of initial level
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| Trigger level: | 554.541, 50% of initial level
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| Pricing date: | March 29
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| Settlement date: | March 31
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| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 5.55%
|
| Cusip: | 40054K5J1
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