Published on 5/4/2016 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $3.25 million range accrual notes tied to CMS rates, Russell 2000
By Susanna Moon
Chicago, May 4 – GS Finance Corp. priced $3.25 million of callable CMS spread and Russell 2000 index-linked range accrual notes due April 29, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will be fixed at 10% for the first year. After that, it will 12 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, 75% of the initial index level, up to a maximum rate of 10%. 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 will be callable at par on any interest payment date after one year.
Goldman Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Callable buffered monthly range accrual notes
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| Underlying index: | Russell 2000
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| Amount: | $3,248,000
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| Maturity: | April 29, 2031
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| Coupon: | 10% for one year; after that, 12 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the 75% barrier level, capped at 10%; payable quarterly
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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 April 29, 2017
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| Initial level: | 1,154.149
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| Coupon barrier: | 865.61175, 75% of initial level
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| Trigger level: | 577.0745, 50% of initial level
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| Pricing date: | April 27
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| Settlement date: | April 29
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 5.55%
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| Cusip: | 40054KA55
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