Published on 3/17/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $3 callable CMS spread range accrual notes tied to indexes
By Wendy Van Sickle
Columbus, Ohio, March 17 – GS Finance Corp. priced $3 million of callable CMS spread and index-linked range accrual notes due March 17, 2032 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will be 15% for the first 1.5 years, payable quarterly. After that, it will accrue at eight times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes at or above the 75% coupon barrier, up to a maximum rate of 14%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless either index falls by more than 35%, in which case investors will be fully exposed to any losses of the worse performing index.
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 CMS spread and index-linked range accrual notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $3 million
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| Maturity: | March 17, 2032
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| Coupon: | 15%, for first 1.5 years; after that eight times spread of 30-year CMS rate over the two-year CMS rate for each day that each index closes at or above 75% coupon barrier, capped at 14% with floor of zero, payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless either index falls by more than 35%, in which case full exposure to any losses of worse performing index
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| Call option: | At par on any interest payment date beginning March 17, 2018
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| Initial levels: | 1,362.379 for Russell, 2,365.45 for S&P
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| Coupon barriers: | 1,021.78425 for Russell, 1,774.0875 for S&P, 75% of initial levels
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| Trigger levels: | 885.54635 for Russell, 1,537.5425 for S&P, 65% of initial levels
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| Pricing date: | March 14
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| Settlement date: | March 17
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| Agent: | Goldman Sachs & Co.
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| Fees: | 5.05%
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| Cusip: | 40054KZX7
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