By Susanna Moon
Chicago, Jan. 31 – GS Finance Corp. priced $750,000 of CMS spread-linked notes due July 30, 2018 based on the CMS spread of the 10-year CMS rate over the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the CMS spread is at least 50% of the initial spread, the payout at maturity will be the maximum settlement amount of $1,200 for each $1,000 principal amount of your notes.
If the spread is more than 40% but less than 50%, the payout will be par plus the rate and 20%.
If the spread is 40%, the payout will be par.
If the level has fallen by more than 60%, investors will lose 2% for each 1% decline beyond 60%.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | CMS spread notes
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| Amount: | $750,000
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| Maturity: | July 30, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If spread is at least 0.2%, par plus 20%; if spread has dropped more than 40% but less than 50%, par plus rate and 20%; if spread is 40%, par; if spread has fallen by more than 60%, 2% loss per 1% decline beyond 60%
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| Initial rate: | 0.4%
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| Pricing date: | Jan. 23
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| Settlement date: | Jan. 30
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| Agent: | Goldman Sachs & Co.
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| Fees: | 1.8%
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| Cusip: | 40055AFD4
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