By Marisa Wong
Morgantown, W.Va., Dec. 4 – Goldman Sachs Group, Inc. priced $2.96 million of callable CMS spread and Russell 2000 index-linked range accrual notes due Nov. 30, 2020, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 10% for the first year. After that, it will be the interest factor multiplied by the proportion of days on which the index closes at or above the barrier level, 60% of the initial index level. Interest is payable quarterly.
The interest factor is 8 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a maximum interest factor of 10% and a minimum of zero.
If the index return is greater than or equal to negative 50%, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline.
Beginning Nov. 30, 2016, the notes will be callable at par on any interest payment date.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Callable CMS spread and Russell 2000 index-linked range accrual notes
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| Underliers: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $2.96 million
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| Maturity: | Nov. 30, 2020
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| Coupon: | 10% for first year; after that, interest factor multiplied by proportion of days on which index closes at or above barrier level; interest factor is 8 times spread of 30-year CMS rate over the two-year CMS rate, subject to maximum interest factor of 10% and minimum of zero; payable quarterly
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| Price: | Par
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| Payout at maturity: | If index return is negative 50% or greater, par; otherwise, full exposure to index’s decline
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| Call option: | At par on any interest payment date after one year
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| Initial index level: | 1,188.814
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| Barrier level: | 713.2884, 60% of initial level
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| Trigger level: | 594.407, 50% of initial level
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| Pricing date: | Nov. 24
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| Settlement date: | Nov. 30
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 4.55%
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| Cusip: | 38148THY8
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