Published on 2/26/2015 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $3 million range accrual notes tied to S&P 500, CMS rates
By Angela McDaniels
Tacoma, Wash., Feb. 26 – Goldman Sachs Group, Inc. priced $3 million of CMS spread and S&P 500 index-linked range accrual notes due Feb. 27, 2030, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 10% per year for the first year. After that, the interest rate will be the interest factor multiplied by the proportion of days on which the index’s closing level is at least 70% of the initial index level. The interest factor is six times the CMS spread, which is the difference between the 30-year Constant Maturity Swap rate minus the two-year CMS rate, subject to a maximum interest factor of 10% and a minimum interest factor of zero. Interest is payable quarterly.
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 Jan. 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.
|
| Issue: | CMS spread and S&P 500 index-linked range accrual notes
|
| Amount: | $3 million
|
| Maturity: | Feb. 27, 2030
|
| Coupon: | 10% per year for first year; after that, interest factor multiplied by proportion of days on which index closes at or above barrier level; payable quarterly
|
| Interest factor: | Six times CMS spread, which is difference between 30-year CMS rate minus two-year CMS rate, subject to maximum interest factor of 10% and minimum interest factor of zero
|
| Price: | Par
|
| Payout at maturity: | If index return is greater than or equal to negative 50%, par; otherwise, full exposure to index’s decline
|
| Initial index level: | 2,115.48
|
| Barrier level: | 1,480.836, 70% of initial level
|
| Trigger buffer level: | 1,057.74, 50% of initial level
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 27
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 3.05%
|
| Cusip: | 38147QUV6
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
