By Wendy Van Sickle
Columbus, Ohio, July 5 – GS Finance Corp. priced $2.61 million of callable range accrual notes due June 30, 2031 linked to the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.
The coupon will be fixed at 8% for the first two years. After that, interest will accrue at 15 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that the index closes at or above the barrier level, 60% of the initial index level, up to a maximum rate of 8%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index falls by more than 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.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. is the underwriter.
Issuer: | GS Finance Corp.
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Gurantor: | Goldman Sachs Group Inc.
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Issue: | Callable range accrual notes
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Underlying index: | Russell 2000
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Amount: | $2,614,000
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Maturity: | June 30, 2031
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Coupon: | Payable quarterly; 8% for the two years, then 15 times the 30-year CMS rate minus the two-year CMS rate for each day the index closes above its barrier, subject to an 8% maximum and a floor of zero
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Price: | Par of $10
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Call: | At par on any interest payment date after one year
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Payout at maturity: | Par unless index falls below trigger level, in which case full exposure to the loss
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Initial index level: | 1,107.298
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Barrier level: | 664.3788, 60% of its initial level
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Trigger level: | 553.649, 50% of its initial level
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Pricing date: | June 28
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Settlement date: | June 30
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Agents: | Goldman Sachs & Co.
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Fees: | 5.05%
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Cusip: | 40054KDU7
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