Published on 9/1/2016 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $3.81 million range accrual notes linked to CMS rates, Russell
By Wendy Van Sickle
Columbus, Ohio, Sept. 1 – GS Finance Corp. priced $3.81 million of callable CMS spread and Russell 2000 index-linked range accrual notes due Aug. 31, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will be fixed at 10% for the first year. After that, it will 12 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the barrier level, 75% of the initial index level, up to a maximum rate of 10%. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below 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.
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 buffered monthly range accrual notes
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Underlying index: | Russell 2000
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Amount: | $3,805,000
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Maturity: | Aug. 31, 2031
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Coupon: | 10% for first year; after that, 12 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the 60% barrier level, capped at 10%; payable quarterly
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Price: | Par
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Payout at maturity: | Par unless index falls by more than 50%, in which case full exposure to any losses
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Call option: | At par on any interest payment date beginning Aug. 31, 2017
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Initial level: | 1,244.943
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Coupon barrier: | 933.70725, 75% of initial level
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Trigger level: | 622.4715, 50% of initial level
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Pricing date: | Aug. 29
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Settlement date: | Aug. 31
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Underwriter: | Goldman Sachs & Co.
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Fees: | 5.05%
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Cusip: | 40054KGZ3
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