By Marisa Wong
Madison, Wis., Aug. 27 – Goldman Sachs Group, Inc. priced $3 million of callable buffered monthly Russell 2000 index-linked range accrual notes due Feb. 28, 2022, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 6.4% for each day that the index closes at or above the 80% coupon barrier level. Interest is payable monthly.
If the index return is greater than or equal to negative 20%, the payout at maturity will be par. Investors will lose 1% for every 1% decline in the index beyond the 20% buffer.
The notes will be callable at par on any interest payment date after one year.
Goldman Sachs & Co. is the underwriter.
Issuer: | 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 million
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Maturity: | Feb. 28, 2022
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Coupon: | 6.4% annualized per day that index closes at or above coupon barrier level; payable monthly
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Price: | Par
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Payout at maturity: | If the index return is greater than or equal to negative 20%, par; 1% loss for every 1% decline in index beyond 20% buffer
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Call option: | At par on any interest payment date beginning Aug. 29, 2015
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Initial level: | 1,175.170
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Coupon barrier level: | 940.136, 80% of initial level
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Pricing date: | Aug. 26
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Settlement date: | Aug. 29
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Underwriter: | Goldman Sachs & Co.
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Fees: | 4.3%
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Cusip: | 38147QE51
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