By Angela McDaniels
Tacoma, Wash., Oct. 31 – Goldman Sachs Group, Inc. priced $4 million of callable buffered monthly Russell 2000 index-linked range accrual notes due April 30, 2022, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 6.75% per year multiplied by the proportion of days on which the index’s closing level is greater than or equal to 80% of the initial index level. Interest is payable monthly.
If the index return is greater than or equal to negative 20%, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% that the index declines beyond 20%.
Beginning Oct. 31, 2015, 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 buffered monthly range accrual notes
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Underlying index: | Russell 2000
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Amount: | $4 million
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Maturity: | April 30, 2022
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Coupon: | 6.75% per year multiplied by proportion of days on which index’s closing level is greater than or equal to barrier level; payable monthly
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Price: | Par
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Payout at maturity: | If index return is greater than or equal to negative 20%, par; otherwise, 1% loss for each 1% that index declines beyond 20%
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Call option: | At par on any interest payment date from Oct. 31, 2015 onward
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Initial index level: | 1,146.369
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Barrier level: | 917.0952, 80% of initial level
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Pricing date: | Oct. 29
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Settlement date: | Oct. 31
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Underwriter: | Goldman Sachs & Co.
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Fees: | 4.6%
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Cusip: | 38147QJH0
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