Published on 11/26/2014 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $733,000 callable monthly range accrual notes on indexes
By Jennifer Chiou
New York, Nov. 26 – Goldman Sachs Group, Inc. priced $733,000 of callable monthly index-linked range accrual notes due Nov. 26, 2029 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 7.75% multiplied by the proportion of days on which each index closes at or above the trigger level, 60% of its initial level. Interest will be payable monthly.
The notes will be callable at par plus accrued interest on any monthly interest payment date beginning on Nov. 26, 2015.
If the notes are not called, the payout at maturity will be par if each index finishes at or above 50% of its initial level. If the index return of either index is less than negative 50%, investors will be fully exposed to the decline of the lesser-performing index.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Callable monthly range accrual notes
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| Underlying indexes: | Russell 2000 and Euro Stoxx 50
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| Amount: | $733,000
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| Maturity: | Nov. 26, 2029
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| Coupon: | 7.75% multiplied by proportion of days on which both indexes close at or above trigger level; payable monthly
|
| Price: | Par
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| Payout at maturity: | Par unless either index finishes below the 50% trigger level, in which case investors will lose 1% for every 1% that the least-performing index drops below its initial level
|
| Call option: | At par on any interest payment date beginning on Nov. 26, 2015
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| Initial levels: | 1,172.416 for Russell, 3,194.22 for Euro Stoxx
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| Trigger levels: | 703.4496 for Russell, 1,916.532 for Euro Stoxx; 60% of initial level
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| Pricing date: | Nov. 21
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| Settlement date: | Nov. 26
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| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 5.05%
|
| Cusip: | 38147QMR4
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