Published on 2/27/2015 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $1.54 million callable monthly range accrual notes on two indexes
By Marisa Wong
Madison, Wis., Feb. 27 – Goldman Sachs Group, Inc. priced $1.54 million of callable monthly index-linked range accrual notes due Feb. 27, 2019 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 5.25% multiplied by the proportion of days on which each index closes at or above 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 Feb. 27, 2016.
If the notes are not called, the payout at maturity will be par if each index finishes at or above 60% of its initial level. If the index return of either index is less than negative 40%, 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 S&P 500
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| Amount: | $1,535,000
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| Maturity: | Feb. 27, 2019
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| Coupon: | 5.25% 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 60% 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 Feb. 27, 2016
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| Initial levels: | 1,233.975 for Russell, 2,115.48 for S&P 500
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| Trigger levels: | 740.385 for Russell, 1,269.288 for S&P 500; 60% of initial level
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| Pricing date: | Feb. 24
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| Settlement date: | Feb. 27
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 4.1%
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| Cusip: | 38147QT71
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