Published on 2/7/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $480,000 callable CMS spread range accrual notes tied to indexes
By Susanna Moon
Chicago, Feb. 7 – GS Finance Corp. priced $480,000 of callable CMS spread and index-linked range accrual notes due Jan. 31, 2032 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will be 10% for the first year, payable quarterly. After that, it will accrue at 15 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes at or above the 65% coupon barrier, up to a maximum interest factor of 10%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless either index falls by more than 50%, in which case investors will be fully exposed to any losses of the worse performing index.
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 CMS spread and index-linked range accrual notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $480,000
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| Maturity: | Jan. 31, 2032
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| Coupon: | 10%, payable quarter for one year; after that, 15 times spread of 30-year CMS rate over the two-year CMS rate for each day that each index closes at or above 65% coupon barrier, capped at 10%, payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless either index falls by more than 50%, in which case full exposure to any losses of worse performing index
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| Call option: | At par on any interest payment date beginning Jan. 31, 2018
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| Initial levels: | 1,370.704 for Russell, 2,294.69 for S&P
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| Coupon barriers: | 890.9576 for Russell, 1,491.5485 for S&P, 65% of initial levels
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| Trigger levels: | 685.352 for Russell, 1,147.345 for S&P, 50% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Jan. 31
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| Agent: | Goldman Sachs & Co.
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| Fees: | 4.9%
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| Cusip: | 40054KU38
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