Published on 4/27/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman sells $1.16 million callable CMS spread range accrual notes tied to indexes
By Wendy Van Sickle
Columbus, Ohio, April 27 – GS Finance Corp. priced $1.16 million of callable CMS spread and index-linked range accrual notes due April 27, 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 60% coupon barrier, up to a maximum rate of 0%. 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: | $1,161,000
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| Maturity: | April 27, 2032
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| Coupon: | 10% for first 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 60% coupon barrier, capped at 10% with floor of zero, 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 April 27, 2018
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| Initial levels: | 1,397.942 for Russell, 2,374.15 for S&P
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| Coupon barriers: | 838.7652 for Russell, 1,424.49 for S&P, 60% of initial levels
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| Trigger levels: | 698.971 for Russell, 1,187.075 for S&P, 50% of initial levels
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| Pricing date: | April 24
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| Settlement date: | April 27
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| Agent: | Goldman Sachs & Co.
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| Fees: | 2.55%
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| Cusip: | 40054L6C3
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