Published on 8/4/2017 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $1.61 million callable CMS spread range accrual notes tied to indexes
By Susanna Moon
Chicago, Aug. 4 – GS Finance Corp. priced $1.61 million of callable CMS spread and index-linked range accrual notes due July 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.
Interest will be fixed at 8% for the first year, payable quarterly. After that, it will accrue at 20 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 50% coupon barrier, up to a maximum rate of 8%. 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.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Callable CMS spread and index-linked range accrual notes
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $1,608,000
|
| Maturity: | July 31, 2032
|
| Coupon: | 8% initially; beginning July 31, 2018, 20 times spread of 30-year CMS rate over the two-year CMS rate for each day that each index closes at or above 50% coupon barrier, capped at 8%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index falls by more than 50%, in which case full exposure to any losses of worse performing index
|
| Call option: | At par on any interest payment date beginning July 31, 2018
|
| Initial levels: | 2,475.42 for S&P, 1,433.624 for Russell
|
| Trigger levels: | 1,237.71 for S&P, 716.812 for Russell, 50% of initial levels
|
| Pricing date: | July 27
|
| Settlement date: | July 31
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 5.05%
|
| Cusip: | 40054LKN3
|
|
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
