Published on 5/8/2018 in the Prospect News Structured Products Daily.
New Issue: Goldman prices $480,000 callable CMS spread range accrual notes tied to indexes
By Wendy Van Sickle
Columbus, Ohio, May 8 – GS Finance Corp. priced $480,000 of callable CMS spread and index-linked range accrual notes due April 30, 2033 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 8.25% for the first three years. 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 60% coupon barrier, up to a maximum rate of 8.25%. Interest will be payable quarterly and cannot be less than zero.
The notes will be callable on any interest payment date beginning in April 2019.
The payout at maturity will be par unless either index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes are guaranteed by Goldman Sachs Group, Inc.
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: | April 30, 2033
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| Coupon: | 8.25% initially; beginning in July 2021, 20 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 8.25%, 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 in April 2019
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| Initial levels: | 1,557.895 for Russell, 2,666.94 for S&P
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| Coupon barriers: | 934.737 for Russell, 1,600.164 for S&P, 60% of initial levels
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| Trigger levels: | 778.9475 for Russell, 1,333.47 for S&P, 50% of initial levels
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| Pricing date: | April 26
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| Settlement date: | April 30
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| Agent: | Goldman Sachs & Co.
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| Fees: | 5.05%
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| Cusip: | 40055AX93
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