By Sarah Lizee
Olympia, Wash., Oct. 3 – GS Finance Corp. priced $5 million of callable CMS spread and index-linked range accrual notes due Sept. 25, 2024 linked to the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are callable at par after one year.
Interest will be fixed at 7% for the first year. After that, it will accrue at an annual rate equal to the interest factor, which is the product of 25 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate on the related observation date, subject to a maximum interest factor of 12% and a minimum interest factor of 0%.
The payout at maturity will be par if each index finishes above 65% of its initial level.
Otherwise, investors will be fully exposed to the decline of the least performing index.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Callable CMS spread and index-linked range accrual notes
|
| Underlying indexes: | Euro Stoxx 50, Russell 2000, S&P 500
|
| Amount: | $5 million
|
| Maturity: | Sept. 25, 2024
|
| Coupon: | Fixed at 7% for the first year; after that, product of 25 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate on the related observation date, subject to a maximum interest factor of 12% and a minimum interest factor of 0%
|
| Price: | Par
|
| Payout at maturity: | Par if each index finishes above 65% of its initial level; otherwise full exposure to the decline of the least performing index
|
| Call option: | At par on any interest payment date beginning after one year
|
| Initial level: | 3,571.39 for Stoxx, 1,559.765 for Russell and 2,992.07 for S&P
|
| Pricing date: | Sept. 20
|
| Settlement date: | Sept. 25
|
| Agent: | Goldman Sachs & Co.
|
| Fees: | 2.85%
|
| Cusip: | 40056XDU7
|
|
|
© 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.
