Published on 12/10/2014 in the Prospect News Structured Products Daily.
New Issue: Goldman Sachs prices $2 million callable quarterly range accrual notes tied to indexes
By Toni Weeks
San Luis Obispo, Calif., Dec. 10 – Goldman Sachs Group, Inc. priced $2 million of callable quarterly index-linked range accrual notes due Dec. 11, 2021 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be 6.5% multiplied by the proportion of days on which each index closes at or above 60% of its initial level. Interest will be payable quarterly.
The notes will be callable at par plus accrued interest on any quarterly interest payment date beginning March 11, 2015.
If the notes are not called, the payout at maturity will be par if each index finishes at or above 60% of its initial level. If the return of either index is less than negative 40%, investors will be fully exposed to the decline of the lesser-performing index.
Goldman Sachs & Co. is the agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Callable quarterly range accrual notes
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $2 million
|
| Maturity: | Dec. 11, 2021
|
| Coupon: | 6.5% multiplied by proportion of days on which both indexes close at or above trigger level; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below the 60% trigger level, in which case 1% loss for every 1% decline of lesser-performing index from its initial level
|
| Call option: | At par on any interest payment date beginning March 11, 2015
|
| Initial levels: | 1,167.21 for Russell, 2,060.31 for S&P 500
|
| Trigger levels: | 700.326 for Russell, 1,236.186 for S&P 500, 60% of initial levels
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| Pricing date: | Dec. 8
|
| Settlement date: | Dec. 11
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 3.65%
|
| Cusip: | 38147QQ58
|
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