New Issue: Goldman prices $2.86 million 15-year callable monthly range accrual notes on S&P 500

By Toni Weeks

San Luis Obispo, Calif., April 1 – Goldman Sachs Group, Inc. priced $2.86 million of callable monthly S&P 500 index-linked range accrual notes due March 31, 2030, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at 7% for each day that the index closes at or above 70% of the initial index level. Interest is payable monthly.

The payout at maturity will be par if the index return is greater than or equal to negative 50%. Otherwise, investors will be fully exposed to the index decline from the initial index level.

The notes will be callable at par on any interest payment date beginning March 31, 2016.

Goldman Sachs & Co. is the underwriter.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Callable buffered monthly range accrual notes
Underlying index:	S&P 500
Amount:	$2,861,000
Maturity:	March 31, 2030
Coupon:	7% for each day that index closes at or above 70% coupon barrier level; payable monthly
Price:	Par
Payout at maturity:	Par if index return is at least negative 50%; otherwise, full exposure to index decline from initial index level
Call option:	At par on any interest payment date beginning March 31, 2016
Initial level:	2,061.02
Coupon barrier level:	1,442.714, 70% of initial level
Pricing date:	March 27
Settlement date:	March 31
Underwriter:	Goldman Sachs & Co.
Fees:	4.05%
Cusip:	38147QWM4

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