By Angela McDaniels
Tacoma, Wash., July 29 – GS Finance Corp. priced $3.76 million of callable CMS spread and Russell 2000 index-linked range accrual notes due July 29, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The interest rate is 10% for the first year. After that, it will be the interest factor multiplied by the proportion of days on which the index closes at or above the index barrier level, 72.5% of the initial index level. Interest is payable quarterly.
The interest factor is 12 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a maximum interest factor of 10% and a minimum of zero.
If the index return is greater than or equal to negative 50%, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline.
Beginning July 29, 2017, the notes will be callable at par on any interest payment date.
Goldman Sachs & Co. is the underwriter.
Issuer: | GS Finance Corp.
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Guarantor: | Goldman Sachs Group, Inc.
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Issue: | Callable CMS spread and Russell 2000 index-linked range accrual notes
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Underliers: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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Amount: | $3,755,000
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Maturity: | July 29, 2031
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Coupon: | 10% for first year; after that, interest factor multiplied by proportion of days on which index closes at or above index barrier level; interest factor is 12 times spread of 30-year CMS rate over two-year CMS rate, subject to maximum interest factor of 10% and minimum of zero; payable quarterly
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Price: | Par
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Payout at maturity: | Par if index return is greater than or equal to negative 50%; otherwise, full exposure to index’s decline
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Call option: | At par on any interest payment date beginning July 29, 2017
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Initial index level: | 1,218.927
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Index barrier level: | 883.722075, 72.5% of initial level
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Trigger buffer level: | 609.4635, 50% of initial level
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Pricing date: | July 27
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Settlement date: | July 29
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Underwriter: | Goldman Sachs & Co.
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Fees: | 5.05%
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Cusip: | 40054KFH4
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