By Marisa Wong
Morgantown, W.Va., Aug. 3 – Goldman Sachs Group, Inc. priced $1.66 million of 0% notes due Oct. 3, 2017 linked to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the final 10-year CMS rate is at least 65% of the initial rate, the payout at maturity will be $1,097.50 for each $1,000 principal amount.
If the final rate is less than 65% of the initial rate, the payout will be (a) par times the final rate level divided by 65% of the initial level plus (b) 9.75%.
As a result, if the final rate is less than 58.6625% of the initial rate, the return on the notes will be negative.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Notes
|
| Underlying rate: | 10-year Constant Maturity Swap rate
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| Amount: | $1.66 million
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| Maturity: | Oct. 3, 2017
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If final 10-year CMS rate is at or above threshold level, $1,097.50 for each $1,000 principal amount; otherwise, (a) par times the final rate level divided by 65% of the initial level plus (b) 9.75%
|
| Initial reference rate: | 1.455%
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| Threshold level: | 0.94575%, 65% of initial reference rate
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| Pricing date: | July 27
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| Settlement date: | Aug. 3
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 1%
|
| Cusip: | 38148TND7
|
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