Goldman plans callable quarterly fixed-to-floating range accrual notes on Russell, 10-year CMS rate

By Toni Weeks

San Luis Obispo, Calif., May 29 - Goldman Sachs Group, Inc. plans to price callable quarterly fixed-to-floating range accrual notes due June 6, 2024 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 7% for the first year. After that, the rate will be the applicable rate multiplied by the proportion of days that the index closes at or above 70% of the initial level. The applicable rate is the 10-year Constant Maturity Swap rate plus 155 basis points. Interest will be payable quarterly.

The payout at maturity will be par if the index finishes at or above 50% of the initial level. Otherwise, investors will share fully in losses from the initial level.

Beginning June 6, 2015, the notes will be callable at par on any interest payment date.

The notes (Cusip: 38147QFQ4) are expected to price June 3 and settle June 6.

Goldman Sachs & Co. is the underwriter.

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