New Issue: Goldman Sachs prices $8 million dual range accrual notes linked to S&P 500, CMT rate

By Angela McDaniels

Tacoma, Wash., May 15 - Goldman Sachs Group, Inc. priced $8 million of 0% dual range accrual notes due Sept. 28, 2009 linked to the S&P 500 index and the 10-year Constant Maturity U.S. Treasury (CMT) rate, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the accrual rate, which will equal 9% multiplied by the proportion of days during the life of the notes that both the S&P 500 and CMT rate are within their ranges.

For the index, the range is 1,282.071 to 1,520.269, inclusive. The lower and upper limits are 8.5% below and above the initial index level, respectively. For the CMT rate, the range is 3.3% to 4.75%, inclusive.

Goldman, Sachs & Co. is the underwriter.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Dual range accrual notes
Underlying basket:	S&P 500 index, 10-year Constant Maturity U.S. Treasury rate
Amount:	$8 million
Maturity:	Sept. 28, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus the accrual rate, which equals 9% multiplied by the proportion of days that both the S&P 500 and CMT rate are within their range limits
Initial index level:	1,401.17
Ranges:	1,282.071 to 1,520.269, inclusive, for S&P 500; 3.3% to 4.75%, inclusive, for CMT rate
Pricing date:	May 13
Settlement date:	May 28
Underwriter:	Goldman, Sachs & Co.
Fees:	0.1%

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