Goldman Sachs plans range accrual notes tied to S&P 500, Libor

By Toni Weeks

San Diego, June 17 - Goldman Sachs Group, Inc. plans to price callable quarterly range accrual notes linked to the S&P 500 index and the Libor rate, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature in 15 years.

The coupon will be 7.25% for the first three years. After that, interest will accrue at 7.25% per year multiplied by the proportion of days on which the index closes above the trigger level of 67.5% to 72.5% of the initial level and Libor is 6.5% or less. Interest is payable quarterly.

The exact terms will be set at pricing.

The payout at maturity will be par.

After two years, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

The Cusip is 38143UWD9.

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