New Issue: Goldman prices $3.47 million callable monthly range accrual notes on Russell, Libor

By Marisa Wong

Madison, Wis., July 31 – Goldman Sachs Group, Inc. priced $3.47 million of callable monthly range accrual notes due July 31, 2029 linked to the Russell 2000 index and six-month Libor, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 7% multiplied by the proportion of days on which the index closes at or above the barrier level, 60% of the initial index level, and six-month Libor is 6% or less. Interest is payable monthly.

The payout at maturity will be par if the index return is at least negative 50%. Investors will be fully exposed to losses from the initial level if the index finishes below the 50% trigger.

Beginning on Oct. 31, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Callable monthly range accrual notes
Underlyings:	Russell 2000, six-month Libor
Amount:	$3,467,000
Maturity:	July 31, 2029
Coupon:	7% per year multiplied by proportion of days on which index closes at or above barrier level and six-month Libor is 6% or less; payable monthly
Price:	Par
Payout at maturity:	If index return is greater than or equal to negative 50%, par; otherwise, full exposure to index’s decline
Call option:	At par on any interest payment date from Oct. 31 onward
Initial index level:	1,139.502
Barrier level:	683.7012, 60% of initial level
Pricing date:	July 28
Settlement date:	July 31
Agent:	Goldman, Sachs & Co.
Fees:	4.85%
Cusip:	38147QCZ7

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