New Issue: Goldman prices $7.01 million callable range accrual notes tied to CMS rates, indexes

By Wendy Van Sickle

Columbus, Ohio, Oct. 3 – GS Finance Corp. priced $7.01 million of callable CMS spread range accrual notes due Sept. 30, 2031 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

Interest will be fixed at 8% for the first two years, payable quarterly. After that, interest will accrue at 20 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that each index closes at or above the coupon barrier level, 55% of the initial index level, up to a maximum rate of 8%. Interest will be payable quarterly and cannot be less than zero.

The notes will be callable at par on any interest payment date beginning in Sept. 30, 2017.

The payout at maturity will be par unless either index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses of lesser performing index.

Goldman Sachs & Co. is the agent.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Callable range accrual notes
Underliers:	30-year CMS rate, two-year CMS rate, S&P 500 index and Russell 2000 index
Amount:	$7,009,000
Maturity:	Sept. 30, 2031
Coupon:	Fixed at 8% for first two years; after that, 20 times spread of the 30-year CMS rate over the two-year CMS rate for each day that each index closes at or above the coupon barrier level, capped at 8% and with a floor of zero; payable quarterly
Price:	Varying prices
Payout at maturity:	Par unless either index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses of lesser performing index
Call option:	Beginning Sept. 30, 2017, callable at par on any quarterly redemption date
Initial index levels:	1,255.666 for Russell 2000 and 2,171.37 for S&P 500
Coupon barrier levels:	690.6163 for Russell and 1,194.2535 for S&P, 55% of initial levels
Trigger levels:	627.833 for Russell and 1,085.685 for S&P, 50% of initial levels
Pricing date:	Sept. 28
Settlement date:	Sept. 30
Agent:	Goldman Sachs & Co.
Fees:	5.05%
Cusip:	40054KK70

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