Goldman plans callable CMS spread range accrual notes tied to indexes

By Susanna Moon

Chicago, April 21 – GS Finance Corp. plans to price callable CMS spread and index-linked range accrual notes due April 27, 2032 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.

Interest will be 13% for the first six quarterly interest payment dates. After that, it will accrue at 9 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes at or above the 75% coupon barrier, up to a maximum interest factor of 10%. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par unless either index falls below the 65% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.

The notes will be callable at par on any interest payment date after one year.

Goldman Sachs Group, Inc. is the guarantor.

Goldman Sachs & Co. is the agent.

The notes will price on April 24 and settle on April 27.

The Cusip number is 40054L7G3.

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