Goldman plans callable CMS spread range accrual notes tied to indexes

By Susanna Moon

Chicago, July 17 – GS Finance Corp. plans to price callable CMS spread range accrual notes due July 31, 2032 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 8% for the first year, payable quarterly. After that, interest will accrue at an annual rate of 20 times the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the barrier level, 50% of the initial level, up to a maximum interest factor of 8%. Interest is payable monthly and cannot be less than zero.

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

The payout at maturity will be par unless the index falls by more than 50%, in which case investors will be fully exposed to any losses.

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the agent.

The notes will price on July 27.

The Cusip number is 40054LKN3.

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