GS Finance plans callable range accrual notes on CMS rates, Russell

By Wendy Van Sickle

Columbus, Ohio, March 24 – GS Finance Corp. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due April 4, 2031, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The interest rate is 10% for the first year. After that, it will be the interest factor multiplied by the proportion of days on which the index closes at or above the barrier level, 75% of the initial index level. Interest is payable quarterly.

The interest factor is five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a maximum interest factor of 10% and a minimum of zero.

The payout at maturity will be par.

Beginning April 4, 2017, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

The notes will price on March 30 and settle on April 4.

The Cusip number is 40054K7A8.

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