Goldman plans callable CMS spread-linked notes with barrier, cap

By Susanna Moon

Chicago, Aug. 14 – GS Finance Corp. plans to price callable CMS spread range accrual notes due in 13 to 15 months, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year, payable quarterly. After that, interest will accrue at an annual rate of 10 times the 30-year CMS rate over the two-year CMS rate, up to a maximum interest factor of 10%. 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.

If the CMS spread at least 60% of the initial level, the payout at maturity will be the maximum settlement amount of $1,110 for each $1,000 principal amount.

If the spread is less than 53.4% of the initial level, the payout will be par.

Otherwise, investors will lose will lose 1.667% for each 1% decline beyond 46.6%.

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the agent.

The Cusip number is 40054LPF5.

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