Goldman plans callable CMS spread range accrual notes tied to S&P 500

By Susanna Moon

Chicago, Aug. 25 – GS Finance Corp. plans to price callable CMS spread and index-linked range accrual notes due Sept. 5, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be fixed at 7% for the first year, payable quarterly. After that, it will accrue at 7.2 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 75% coupon barrier, up to a maximum rate of 10%. Interest will be payable quarterly and cannot be less than zero.

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

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

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the agent.

The notes will price on Aug. 31.

The Cusip number is 40054LPB4.

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