Goldman to price 10-year callable range accrual notes on S&P 500

By Toni Weeks

San Diego, Jan. 17 - Goldman Sachs Group, Inc. plans to price callable quarterly accrual notes tied to the S&P 500 index and six-month Libor, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature 10 years after issue.

Interest will accrue at 7.25% per year multiplied by the proportion of days on which the index closes above the trigger level of 75% to 77.5% of the initial level and the six-month Libor rate is 6% or less. The exact trigger level will be set at pricing. Interest is payable quarterly.

The payout at maturity will be par.

After one year, the notes (Cusip: 38143UM73) will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

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