Goldman Sachs plans range accrual notes linked to Russell, S&P

By Toni Weeks

San Luis Obispo, Calif., May 7 – Goldman Sachs Group, Inc. plans to price callable monthly range accrual notes due May 22, 2030 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will equal the applicable rate multiplied by the proportion of days on which each index closes at or above its trigger level, 50% of its initial level. The applicable rate is 7% for the first five years, 8% for the next five years and 9% for the final five years. Interest will be payable monthly.

The payout at maturity will be par if the return of each index is at least negative 50%. If the return of either index is less than negative 50%, investors will receive par plus the return of the worst-performing index, with full exposure to losses.

Beginning May 22, 2016, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price May 19 and settle May 22.

The Cusip number is 38148T3A5.

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