GS Finance plans range accrual notes linked to CMS rates, Russell, S&P

By Angela McDaniels

Tacoma, Wash., Oct. 4 – GS Finance Corp. plans to price callable CMS spread and index-linked range accrual notes due Oct. 31, 2031 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Goldman Sachs Group, Inc.

The interest rate will be 8% for the first two years. After that, it will be the interest factor multiplied by the proportion of days on which both indexes close at or above their barrier levels, 60% of their initial index levels. Interest will be payable quarterly.

The interest factor will be 20 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a maximum interest factor of 8% and a minimum of zero.

If the return of each index is greater than or equal to negative 50%, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the lesser-performing index.

Beginning Oct. 31, 2017, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price Oct. 27.

The Cusip number is 40054KLP9.

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