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Goldman plans callable range accrual notes tied to CMS rates, Russell
By Susanna Moon
Chicago, Aug. 2 – GS Finance Corp. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due Aug. 31, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will be fixed at 8% for the first two years, payable quarterly. After that, interest will accrue at 15 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the coupon barrier level, 65% of the initial index level, up to a maximum rate of 8%. Interest will be payable quarterly and cannot be less than zero.
The notes will be callable at par on any interest payment date beginning Aug. 31, 2017.
The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.
Goldman Sachs & Co. is the agent.
The notes will price on Aug. 29 and settle on Aug. 31.
The Cusip number is 40054KGY6.
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