Goldman plans callable range accrual notes tied to Russell, CMS rates

By Susanna Moon

Chicago, Oct. 14 – Goldman Sachs Group, Inc. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due Oct. 30, 2030, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be 10% per year for the first year. After that, it will accrue at 10 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 67.5% index barrier level, up to a maximum rate of 10%. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par unless the index falls below the 60% 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.

Goldman Sachs & Co. is the underwriter.

The notes will price on Oct. 27 and settle on Oct. 30.

The Cusip number is 38148T3E7.

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