Goldman to price range accrual notes tied to CMS rates, Russell 2000

By Wendy Van Sickle

Columbus, Ohio, Nov. 6 – The Goldman Sachs Group, Inc. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due 2030, according to a 424B2 filed with the Securities and Exchange Commission.

The interest rate is 10% for the first year. After that, it will be the interest factor multiplied by the proportion of days on which the index closes at or above the barrier level, 60% of the initial index level. Interest is payable quarterly.

The interest factor is eight times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a maximum interest factor of 10% and a minimum of zero.

If the index return is greater than or equal to negative 50%, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline.

Beginning Nov. 30, 2016, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

The notes will price on Nov. 24 and settle on Nov. 30.

The Cusip number is 38148THY8.

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