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

By Susanna Moon

Chicago, April 5 – GS Finance Corp. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due April 29, 2031, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The coupon will be fixed at 10% for the first year. After that, interest will be 8 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 index barrier level, 62.5% of the initial index 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 finishes below the 50% 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 beginning April 29, 2017.

Goldman Sachs & Co. is the underwriter.

The notes will price on April 27 and settle on April 29.

The Cusip number is 40054KA48.

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