GS Finance eyes callable range accrual notes tied to CMS rates, indexes

By Sarah Lizee

Olympia, Wash., June 17 – GS Finance Corp. plans to price callable range accrual notes due June 28, 2034 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable quarterly and will be 10.5% for the first year. After that, interest, if any, will be paid based on (i) the number of days in the relevant interest period on which the closing level of each index is greater than or equal to 70% of its initial level and (ii) the applicable interest factor.

The interest factor for an interest period is the product of (i) 25 times (ii) the CMS spread on the second business day preceding the interest payment date occurring during that interest period, subject to a maximum interest factor of 10% and a minimum interest factor of 0%.

The notes will be callable at par on any quarterly redemption date after one year.

The payout at maturity will be par unless either index finishes below its 70% barrier level, in which case investors will be fully exposed to the decline of the worse performing index.

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

Goldman Sachs & Co. LLC is the agent.

The notes will price on June 25.

The Cusip number is 40056FPG4.

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