New Issue: GS Finance prices $1 million callable range accrual notes on indexes, CMS rate

By Wendy Van Sickle

Columbus, Ohio, Dec. 7 – GS Finance Corp. priced $1 million of callable range accrual securities due Aug. 19, 2036 contingent on the 30-year Constant Maturity Swap rate, the Russell 2000 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

Interest will accrue at the 30-year CMS rate plus 75 basis points for each day that each index closes at or above its 70% accrual barrier, subject to a 0% floor, payable quarterly.

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

The payout at maturity will be par plus any accrued interest.

Goldman Sachs & Co. LLC is the underwriter.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Callable range accrual securities
Underliers:	30-year Constant Maturity Swap rate, Nasdaq-100 index, S&P 500 index, Russell 2000 index
Amount:	$1 million
Maturity:	Aug. 19, 2036
Coupon:	30-year CMS rate plus 75 bps for each day each index closes above accrual barrier with floor of 0%, payable quarterly
Price:	Par
Payout at maturity:	Par plus any accrued interest
Call option:	At par on any quarterly redemption date after one year
Initial levels:	2,177.173 for Russell, 15,002.83 for Nasdaq, 4,448.08 for S&P
Accrual barrier levels:	70% of initial levels
Pricing date:	Aug. 17
Settlement date:	Aug. 19
Underwriter:	Goldman Sachs & Co. LLC
Fees:	2.75%
Cusip:	40057J7G5

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