New Issue: Goldman Sachs prices $1.7 million range accrual notes linked to Russell 2000, Libor

By Marisa Wong

Madison, Wis., July 9 – Goldman Sachs Group, Inc. priced $1.7 million of callable monthly range accrual notes due July 10, 2024 linked to the Russell 2000 index and six-month Libor, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 7.35% multiplied by the proportion of days on which the index closes at or above the barrier level, 75% of the initial index level, and six-month Libor is 6.5% or less. Interest is payable monthly.

The payout at maturity will be par if the index return is at least negative 35%. Investors will be fully exposed to losses from the initial level if the index finishes below the 65% trigger.

Beginning on July 10, 2015, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Callable monthly range accrual notes
Underlyings:	Russell 2000, six-month Libor
Amount:	$1.7 million
Maturity:	July 10, 2024
Coupon:	7.35% per year multiplied by proportion of days on which index closes at or above barrier level and six-month Libor is 6.5% or less; payable monthly
Price:	Par
Payout at maturity:	If index return is greater than or equal to negative 35%, par; otherwise, full exposure to index’s decline
Call option:	At par on any interest payment date from July 10, 2015 onward
Initial index level:	1,186.740
Barrier level:	890.055, 75% of initial level
Pricing date:	July 7
Settlement date:	July 10
Underwriter:	Goldman Sachs & Co.
Fees:	4.2%
Cusip:	38147QCD6

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