New Issue: Goldman Sachs prices $1 million range accrual notes linked to Russell 2000, Libor

By Marisa Wong

Madison, Wis., July 10 – Goldman Sachs Group, Inc. priced $1 million of callable quarterly range accrual notes due July 11, 2024 linked to the Russell 2000 index and Libor, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 6.7% multiplied by the proportion of days on which the index closes at or above the barrier level, 60% of the initial index level, and Libor is 6% or less. Interest is payable quarterly.

The payout at maturity will be par if the index return is at least negative 40%. Investors will be fully exposed to losses from the initial level if the index finishes below the 60% trigger.

Beginning on July 11, 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 quarterly range accrual notes
Underlyings:	Russell 2000, Libor
Amount:	$1 million
Maturity:	July 11, 2024
Coupon:	6.7% per year multiplied by proportion of days on which index closes at or above barrier level and Libor is 6% or less; payable quarterly
Price:	Par
Payout at maturity:	If index return is greater than or equal to negative 40%, par; otherwise, full exposure to index’s decline
Call option:	At par on any interest payment date from July 11, 2015 onward
Initial index level:	1,172.147
Barrier level:	703.2882, 60% of initial level
Pricing date:	July 8
Settlement date:	July 11
Underwriter:	Goldman Sachs & Co.
Fees:	3.35%
Cusip:	38147QBU9

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