Goldman plans callable monthly range accrual notes on Russell, S&P

By Marisa Wong

Madison, Wis., Feb. 2 – Goldman Sachs Group, Inc. plans to price callable monthly index-linked range accrual notes due Feb. 27, 2019 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 5.25% multiplied by the proportion of days on which each index closes at or above 60% of its initial level. Interest will be payable monthly.

The notes will be callable at par plus accrued interest on any monthly interest payment date beginning Feb. 27, 2016.

If the notes are not called, the payout at maturity will be par if each index finishes at or above 60% of its initial level. If the index return of either index is less than negative 40%, investors will be fully exposed to the decline of the lesser-performing index.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price on Feb. 24 and settle on Feb. 27.

The Cusip number is 38147QT71.

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