Goldman Sachs plans range accrual notes linked to Russell 2000, Libor

By Angela McDaniels

Tacoma, Wash., May 4 – Goldman Sachs Group, Inc. plans to price callable quarterly range accrual notes due May 11, 2030 linked to Libor and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be the interest factor multiplied by the proportion of days on which the index closes at or above the barrier level, 75% of the initial index level, and Libor is less than or equal to the Libor cap. Interest will be payable quarterly.

The interest factor will be 7% for the first 20 interest payment dates, 7.25% for the next 20 interest payment dates and 7.75% for the final 20 interest payment dates.

The Libor cap will be 2.75% for the first 20 interest periods, 3.5% for the next 20 interest periods and 4.5% for the final 20 interest periods.

The payout at maturity will be par.

Beginning May 11, 2016, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price May 6 and settle May 11.

The Cusip number is 38148T2R9.

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