GS Finance to price callable range accrual notes on CMS rates, Russell

By Devika Patel

Knoxville, Tenn., Feb. 3 – GS Finance Corp. plans to price callable range accrual notes due Feb. 28, 2031 linked to the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The coupon will be fixed at 10% for the first year. After that, interest will accrue at 9 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the barrier level, 60% of the initial index level, up to a maximum rate of 10%. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par unless the index falls by more than the 50% trigger level, in which case investors will be fully exposed to any losses.

The notes will be callable in whole but not in part at par on any interest payment date.

Goldman Sachs & Co. is the agent.

The notes (Cusip: 40054K2X3) will price on Feb. 25 and settle on Feb. 29.

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