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GS Finance plans range accrual notes tied to CMS rates, Russell 2000
By Marisa Wong
Morgantown, W.Va., May 20 – GS Finance Corp. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due May 31, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Goldman Sachs Group, Inc.
Interest will be fixed at 8% for the first two years. After that, it will be 15 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 8%. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.
The notes will be callable at par on any interest payment date beginning in August 2018.
Goldman Sachs & Co. is the agent.
The notes will price on May 26 and settle on May 31.
The Cusip number is 40054KBZ8.
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