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Goldman plans range accrual notes linked to CMS rates, Russell 2000
By Susanna Moon
Chicago, July 7 – GS Finance Corp. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due July 29, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will accrue at 12 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the barrier level, 72.5% 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 50%, in which case investors will be fully exposed to any losses.
The notes will be callable at par on any interest payment date beginning July 29, 2017.
Goldman Sachs & Co. is the agent.
The notes will price on July 27 and settle on July 29.
The Cusip number is 40054KFH4.
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