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Goldman plans range accrual notes linked to CMS rates, Russell 2000
By Susanna Moon
Chicago, Aug. 2 – GS Finance Corp. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due Aug. 31, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will be fixed at 10% for the first year, payable quarterly. After that, 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 coupon barrier level, 75% 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 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 Aug. 31, 2017.
Goldman Sachs & Co. is the agent.
The notes will price on Aug. 29 and settle on Aug. 31.
The Cusip number is 40054KGZ3.
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