Goldman plans 15-year range accrual notes on six-month Libor, S&P 500

By Marisa Wong

Madison, Wis., Feb. 12 - Goldman Sachs Group, Inc. plans to price callable monthly range accrual notes linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature in 15 years.

The interest rate will be the applicable rate multiplied by the proportion of days on which the index closes above the 75% index trigger level and six-month Libor is 6% or less. The applicable rate will be 8% for the first 60 months, 9% for the next 60 months and 10% for the final 60 months. Interest will be payable monthly.

The payout at maturity will be par unless the index return is less than negative 50%, in which case the payout will be par plus the index return with full exposure to losses.

After one year, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

The exact deal terms will be set at pricing.

The Cusip number is 38141GNN0.

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