Goldman plans callable range accrual notes tied to CMS rates, Russell

By Susanna Moon

Chicago, Jan. 11 – GS Finance Corp. plans to price callable range accrual notes due Jan. 29, 2031 linked to the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year. After that, interest will accrue at 8 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, 50% 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 at par on any interest payment date after one year.

Goldman Sachs & Co. is the underwriter.

The notes will price on Jan. 26 and settle on Jan. 29.

The notes are guaranteed by Goldman Sachs Group, Inc.

The Cusip number is 40054CAS3.

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