GS Finance plans range accrual notes linked to CMS rates, Russell 2000

By Angela McDaniels

Tacoma, Wash., Sept. 6 – GS Finance Corp. plans to price callable CMS spread and Russell 2000 index-linked range accrual notes due Sept. 30, 2031, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The interest rate will be 10% for the first year. After that, it will be the interest factor multiplied by the proportion of days on which the index closes at or above the barrier level, 75% of the initial index level. Interest will be payable quarterly.

The interest factor will be 15 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a maximum interest factor of 10% and a minimum of zero.

If the index return is greater than or equal to negative 50%, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline.

Beginning Sept. 30, 2017, the notes will be callable at par on any interest payment date.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price Sept. 28.

The Cusip number is 40054KJS6.

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