Goldman Sachs to price callable range accrual notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 1 - Goldman Sachs Group, Inc. plans to price 15-year callable quarterly index-linked range accrual notes tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 7% for the first year. After that, the interest rate will be 7% per year multiplied by the proportion of days on which the index closes above the trigger level, which is expected to be 75% to 80% of the initial level. Interest will be payable quarterly.

The payout at maturity will be par.

Beginning in February 2012, the notes will be callable at par on any interest payment date.

The exact terms for the notes (Cusip: 38143URH6) will be set at pricing.

Goldman Sachs & Co. is the underwriter.

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