By Wendy Van Sickle
Columbus, Ohio, Feb. 28 – GS Finance Corp. priced $2.2 million of 0% digital rate-linked notes due March 29, 2021 tied to the 10-year constant maturity swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
If the rate return is greater than or equal to its initial level, the payout at maturity will be par plus 13.045%.
If the rate falls by up to 30%, the payout will be par.
If the rate return is below negative 30%, investors will lose 1.4286% for every 1% decline of the rate beyond 30%.
Goldman Sachs & Co. LLC is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Digital rate-linked notes
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| Underlying rate: | 10-year constant maturity swap rate
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| Amount: | $2.2 million
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| Maturity: | March 29, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If rate return is greater than or equal to initial level, par plus 13.045%; if rate falls by up to 30%, par; otherwise, 1.4286% loss for each 1% loss beyond 30%
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| Initial level: | 1.4227%
|
| Pricing date: | Feb. 21
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| Settlement date: | Feb. 26
|
| Underwriter: | Goldman, Sachs & Co. LLC
|
| Fees: | 1.35%
|
| Cusip: | 40056YKD5
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