By Wendy Van Sickle
Columbus, Ohio, Oct. 22 – GS Finance Corp. priced $1 million of callable range accrual securities due Oct. 21, 2036 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Euro Stoxx Banks index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will accrue at a rate of 11.6 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day that each index closes at or above the 70% accrual barrier, subject to a 12% cap and a 0% floor, payable quarterly.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless any index finishes below its 65% barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level.
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: | Callable range accrual securities
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| Underliers: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Euro Stoxx Banks index, S&P 500 index
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| Amount: | $1 million
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| Maturity: | Oct. 21, 2036
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| Coupon: | 11.6 times (30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate ) for each day each index closes above accrual barrier with cap of 12% and floor of 0%, payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level
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| Call option: | At par on any quarterly redemption date after one year
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| Initial levels: | 103.16 for Stoxx, 4,486.46 for S&P
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| Accrual barrier levels: | 70% of initial levels
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| Final barrier levels: | 65% of initial levels
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| Pricing date: | Oct. 18
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| Settlement date: | Oct. 21
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 4.75%
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| Cusip: | 40057JTD8
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