By William Gullotti
Buffalo, N.Y., Nov. 29 – GS Finance Corp. priced $7.18 million of 12.191% fixed coupon reverse range accrual notes due Nov. 29, 2023 linked to the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate, according to a 424b2 filing with the Securities and Exchange Commission.
Interest will be paid annually.
The payout at maturity will be par if the CMS spread is greater than or equal to 0% on every business day during the downside observation period. The downside observation period begins on, and includes, Nov. 29, 2022 and lasts until, but excludes, Nov. 29, 2023.
Otherwise, investors will be exposed to losses at a rate equal to the quotient of the number of dates the CMS spread was less than 0% divided by the number of business dates during the downside observation period.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Fixed coupon reverse range accrual notes
|
| Underlying rates: | 30-year Constant Maturity Swap, two-year CMS rate; CMS spread is the 30-year rate minus the two-year rate
|
| Amount: | $7,182,000
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| Maturity: | Nov. 29, 2023
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| Coupon: | 12.191% per year, paid annually
|
| Price: | Par
|
| Payout at maturity: | Par if CMS spread on every business day during downside observation period is greater than or equal to 0%; otherwise, investors will be exposed to losses at a rate equal to the quotient of the number of dates the CMS spread was less than 0% divided by the number of business dates during the downside observation period
|
| Downside observation period: | Starting Nov. 29, 2022 up to, but excluding, Nov. 29, 2023
|
| Pricing date: | Nov. 23
|
| Settlement date: | Nov. 29
|
| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 0.75%
|
| Cusip: | 40057K7D9
|
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