By Sarah Lizee
Olympia, Wash., Aug. 23 – GS Finance Corp. priced $24.89 million of 0% digital notes due Sept. 29, 2020 linked 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 swap rate finishes at or above its initial value or falls by up to 50%, the payout at maturity will be par plus the contingent digital return, 13.1%.
If the swap rate falls by more than 50%, investors will lose 1% for every 1% that the final rate is less than the initial rate.
J.P. Morgan Securities LLC is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Digital notes
|
| Underlying rate: | 10-year Constant Maturity Swap rate
|
| Amount: | $24,888,000
|
| Maturity: | Sept. 29, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the swap rate finishes at or above its initial value or falls by up to 50%, par plus 13.1%; if the swap rate falls by more than 50%, 1% loss for every 1% that the final rate is less than the initial rate
|
| Initial rate: | 1.45%
|
| Pricing date: | Aug. 21
|
| Settlement date: | Aug. 26
|
| Agent: | Goldman Sachs & Co. LLC
|
| Fees: | 1.1%
|
| Cusip: | 40056X5M4
|
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