By Sarah Lizee
Olympia, Wash., Oct. 3 – GS Finance Corp. priced $5 million of callable CMS spread and index-linked range accrual notes due Sept. 25, 2024 linked to the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are callable at par after one year.
Interest will be fixed at 7% for the first year. After that, it will accrue at an annual rate equal to the interest factor, which is the product of 25 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate on the related observation date, subject to a maximum interest factor of 12% and a minimum interest factor of 0%.
The payout at maturity will be par if each index finishes above 65% of its initial level.
Otherwise, investors will be fully exposed to the decline of the least performing index.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. is the agent.
Issuer: | GS Finance Corp.
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Guarantor: | Goldman Sachs Group, Inc.
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Issue: | Callable CMS spread and index-linked range accrual notes
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Underlying indexes: | Euro Stoxx 50, Russell 2000, S&P 500
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Amount: | $5 million
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Maturity: | Sept. 25, 2024
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Coupon: | Fixed at 7% for the first year; after that, product of 25 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate on the related observation date, subject to a maximum interest factor of 12% and a minimum interest factor of 0%
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Price: | Par
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Payout at maturity: | Par if each index finishes above 65% of its initial level; otherwise full exposure to the decline of the least performing index
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Call option: | At par on any interest payment date beginning after one year
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Initial level: | 3,571.39 for Stoxx, 1,559.765 for Russell and 2,992.07 for S&P
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Pricing date: | Sept. 20
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Settlement date: | Sept. 25
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Agent: | Goldman Sachs & Co.
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Fees: | 2.85%
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Cusip: | 40056XDU7
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