By Taylor Fox
New York, Aug. 25 – GS Finance Corp. priced $2.1 million of 0% CMS spread-linked notes due Feb. 11, 2024, according to a 424B2 filing with the Securities and Exchange Commission.
If the spread of the 10-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least 0.92%, investors will receive at maturity par plus 10 times the spread minus 0.92%.
If the spread is less than 0.92%, investors will receive par plus 100 times the CMS spread minus 0.92% or the minimum settlement amount of $950 per $1,000 note, whichever is greater.
As of the pricing date, the CMS spread was 1.041%.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | CMS spread-linked notes
|
| Underlying rates: | 10-year Constant Maturity Swap and two-year CMS rate
|
| Amount: | $2.1 million
|
| Maturity: | Feb. 11, 2024
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final spread of 10-year Constant Maturity Swap rate over two-year Constant Maturity Swap rate is at least 0.92%, investors will receive 10 times the spread minus 0.92%; if the spread is less than 0.92% investors will receive the greater of $950 per note or par plus 100 times the CMS spread minus 0.92%
|
| Initial spread: | 1.041%
|
| Pricing date: | Feb. 8
|
| Settlement date: | Feb. 11
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.5%
|
| Cusip: | 40057FGF5
|
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