Chicago, Nov. 13 – GS Finance Corp. priced $3 million of index-linked notes due Nov. 12, 2027 tied to the performance of the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Coupons
The notes may pay contingent monthly coupons based on the performance of the index on every trading day during that monthly observation period.
If the index stays above 95% of its initial level during the monthly observation period, the coupon will be based on an annualized 9.5% rate.
If the index goes below 95% of the initial level but stays above 90% of its initial level during the monthly observation period, the coupon will be based on an annualized 6.33% rate.
If the index goes below 90% of the initial level but stays above 85% of its initial level during the monthly observation period, the coupon will be based on an annualized 3.17% rate.
However, if the index dips below the 85% coupon threshold during a monthly observation period, the notes will not pay a contingent coupon. Further, no more coupon will be paid during the life of the notes.
Call
The notes will be automatically called in November 2024 if the index has closed above 95% of its initial value on every trading day from the trade date to the call date. This will mean that noteholders will also have received all of the 9.5% contingent coupons.
Maturity payout
The payout at maturity will be based on the performance of the index during the month immediately preceding the maturity date, i.e., the same observation period as the final contingent coupon.
The index return is defined as the closing level on Nov. 8, 2027.
If the index closes above 90% of the initial level on every trading day during the final month, investors will receive par plus one-third times $1,000 times 1.0526 times the sum of index return plus a 5% buffer. This would result in a loss of up to 1.754% if the final level is below 95% of the initial index level.
If during that last month the index dips below 90% of the initial level but never goes below 85% of the initial level, the payout will be par plus the product of one-third times $1,000 times 1.0526 times the sum of the index return plus a 5% buffer plus the product of one-third times $1,000 times 1.1111 times the sum of the index return plus 10%. Investors could lose up to 5.361% if the final index level is below 92.432% in this scenario.
If the index falls below 85% on any trading day during that last month, the payout will be par plus the product of one-third times $1,000 times 1.0526 times the sum of the index return plus a 5% buffer plus the product of one-third times $1,000 times approximately 1.1111 times the sum of the index return plus 10% plus the product of one-third times $1,000 times 1.1765 times the sum of the index return plus 15%.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Index-linked notes
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| Underlying index: | Nasdaq-100 index
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| Amount: | $3,000,000
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| Maturity: | Nov. 12, 2027
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| Coupon: | Variable; 9.5% annual rate, paid monthly if index stays above 95% of initial level during monthly observation period; 6.33% rate if index dips below 95% of initial level but stays above 90% of initial level during monthly observation period; 3.17% rate if index dips below 90% of initial level but stays above 85% of initial level during monthly observation period; 0% if index goes below 85% coupon threshold and then no more contingent coupons will be paid going forward
|
| Price: | Par
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| Payout at maturity: | If the index closes above 90% of the initial level on every trading day during the final month, investors will receive par plus one-third times $1,000 times 1.0526 times the sum of index return plus a 5% buffer; if during that last month the index dips below 90% of the initial level but never goes below 85% of the initial level, the payout will be par plus the product of one-third times $1,000 times 1.0526 times the sum of the index return plus a 5% buffer plus the product of one-third times $1,000 times 1.1111 times the sum of the index return plus 10%; if the index falls below 85% on any trading day during that last month, the payout will be par plus the product of one-third times $1,000 times 1.0526 times the sum of the index return plus a 5% buffer plus the product of one-third times $1,000 times approximately 1.1111 times the sum of the index return plus 10% plus the product of one-third times $1,000 times 1.1765 times the sum of the index return plus 15%
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| Call: | On Nov. 6, 2024 if index closes above 95% of initial level on every trading day from trade date to call date, at par plus 9.5% coupon, some of which was previously paid
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| Initial level: | 15,154.93
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| Pricing date: | Nov. 6
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| Settlement date: | Nov. 10
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 0%
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| Cusip: | 40057WY84
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