GS Finance plans trigger absolute return step notes tied to S&P 500

By Marisa Wong

Morgantown, W.Va., Nov. 30 – GS Finance Corp. plans to price 0% trigger absolute return step securities due Dec. 7, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par of $10 plus the greater of the step return and the index return. The step return is expected to be 28% to 29% and will be set at pricing.

If the final index level is less than the initial index level but greater than or equal to the downside threshold level, 70% of the initial index level, the payout will be par plus the absolute value of the index return.

If the final index level is less than the downside threshold level, investors will lose 1% for every 1% that the final index level is less than the initial index level.

Goldman, Sachs & Co. is the agent.

The notes will price on Dec. 2.

The Cusip number is 36251U343.

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