By Wendy Van Sickle
Columbus, Ohio, April 4 – GS Finance Corp. priced $3.01 million of callable range accrual notes due March 31, 2027 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.
The coupon will be fixed at 8% for the first year. After that, interest will accrue at 15 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above the barrier level, 60% of the initial index level, up to a maximum rate of 8%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless either index falls by more than the 50% trigger level, in which case investors will be fully exposed to any losses of the laggard index.
The notes will be callable at par on any interest payment date after one year.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group Inc.
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| Issue: | Callable range accrual notes
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| Underlying index: | S&P 500 and Russell 2000
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| Amount: | $3,096,000
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| Maturity: | March 31, 2027
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| Coupon: | Payable quarterly; 8% for a year, then 15 times the 30-year CMS rate minus the two-year CMS rate for each day each index closes above its barrier, subject to an 8% maximum and a floor of zero
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| Price: | Par
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| Call: | At par on any interest payment date after one year
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| Payout at maturity: | Par unless index falls below trigger level, in which case full exposure to the loss of the lesser performing index
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| Initial index levels: | 1,371.645 for Russell, 2,361.13 for S&P
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| Barrier levels: | 60% of initial levels
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| Trigger levels: | 50% of initial levels
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| Pricing date: | March 29
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| Settlement date: | March 31
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| Agents: | Goldman Sachs & Co.
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| Fees: | 4.95%
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| Cusip: | 40054KYS9
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