By William Gullotti
Buffalo, N.Y., Aug. 27 – GS Finance Corp. priced $5 million of callable CMS spread and index-linked range accrual notes due Jan. 31, 2036 linked to the Euro Stoxx Banks index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are callable at par quarterly after Nov. 25, 2024.
Interest will accrue at an annual rate equal to the interest factor, which is the product of 20 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 7.6% for the first 13 interest periods and 12% until maturity. The minimum interest factor is 0% for the life of the notes.
Interest will be paid quarterly based on the calculated interest rate detailed above multiplied by the number of days each quarter that each index has closed above 65% of its initial level divided by the number of days in the interest accrual period.
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. LLC 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 Banks index, Russell 2000 index, S&P 500 index
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| Amount: | $5,000,000
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| Maturity: | Jan. 31, 2036
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| Coupon: | Product of 20 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 7.6% for the first 13 interest periods and 12% until maturity as well as a minimum interest factor of 0%, payable quarterly based on how many days all indexes finish above 65% of their initial levels divided by the number of days in the accrual period
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| Price: | Par
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| Payout at maturity: | Par if each index finishes above final barrier level; otherwise, full exposure to the decline of the least performing index from its initial level
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| Call option: | At par on any interest payment date beginning Nov. 25, 2024
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| Initial levels: | 94.66 for Stoxx, 2,167.6 for Russell and 4,441.67 for S&P
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| Index barrier levels: | 65% of initial levels
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| Trigger buffer levels: | 65% of initial levels
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| Strike date: | Aug. 20
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| Pricing date: | Aug. 23
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| Settlement date: | Aug. 25
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 5%
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| Cusip: | 40057JCC8
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