New Issue: GS Finance prices $5.3 million callable range accrual notes linked to CMS rates, indexes

By Angela McDaniels

Tacoma, Wash., Sept. 20 – GS Finance Corp. priced $5.3 million of callable range accrual notes due Sept. 20, 2034 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 7% per year for the first 14 quarterly interest payment dates. After that, the interest rate will be the interest factor multiplied by the proportion of days on which each index closes at or above its barrier level, 65% of its initial level. The interest factor is 20 times the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum of zero and a maximum of 12% per year.

Beginning March 20, 2023, the notes will be callable at par quarterly.

The payout at maturity will be par unless any index finishes below its barrier level, in which case investors will lose 1% for every 1% that the worse-performing index declines from its initial level.

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the agent.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Callable range accrual notes
Underlying indexes:	S&P 500, Russell 2000 and Euro Stoxx 50
Amount:	$5.3 million
Maturity:	Sept. 20, 2034
Coupon:	7% per year for first 14 quarterly interest payment dates; after that, interest factor multiplied by proportion of days on which each index closes at or above barrier level; interest factor is 20 times spread of 30-year CMS rate over two-year CMS rate, subject to minimum of zero and maximum of 12% per year
Price:	Par
Payout at maturity:	Par unless any index finishes below barrier level, in which case 1% loss for every 1% that worse-performing index declines from initial level.
Call option:	At par quarterly beginning March 20, 2023
Initial levels:	3,521.26 for Euro Stoxx 50, 1,578.290 for Russell 2000 and 3,005.70 for S&P 500
Barrier levels:	2,288.819 for Euro Stoxx 50, 1,025.8885 for Russell 2000 and 1,953.705 for S&P 500, or 65% of initial levels
Pricing date:	Sept. 18
Settlement date:	Sept. 20
Underwriter:	Goldman Sachs & Co. LLC
Fees:	4.55%
Cusip:	40056XDL7

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