New Issue: GS Finance prices $1.27 million callable range accrual notes on indexes, swap spread

By Wendy Van Sickle

Columbus, Ohio, June 6 – GS Finance Corp. priced $1.27 million of callable range accrual securities due June 2, 2042 contingent linked to the spread of the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate, the Dow Jones industrial average, the Euro Stoxx Banks index and 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.

Interest will be at a rate of 16% for the first year, then will accrue at 50 times the spread of 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate for each day each index closes above 60% of its initial level, subject to maximum of 16% per annum and floor of zero, payable quarterly.

The notes will be callable at par on any quarterly redemption date after one year.

The payout at maturity will be par plus any accrued interest unless any index finishes below 50% of its initial level, in which case investors will be fully exposed to the decline of the least-performing index.

Goldman Sachs & Co. LLC is the underwriter.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Callable range accrual securities
Underliers:	30-year U.S. dollar SOFR ICE swap rate minus two-year U.S. dollar SOFR ICE swap rate, Euro Stoxx Banks index, S&P 500 index, Dow Jones industrial average
Amount:	$1,273,000
Maturity:	June 2, 2042
Coupon:	16% for first year, then 50 times spread of 30-year U.S. dollar SOFR ICE swap rate minus two-year U.S. dollar SOFR ICE swap rate for each day each index closes above 60% of initial level, subject to maximum of 16% per annum and floor of zero; payable quarterly
Price:	Par
Payout at maturity:	Par plus any accrued interest unless any index finishes below 50% of initial level, in which case full exposure to decline of least-performing index
Call option:	At par on any quarterly redemption date after one year
Initial levels:	32,637.19 for Dow, 91.82 for Euro Stoxx Banks, 4,057.84 for S&P
Accrual barrier levels:	60% of initial levels
Pricing date:	May 26
Settlement date:	May 31
Underwriter:	Goldman Sachs & Co. LLC
Fees:	4.68%
Cusip:	40057M3B3

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