By Taylor Fox
New York, Feb. 22 – GS Finance Corp. priced $1.86 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 Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are callable at par quarterly after one year.
Interest will be fixed at 9% for the first year. After that, it will accrue at an annual rate equal to the interest factor, which is the product of 25 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 9% and a minimum interest factor of 0%.
Interest will be paid quarterly after the first year based on the calculated interest rate detailed above multiplied by the number of days each quarter that each index has closed above 70% 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 60% 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.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Callable CMS spread and index-linked range accrual notes
|
| Underlying indexes: | Euro Stoxx Banks index, the Russell 2000 index and the Nasdaq-100 index
|
| Amount: | $1,860,000
|
| Maturity: | Jan. 31, 2036
|
| Coupon: | Fixed at 9% for the first year; after that, product of 25 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 9% and a minimum interest factor of 0% payable quarterly based on how many days all indexes finish above 70% of their initial levels divided by the number of days in the accrual period
|
| Price: | Par
|
| Payout at maturity: | Par if each index finishes above final barrier level; otherwise, full exposure to the decline of the least performing index
|
| Call option: | At par on any interest payment date beginning after one year
|
| Initial levels: | 70.76 for Stoxx, 2,108.696 for Russell and 13,122.65 for Nasdaq
|
| Index barrier levels: | 49.532 for Stoxx, 1,476.0872 for Russell and 9,178.855 for Nasdaq, 70% of initial levels
|
| Trigger buffer levels: | 42.456 for Stoxx, 1,265.2176 for Russell and 7,867.59 for Nasdaq, 60% of initial levels
|
| Pricing date: | Jan. 27
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| Settlement date: | Jan. 29
|
| Agent: | Goldman Sachs & Co. LLC
|
| Fees: | 5.55%
|
| Cusip: | 40057F4W1
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