By William Gullotti
Buffalo, N.Y., Feb. 25 – GS Finance Corp. priced $2.4 million of 0% bearish autocallable notes due Feb. 23, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at 107% of par if the index’s closing level has declined from the initial level by more than 20% on any day during the life of the notes.
At maturity, if the index decreases from its initial level by more than 20%, the payout will be par plus 7%.
If the final index level decreases from the initial index level by no more than 20%, the payout will be par plus 1% for every 1% that the index declines.
If the index gains, investors will lose 1% for every 1% increase of the index, capped at a maximum loss of 10%.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Bearish autocallable notes
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| Underlying index: | S&P 500
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| Amount: | $2.4 million
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| Maturity: | Feb. 23, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the final index level decreases from the initial index level by more than 20%, par plus 7%; if the index declines by up to 20%, par plus 1% for every 1% that the index declines; otherwise, lose 1% for every 1% of index gain, subject to a minimum payout of 90% of par
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| Call: | Automatically at 107% of par if index’s closing level has declined from initial level by more than 20% on any day during the life of the notes
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| Initial level: | 4,348.87
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| Pricing date: | Feb. 18
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| Settlement date: | Feb. 24
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 1.75%
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| Cusip: | 40057L7L9
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