Chicago, Nov. 13 – GS Finance Corp. priced $2 million of index-linked notes due Nov. 12, 2027 tied to the performance of 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.
Coupons
The notes may pay contingent monthly coupons based on the performance of the index on every trading day during that monthly observation period.
If the index stays above 92% of its initial level during the monthly observation period, the coupon will be based on an annualized 8.55% rate.
If the index goes below 92% of the initial level but stays above 87% of its initial level during the monthly observation period, the coupon will be based on an annualized 5.7% rate.
If the index goes below 87% of the initial level but stays above 82% of its initial level during the monthly observation period, the coupon will be based on an annualized 2.85% rate.
However, if the index dips below the 82% coupon threshold during a monthly observation period, the notes will not pay a contingent coupon. Further, no more coupon will be paid during the life of the notes.
Call
The notes will be automatically called in November 2024 if the index has closed above 92% of its initial value on every trading day from the trade date to the call date. This will mean that noteholders will also have received all of the 8.55% contingent coupons.
Maturity payout
The payout at maturity will be based on the performance of the index during the month immediately preceding the maturity date, i.e., the same observation period as the final contingent coupon.
The index return is defined as the closing level on Nov. 8, 2027.
If the index closes above 87% of the initial level on every trading day during the final month, investors will receive par plus one-third times $1,000 times 1.087 times the sum of index return plus an 8% buffer. This would result in a loss of up to 1.812% if the final level is below 92% of the initial index level.
If during that last month the index dips below 87% of the initial level but never goes below 82% of the initial level, the payout will be par plus the product of one-third times $1,000 times 1.1494 times the sum of the index return plus a 13% buffer plus the product of one-third times $1,000 times 1.1494 times the sum of the index return plus 13%. Investors could lose up to 5.539% if the final index level is below 89.43% in this scenario.
If the index falls below 82% on any trading day during that last month, the payout will be par plus the product of one-third times $1,000 times 1.087 times the sum of the index return plus an 8% buffer plus the product of one-third times $1,000 times approximately 1.1494 times the sum of the index return plus 13% plus the product of one-third times $1,000 times 1.2195 times the sum of the index return plus 18%.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
|
| Issue: | Index-linked notes
|
| Underlying index: | S&P 500 index
|
| Amount: | $2,000,000
|
| Maturity: | Nov. 12, 2027
|
| Coupon: | Variable; 8.55% annual rate, paid monthly if index stays above 92% of initial level during monthly observation period; 5.7% rate if index dips below 92% of initial level but stays above 87% of initial level during monthly observation period; 2.85% rate if index dips below 87% of initial level but stays above 82% of initial level during monthly observation period; 0% if index goes below 87% coupon threshold and then no more contingent coupons will be paid going forward
|
| Price: | Par
|
| Payout at maturity: | If the index closes above 87% of the initial level on every trading day during the final month, investors will receive par plus one-third times $1,000 times 1.087 times the sum of index return plus an 8% buffer; if during that last month the index dips below 87% of the initial level but never goes below 82% of the initial level, the payout will be par plus the product of one-third times $1,000 times 1.1494 times the sum of the index return plus a 13% buffer plus the product of one-third times $1,000 times 1.1494 times the sum of the index return plus 13%; if the index falls below 82% on any trading day during that last month, the payout will be par plus the product of one-third times $1,000 times 1.087 times the sum of the index return plus an 8% buffer plus the product of one-third times $1,000 times approximately 1.1494 times the sum of the index return plus 13% plus the product of one-third times $1,000 times 1.2195 times the sum of the index return plus 18%; index return is defined as closing level on Nov. 8, 2027
|
| Call: | On Nov. 6, 2024 if index closes above 92% of initial level on every trading day from trade date to call date, at par plus 8.55% coupon, some of which was previously paid
|
| Initial level: | 4,365.98
|
| Pricing date: | Nov. 6
|
| Settlement date: | Nov. 10
|
| Agent: | Goldman Sachs & Co. LLC
|
| Fees: | 0%
|
| Cusip: | 40057WY76
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