By Kiku Steinfeld
Chicago, Nov. 2 – GS Finance Corp. priced $905,000 of 20.4% fixed coupon reverse range accrual notes due Feb. 28, 2024 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, according to a 424b2 filing with the Securities and Exchange Commission.
Interest will be paid on Feb. 28, 2023 and Feb. 28, 2024.
The payout at maturity will be par if the U.S. dollar SOFR ICE swap spread is greater than or equal to 0% on every business day during the downside observation period. The downside observation period begins on Feb. 24, 2023 and lasts until, but excludes, Feb. 26, 2024.
Otherwise, investors will be exposed to losses at a rate equal to the quotient of the number of dates the U.S. dollar SOFR ICE swap spread was less than 0% divided by the number of business dates during the downside observation period.
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.
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| Issue: | Fixed coupon reverse range accrual notes
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| Underlying rates: | 30-year U.S. dollar SOFR ICE Swap rate and two-year U.S. dollar SOFR ICE Swap rate
|
| Amount: | $905,000
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| Maturity: | Feb. 28, 2024
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| Coupon: | 20.4% per year, paid on Feb. 28, 2023 and Feb. 28, 2024
|
| Price: | Par
|
| Payout at maturity: | Par if U.S. dollar SOFR ICE swap spread is greater than or equal to 0% on every business day during downside observation period; otherwise, exposure to losses at a rate equal to the quotient of the number of dates the spread was less than 0% divided by the number of business dates during the downside observation period
|
| Downside observation period: | Starts Feb. 24, 2023 and lasts until, but excludes, Feb. 26, 2024
|
| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
|
| Agent: | Goldman Sachs & Co. LLC
|
| Fees: | 1%
|
| Cusip: | 40057L6H9
|
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