By Kiku Steinfeld
Chicago, March 8 – GS Finance Corp. priced $500,000 of index-linked range accrual notes due Nov. 28, 2037 linked to the U.S. dollar SOFR ICE swap spread and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The U.S. Dollar SOFR ICE swap spread is the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate.
The notes are guaranteed by Goldman Sachs Group, Inc.
For the first two years, interest will be 9.1% annually, payable quarterly on the relevant quarterly interest payment date.
After that, interest will be based on (i) the number of days in the relevant quarterly period on which the closing level of the index is greater than or equal to 50% of the initial index level and (ii) the applicable interest factor. The interest factor for the quarterly period will be the product of 50 times the U.S. dollar SOFR ICE swap spread, subject to a maximum rate of 9.1% and a minimum rate of 0%. Interest will be paid quarterly.
The payout at maturity will be par plus any accrued interest for the final quarterly period.
Goldman Sachs & Co. LLC is the underwriter.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Index-linked range accrual notes
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| Underliers: | 30-year U.S. dollar SOFR ICE swap rate, two-year U.S. dollar SOFR ICE swap rate, S&P 500 index
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| Amount: | $500,000
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| Maturity: | Nov. 28, 2037
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| Coupon: | 9.1% annually for first two years; after that, 50 times U.S. Dollar SOFR ICE swap spread (30-year U.S. dollar SOFR ICE swap rate minus two-year U.S. dollar SOFR ICE swap rate) for each day in quarterly period that index closes at or above barrier level, subject to maximum rate of 9.1% with floor of 0%; payable quarterly
|
| Price: | Par
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| Payout at maturity: | Par plus any accrued interest for the final quarterly period
|
| Initial level: | 4,027.26
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| Accrual barrier level: | 50% of initial level
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| Pricing date: | Nov. 23, 2022
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| Settlement date: | Nov. 28, 2022
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 5%
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| Cusip: | 40057NZK6
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