By William Gullotti
Buffalo, N.Y., June 21 – GS Finance Corp. priced $2.39 million of callable contingent coupon index-linked notes due Dec. 23, 2024 tied to the S&P 500 Volatility Plus Daily Risk Control index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The notes will pay a contingent monthly coupon at an annual rate of 10% if the index closes at or above the coupon trigger level, 75% of the initial level, on the valuation date for that period. Previously unpaid coupons, if any, will be automatically included whenever a coupon is paid.
After one year, the notes will be callable at the option of the issuer on any quarterly valuation date at par plus any coupon otherwise due.
If the notes are not called and the index finishes at or above its coupon trigger, the payout at maturity will be par plus the final coupon.
If the index finishes below its coupon trigger but at or above 70% of initial value, the payout will be par. Otherwise, investors will be fully exposed to the index’s decline from its initial level.
Goldman Sachs & Co. LLC is the agent.
Issuer: | GS Finance Corp.
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Guarantor: | Goldman Sachs Group, Inc.
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Issue: | Callable contingent coupon index-linked notes
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Underlying index: | S&P 500 Volatility Plus Daily Risk Control index
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Amount: | $2,394,000
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Maturity: | Dec. 23, 2024
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Coupon: | 10% annualized rate, payable monthly if the index closes at or above coupon trigger level, on valuation date for that period; coupon payment events will automatically include any previously unpaid coupons
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Price: | Par
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Payout at maturity: | If the index finishes at or above coupon trigger level, par plus the final coupon; if index finishes below coupon trigger but at or above trigger buffer level, par; otherwise, investors will lose 1% for every 1% index decline from initial level
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Call: | At par plus any coupon due on any quarterly review date after one year
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Initial index level: | 3,383.44
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Trigger buffer level: | 70% of initial level
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Coupon trigger level: | 75% of initial level
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Pricing date: | June 15
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Settlement date: | June 21
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Agent: | Goldman Sachs & Co. LLC
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Fees: | 0.875%
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Cusip: | 40057TB29
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