Published on 3/17/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $1.43 million leveraged buffered notes tied to basket
By Sarah Lizee
Olympia, Wash., March 17 – GS Finance Corp. priced $1.43 million of 0% leveraged buffered basket-linked notes due March 13, 2025 tied to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index (50% weight), Euro Stoxx 50 index (18% weight), Topix index (13.5% weight), FTSE 100 index (10% weight), Swiss Market index (4.5% weight) and S&P/ASX 200 index (4% weight).
The notes are guaranteed by Goldman Sachs Group, Inc.
If the basket return is positive, the payout at maturity will be par plus 1.4 times the basket return.
If the basket return is zero or negative but not less than negative 20%, the payout will be par.
Investors will lose 1% for every 1% decline in the basket beyond 20%.
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: | Leveraged buffered basket-linked notes
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| Underlying basket: | S&P 500 index (50% weight), Euro Stoxx 50 index (18% weight), Topix index (13.5% weight), FTSE 100 index (10% weight), Swiss Market index (4.5% weight) and S&P/ASX 200 index (4% weight)
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| Amount: | $1,425,000
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| Maturity: | March 13, 2025
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| Price: | Par
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| Payout at maturity: | If the basket return is positive, par plus 1.4 times the basket return; if basket falls by up to 20%, par; 1% loss for every 1% decline in the basket beyond 20%
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| Initial levels: | 2,882.23 for S&P, 2,910.02 for Stoxx, 1,406.68 for Topix, 5,960.23 for FTSE, 9,195.93 for Swiss, 5,939.646 for S&P/ASX
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| Buffer level: | 80% of initial basket level
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| Pricing date: | March 10
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| Settlement date: | March 13
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 1.225%
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| Cusip: | 40056YNB6
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