Published on 3/26/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $20 million leveraged buffered notes tied to basket
By Wendy Van Sickle
Columbus, Ohio, March 26 – GS Finance Corp. priced $20 million of 0% leveraged buffered basket-linked notes due May 13, 2022 tied to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight.
The notes are guaranteed by Goldman Sachs Group, Inc.
If the basket return is positive, the payout at maturity will be par plus 1.24 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 1.25% 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: | Euro Stoxx 50 (36% weight), Topix (27% weight), FTSE 100 (19% weight), Swiss Market (10% weight) and S&P/ASX 200 (8% weight)
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Amount: | $20 million
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Maturity: | May 13, 2022
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Price: | Par
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Payout at maturity: | If the basket return is positive, par plus 1.24 times the basket return; if basket falls by up to 20%, par; 1.25% loss for every 1% decline in the basket beyond 20%
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Initial levels: | 2,485.54 for Euro Stoxx, 1,292.01 for Topix, 4,993.89 for FTSE, 8,160.79 for Swiss Market, 4,546.035 for S&P/ASX
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Buffer level: | 90% of initial basket level
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Pricing date: | March 23
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Settlement date: | March 30
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Underwriter: | Goldman Sachs & Co. LLC
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Fees: | 1.475%
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Cusip: | 40056YVR2
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