Published on 6/23/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $1.44 million trigger absolute return step notes on index basket
By Kiku Steinfeld
Chicago, June 23 – GS Finance Corp. priced $1.44 million of 0% trigger absolute return step securities due June 17, 2025 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The basket consists of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.
If the final basket level is greater than or equal to the initial basket level, the payout at maturity will be par of $10 plus the greater of 26% and the basket return.
If the final basket level is less than the initial basket level and greater than or equal to the downside threshold level, 75% of the initial basket level, the payout will be par plus the absolute value of the basket return.
If the final basket level is less than the downside threshold level, investors will lose 1% for every 1% that the final basket level is less than the initial basket level.
Goldman Sachs & Co. LLC is the agent, and UBS Financial Services Inc. is the selling agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Trigger absolute return step securities
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| Underlying indexes: | Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei 225 (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight) and Hang Seng (5% weight)
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| Amount: | $1,441,150
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| Maturity: | June 17, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If final basket level is greater than or equal to initial basket level, par plus greater of 26% and basket return; if final basket level is less than initial basket level and greater than or equal to downside threshold level, par plus absolute value of basket return; if final basket level is less than downside threshold level, 1% loss for every 1% that final basket level is less than initial basket level
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| Initial levels: | 3,153.74 for Euro Stoxx, 6,105.18 for FTSE, 22,305.48 for Nikkei, 9,796.37 for Swiss Market, 5,847.813 for S&P/ASX and 24,301.38 for Hang Seng
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| Downside threshold: | 75% of initial basket level
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| Pricing date: | June 12
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| Settlement date: | June 17
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| Agent: | Goldman Sachs & Co. LLC
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| Selling agent: | UBS Financial Services Inc.
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| Fees: | 3.85%
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| Cusip: | 36259J431
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