Published on 3/11/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $26.51 million trigger callable contingent yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 11 – GS Finance Corp. priced $26.51 million trigger callable contingent yield notes due Dec. 7, 2023 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 11.14% per year if each index’s closing level is at or above its coupon barrier level, 70% of its initial level, on every day that quarter.
The notes will be callable at par plus any coupon on each quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its 55% downside threshold, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
The notes are guaranteed by Goldman Sachs Group, Inc.
UBS Financial Services Inc. and Goldman Sachs & Co. LLC are the agents.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Trigger callable contingent yield securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000, S&P 500
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| Amount: | $26,507,000
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| Maturity: | Dec. 7, 2023
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| Coupon: | 11.14% per year, payable each quarter that each index closes at or above its coupon barrier on every day that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | At par plus any coupon on any quarterly observation date other than final one
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| Initial levels: | 3,338.83 for Stoxx, 1,518.491 for Russell, 3,090.23 for S&P
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| Coupon barriers: | 2,337.1813 for Stoxx, 1,062.944 for Russell, 2,163.131 for S&P; 70% of initial levels
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| Downside thresholds: | 1,836.357 for Stoxx, 835.17 for Russell, 1,699.27 for S&P; 55% of initial levels
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| Pricing date: | March 3
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| Settlement date: | March 5
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| Agent: | UBS Financial Services Inc. and Goldman Sachs & Co. LLC
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| Fees: | 1.25%
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| Cusip: | 36259H609
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