Published on 3/18/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $10 million step-down trigger autocalls on indexes
By Sarah Lizee
Olympia, Wash., March 18 – GS Finance Corp. priced $10 million of 0% step-down trigger autocallable notes due March 13, 2025 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Starting March 11, 2021, the notes will be automatically called at par of $10 plus a call premium of 12.9% per year if each index closes at or above its initial level on any quarterly observation date.
If the notes are not called and the final level of the worse performing index is greater than or equal to its downside threshold, 70% of its initial level, the payout will be $16.45 per $10 note. Otherwise, investors will lose 1% for each 1% decline of the lesser-performing index from its initial level.
Goldman Sachs & Co. LLC and UBS Financial Services Inc. are the agents.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Step-down trigger autocallable notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $10 million
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| Maturity: | March 13, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If final level of the worse performing index is greater than or equal to its downside threshold, $16.45 per $10 note; otherwise, 1% loss for each 1% decline of the lesser-performing index from its initial level
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| Call: | Starting March 11, 2021, the notes will be automatically called at par of $10 plus a call premium of 12.9% per year if each index closes at or above its initial level on any quarterly observation date
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| Initial levels: | 2,746.56 for S&P, 1,313.440 for Russell and 2,910.02 for Stoxx
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| Downside thresholds: | 1,922.592 for S&P, 919.408 for Russell and 2,037.014 for Stoxx; 70% of initial levels
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| Pricing date: | March 11
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| Settlement date: | March 16
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| Agents: | Goldman Sachs & Co. LLC and UBS Financial Services Inc.
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| Fees: | 0.3%
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| Cusip: | 36259H708
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