Published on 5/4/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $1.24 million step-down trigger autocalls on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, May 4 – GS Finance Corp. priced $1.24 million of 0% step-down trigger autocallable notes due April 30, 2025 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Starting May 3, 2021, the notes will be automatically called at par of $10 plus a call premium of 9.75% 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 $14.875 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 and Russell 2000 index
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| Amount: | $1,244,000
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| Maturity: | April 30, 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, $14.875 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 May 3, 2021, the notes will be automatically called at par of $10 plus a call premium of 9.75% per year if each index closes at or above its initial level on any quarterly observation date
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| Initial levels: | 2,863.39 for S&P and 1,298.083 for Russell
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| Downside thresholds: | 2,004.373 for S&P and 908.658 for Russell; 70% of initial levels
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| Pricing date: | April 28
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| Settlement date: | April 30
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| Agents: | Goldman Sachs & Co. LLC and UBS Financial Services Inc.
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| Fees: | 2.85%
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| Cusip: | 36259J159
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