Published on 12/30/2021 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $5.7 million step down trigger autocalls on S&P, Russell, Stoxx
By William Gullotti
Buffalo, N.Y., Dec. 30 – GS Finance Corp. priced $5.7 million of 0% step down trigger autocallable notes due Dec. 19, 2025 linked to the least performing of the Russell 2000 index, the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 9.72% if each index closes at or above its initial level on any quarterly observation date after one year.
If the notes are not called and each index finishes at or above its 75% step barrier, the payout at maturity will be par plus 38.88%. Otherwise, investors will be fully exposed to the decline of the worst performing index from its initial level.
The guarantor is Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the underwriter with UBS Financial Services Inc. as the selling agent.
| 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, Euro Stoxx 50 index, Russell 2000 index
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| Amount: | $5.7 million
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| Maturity: | Dec. 19, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above 75% step barrier, par plus 38.88%; otherwise, 1% loss for each 1% decline of worst performing index from initial level
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| Call: | At par plus 9.72% per year if each index closes at or above its initial level on any quarterly observation date after one year
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| Initial levels: | 4,668.67 for S&P, 4,201.87 for Stoxx, 2,152.455 for Russell
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| Step barrier: | 3,501.503 for S&P, 3,151.403 for Stoxx, 1,614.341 for Russell; 75% of initial levels
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| Downside thresholds: | 3,501.503 for S&P, 3,151.403 for Stoxx, 1,614.341 for Russell; 75% of initial levels
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| Pricing date: | Dec. 16
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| Settlement date: | Dec. 21
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| Agent: | Goldman Sachs & Co. LLC
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| Underwriter: | UBS Financial Services Inc.
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| Fees: | 1.5%
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| Cusip: | 36261Y392
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