Published on 12/31/2019 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $4.03 million contingent income autocalls tied to indexes
By Sarah Lizee
Olympia, Wash., Dec. 31 – GS Finance Corp. priced $4.03 million of contingent income autocallable securities due June 23, 2023 linked to the worst performing of the Russell 2000 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent coupon at an annualized rate of 7.25% if each index closes above its coupon threshold, 80% of its initial level, on a quarterly observation date.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly determination date starting June 22, 2020.
The payout at maturity will be par unless any index finishes below its 65% downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
The notes are guaranteed by Morgan Stanley.
Goldman Sachs & Co. LLC is the agent. Morgan Stanley Wealth Management is the dealer.
| Issuer: | GS Finance Corp.
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| Issue: | Contingent income autocallable securities
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| Underlying assets: | Russell 2000 index, Nasdaq-100 index and S&P 500 index
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| Amount: | $4.03 million
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| Maturity: | June 23, 2023
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| Coupon: | 7.25% annually if each index closes above coupon threshold on a quarterly observation date
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly determination date starting June 22, 2020
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| Initial levels: | 3,221.22 for S&P, 1,671.902 for Russell and 8,678.491 for Nasdaq
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| Coupon thresholds: | 2,576.976 for S&P, 1,337.5216 for Russell and 6,942.7928 for Nasdaq, 80% of initial levels
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| Downside thresholds: | 2,093.793 for S&P, 1,086.7363 for Russell and 5,641.01915 for Nasdaq, 65% of initial levels
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 26
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| Underwriter: | Goldman Sachs & Co. LLC
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 2.75%
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| Cusip: | 40056XW77
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