Published on 3/13/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $24.33 million trigger callable contingent yield notes on indexes
By Sarah Lizee
Olympia, Wash., March 13 – GS Finance Corp. priced $24.33 million trigger callable contingent yield notes due Dec. 14, 2022 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 12.55% 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: | $24,326,000
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| Maturity: | Dec. 14, 2022
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| Coupon: | 12.55% 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: | 2,972.37 for S&P, 1,449.221 for Russell, 2,959.07 for Stoxx
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| Coupon barriers: | 2,080.659 for S&P, 1,014.455 for Russell and 2,071.349 for Stoxx; 70% of initial levels
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| Downside thresholds: | 1,634.804 for S&P, 797.072 for Russell and 1,627.489 for Stoxx; 55% of initial levels
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| Pricing date: | March 9
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| Settlement date: | March 12
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| Agent: | UBS Financial Services Inc. and Goldman Sachs & Co. LLC
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| Fees: | 1.425%
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| Cusip: | 36259H682
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