Published on 2/6/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $9.85 million autocallable jump securities tied to three indexes
By Sarah Lizee
Olympia, Wash., Feb. 6 – GS Finance Corp. priced $9.85 million of 0% jump securities with autocallable feature due Feb. 5, 2025 linked to the worst performing of the S&P 500 index, Russell 2000 index and Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Goldman Sachs Group, Inc.
The notes will be called at par plus an annual premium of 14.25% if each index closes at or above its initial level on any quarterly call observation date beginning July 31.
The payout at maturity will be par plus 57% if each index finishes at or above its initial level. If the worst performing index declines by no more than 30%, the payout will be par. If the worst performing index finishes below its 70% downside threshold level, investors will be fully exposed to the decline.
Goldman Sachs & Co. LLC is the underwriter with Morgan Stanley Wealth Management as a dealer.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Jump securities with autocallable feature
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $9,846,400
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| Maturity: | Feb. 5, 2025
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 14.25% a year if each index closes above initial level on any quarterly review date beginning July 31
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus 57%; if worst performing index falls by up to downside threshold, par; otherwise, full exposure to loss of worst performing index
|
| Initial levels: | 3,225.52 for S&P, 1,614.061 for Russell and 3,640.91 for Stoxx
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| Downside thresholds: | 2,257.864 for S&P, 1,129.8427 for Russell and 2,548.637 for Stoxx; 70% of initial levels
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| Trade date: | Jan. 31
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| Settlement date: | Feb. 5
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| Agent: | Goldman Sachs & Co.
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| Dealer: | Morgan Stanley Wealth Management
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| Fees: | 3.85%
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| Cusip: | 36259H146
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