Published on 3/19/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $4.75 million autocallable jump securities tied to three indexes
By Kiku Steinfeld
Chicago, March 19 – GS Finance Corp. priced $4.75 million of 0% jump securities with autocallable feature due March 14, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the 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 10.1% if each index closes at or above its initial level on any quarterly call observation date after one year.
The payout at maturity will be par plus 30.3% if each index finishes at or above its initial level. If the worst performing index declines by no more than 40%, the payout will be par. If the worst performing index finishes below its 60% downside threshold level, investors will be fully exposed to the decline.
Goldman Sachs & Co. 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: | $4,750,000
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| Maturity: | March 14, 2023
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 10.1% a year if each index closes above initial level on any quarterly review date after a year
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| Payout at maturity: | If each index finishes at or above downside threshold, par 30.3%, if worst performing index falls by up to 40%, par; otherwise, full exposure to loss of worst performing index
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| Initial levels: | 2,746.56 for S&P, 1,313.440 for Russell and 2,959.07 for Stoxx
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| Downside thresholds: | 1,647.936 for S&P, 788.064 for Russell and 1,775.442 for Stoxx; 60% of initial levels
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| Pricing date: | March 9
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| Settlement date: | March 12
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| Agent: | Goldman Sachs & Co. with Morgan Stanley Wealth Management handling distribution
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| Fees: | 3.175%
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| Cusip: | 36259H658
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