Published on 2/5/2021 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $5 million trigger callable contingent yield notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Feb. 5 – GS Finance Corp. priced $5 million trigger callable contingent yield notes due Jan. 21, 2027 linked to the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Each quarter, the notes will pay a contingent coupon at the rate of 8% per year if each asset closes at or above its coupon barrier price, 68% of the initial price, on the determination date that quarter.
The notes will be callable at par plus any coupon on any coupon payment date prior to maturity.
If the notes are not called and each asset finishes at or above 50% of its initial price, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% that the least-performing asset finishes below its initial price.
Goldman Sachs & Co. LLC is the underwriter with UBS Financial Services Inc. as selling agent.
| 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 assets: | Euro Stoxx 50 index, Russell 2000 index and iShares MSCI Emerging Markets ETF
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| Amount: | $5 million
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| Maturity: | Jan. 21, 2027
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| Coupon: | 8% per year, payable each quarter that each asset closes at or above its coupon barrier on determination date that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each asset finishes at or above downside threshold, par; otherwise, 1% loss for every 1% that least-performing asset finishes below its initial price
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| Call option: | At par plus any coupon on any coupon payment date prior to maturity
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| Initial prices: | 3,641.37 for Stoxx, 2,155.349 for Russell, $55.13 for ETF
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| Coupon barriers: | 2,476.132 for Stoxx, 1,465.637 for Russell, $37.488 for ETF; 68% of initial prices
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| Downside thresholds: | 1,820.685 for Stoxx, 1,077.675 for Russell, $27.565 for ETF; 50% of initial prices
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| Pricing date: | Jan. 15
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| Settlement date: | Jan. 21
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| Underwriter: | Goldman Sachs & Co. LLC with UBS Financial Services Inc. as selling agent
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| Fees: | 2.375%
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| Cusip: | 36259U469
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