By Cady Vishniac
Detroit, Dec. 11 – GS Finance Corp. priced $1.59 million of autocallable contingent coupon index-linked notes due June 13, 2022 tied to the lesser performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 5.15% if each index closes above its 50% coupon barrier on the related observation date.
The notes will be called at par plus a contingent coupon if each index closes at or above its initial level on any quarterly call observation date.
If any index closes for the day below 50% of its initial level, a trigger event will have occurred. If no trigger event has occurred, payout at maturity will be par plus a coupon.
If a trigger event has occurred but the return of each index is greater than or equal to zero, the payout will also be par plus a coupon.
If a trigger event has occurred and the index return of any index is negative, the payout will be par minus the return of the least-performing index, plus a coupon if all indexes close above their trigger levels.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the underwriter.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Autocallable contingent coupon notes
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
|
| Amount: | $1,589,000
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| Maturity: | June 13, 2022
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| Coupon: | 5.15%, payable quarterly if each index closes above its 50% coupon barrier on the related observation date
|
| Price: | Par
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| Payout at maturity: | If no index has closed below 50% of its initial level, par plus a coupon; if an index has closed below 50% of its initial level but all indexes’ final levels are greater than or equal to their initial levels, par plus a coupon; if any index has closed below 50% of its initial level and the final level of any index is below its initial level, full exposure to the losses of the least-performing index plus a coupon; if any index has closed below 50% and the final level of any index is below 50%, full exposure to the losses of the least-performing index
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| Call: | Automatically at par plus contingent coupon if each index closes at or above its initial level on any quarterly call observation date
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| Initial index levels: | 12,528.48 for Nasdaq, 1,892.449 for Russell and 3,699.12 for S&P
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| Coupon trigger levels: | 50% of initial levels
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| Trigger buffer levels: | 50% of initial levels
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| Pricing date: | Dec. 4
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| Settlement date: | Dec. 9
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 0.55%
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| Cusip: | 40057ETE7
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