Published on 3/25/2021 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $6.5 million step-down trigger autocalls on EM index, Dow
Chicago, March 25 – GS Finance Corp. priced $6.5 million of 0% step-down trigger autocallable notes due Jan. 30, 2026 linked to the lesser performing of the MSCI Emerging Markets index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Starting Feb. 3, 2022, the notes will be automatically called at par of $10 plus a call premium of 9.55% per year if each index closes at or above its initial level on any annual observation date.
If the notes are not called and the final level of the worse performing index is greater than or equal to its step barrier, 80% of its initial level, investors will receive par plus a premium of 47.75%.
Investors will receive par if the worst performer finishes between 60% and 80% of its initial level.
Otherwise, investors will lose 1% for each 1% decline of the lesser-performing index from its initial level.
Goldman Sachs & Co. LLC and UBS Financial Services Inc. are the agents.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Step-down trigger autocallable notes
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| Underlying indexes: | MSCI Emerging Markets index and Dow Jones industrial average
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| Amount: | $6,500,000
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| Maturity: | Jan. 30, 2026
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If final level of the worse performing index is greater than or equal to its 80% step barrier, par plus a premium of 42.5%; par if worst performer finishes between 60% and 80% of its initial level; otherwise, 1% loss for each 1% decline of the lesser-performing index from its initial level
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| Call: | Starting Feb. 3, 2022, the notes will be automatically called at par of $10 plus a call premium of 9.55% per year if each index closes at or above its initial level on any annual observation date
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| Initial levels: | 1,371.42 for EM, 30,303.17 for S&P
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| Step barrier levels: | 1,097.14 for EM, 24,242.54 for S&P, 80% of initial levels
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| Downside thresholds: | 822.85 for EM, 18,181.90 for Dow; 60% of initial levels
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| Pricing date: | Feb. 1
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| Settlement date: | Feb. 3
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| Agents: | Goldman Sachs & Co. LLC and UBS Financial Services Inc.
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| Fees: | 0.3%
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| Cusip: | 36259U667
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