Published on 6/22/2021 in the Prospect News Structured Products Daily.
New Issue: Barclays sells $3.41 million contingent income callable securities on three indexes
By William Gullotti
Buffalo, N.Y., June 22 – GS Finance Corp. priced $3.41 million contingent income callable securities due June 16, 2026 linked to the worst performing of the Russell 2000 index, the Euro Stoxx 50 index and the Nasdaq-100 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will be guaranteed by Goldman Sachs Group, Inc.
Each quarter, the notes will pay a contingent coupon at an annual rate of 8.85% if each index closes at or above its coupon barrier level, 80% of its initial index level, on every trading day for that quarter.
After six months, the notes will be callable at par plus any coupon due on any quarterly payment date other than the final one.
If each index finishes at or above its downside threshold level, 75% of its initial index level, the payout at maturity will be par plus the final contingent coupon, if any. Otherwise, investors will lose 1% for each 1% decline of the least-performing index.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Russell 2000 index, Euro Stoxx 50 index, Nasdaq-100 index
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| Amount: | $3,408,000
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| Maturity: | June 16, 2026
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| Coupon: | 8.85% per year, payable quarterly if each index closes at or above coupon barrier on every trading day for that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus final contingent coupon; if final level of any index is less than downside threshold, full exposure to decline of lowest-performing index
|
| Call option: | At par plus any coupon on any quarterly determination date after six months
|
| Initial levels: | 2,335.808 for Russell, 4,126.7 for Stoxx, 13,998.3 for Nasdaq
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| Coupon barrier: | 1,868.6464 for Russell, 3,301.36 for Stoxx, 11,198.64 for Nasdaq; 80% of initial levels
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| Downside thresholds: | 1,751.856 for Russell, 3,095.025 for Stoxx, 10,498.725 for Nasdaq; 75% of initial levels
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| Pricing date: | June 11
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| Settlement date: | June 16
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 3%
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| Cusip: | 40057HL65
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