Published on 6/5/2023 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $1.5 million autocallable basket-linked notes on weighted index basket
By William Gullotti
Buffalo, N.Y., June 5 – GS Finance Corp. priced $1.5 million of 0% autocallable basket-linked notes due June 3, 2026 linked to a weighted index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 26% weight, the FTSE 100 index with a 17% weight, the Swiss Market index with a 12% weight and the S&P/ASX 200 index with a 9% weight.
The notes are guaranteed by Goldman Sachs Group, Inc.
The notes will be called automatically at par plus a 10.63% annualized call premium if the basket closes at or above its initial level on any annual valuation date.
If the basket return is zero or positive, the payout at maturity will be the greater of par plus 31.89% and par plus the basket return.
Investors will receive par if the basket falls by up to 10% and lose 1.1111% for every 1% of basket decline beyond 10%.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Autocallable basket-linked notes
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| Underlying indexes: | Euro Stoxx 50 index (36% weight), Topix index (26% weight), FTSE 100 index (17% weight), Swiss Market index (12% weight), S&P/ASX 200 index (9% weight)
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| Amount: | $1.5 million
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| Maturity: | June 3, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the basket finishes flat or positive, the greater of par plus 31.89% and par plus the basket return; if the basket falls by no more than 10%, par; otherwise, lose 1.1111% for each 1% that the basket declines beyond 10%
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| Call: | Automatically at par plus a 10.63% annualized call premium if the basket closes at or above its initial level on any annual valuation date
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| Initial levels: | 4,291.58 for Stoxx, 2,159.22 for Topix, 7,522.07 for FTSE, 11,282.45 for Swiss Market, 7,209.278 for S&P/ASX
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| Pricing date: | May 30
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| Settlement date: | June 6
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 2.25%
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| Cusip: | 40057RYB8
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