Published on 2/26/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance sells $8.05 million index-linked autocallables on Stoxx, MSCI Emerging Markets
By Wendy Van Sickle
Columbus, Ohio, Feb. 26 – GS Finance Corp. priced $8.05 million of 0% index-linked notes due Feb. 28, 2025 tied to the lesser performing of the Euro Stoxx 50 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
The notes will be called at par plus 9.5% a year if both indexes close above their call level on any semiannual call date after one year. The call level is equal to 100% of the initial level on the first call date and steps down by 150 basis points on each subsequent call date.
The payout at maturity will be par plus 47.5% if each index finishes at or above 88% of its initial level. If either index finishes below 88% of its initial level but neither index finishes below its 70% trigger level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the lesser performing index.
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: | Index-linked autocallable notes
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Underlying indexes: | Euro Stoxx 50, MSCI Emerging Markets
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Amount: | $8.05 million
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Maturity: | Feb. 28, 2025
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Coupon: | 0%
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Price: | Par of $1,000
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Call: | At par plus 9.5% annualized call premium if both indexes close above their call level on any semiannual call date after one year; call level is equal to 100% of the initial level on the first call date and steps down by 150 bps on each subsequent call date
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Payout at maturity: | Par plus 47.5% if each index finishes at or above 88% of its initial level; if either index finishes below 88% of its initial level but neither index finishes below 70% trigger level, par; otherwise, full exposure to decline of lesser performing index
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Initial levels: | 3,800.38 for Stoxx, 1,084.22 for MSCI Emerging Markets
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Pricing date: | Feb. 21
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Settlement date: | Feb. 28
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Agent: | Goldman, Sachs & Co. LLC
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Fees: | 2.35%
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Cusip: | 40056YJZ8
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