By Marisa Wong
Morgantown, W.Va., June 6 – GS Finance Corp. priced $25 million of additional 0% Large Cap Growth index-linked exchange-traded notes due April 3, 2028 based on the performance of the Russell 1000 Growth Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total issuance to $125 million. The issuer priced the original $50 million of notes at par on March 29, $25 million of reopened notes at 100.3632 on April 30 and a further $25 million of reopened notes at 107.7248 on May 17. The latest reopened notes were priced at 111.4668.
The notes are guaranteed by Goldman Sachs Group, Inc.
The notes initially have 2 times leverage and are rebalanced to roughly 2 times leverage both quarterly and in the event of a decline in the index level of 20% or more since the prior rebalancing date.
As a result, the actual leverage may be greater or less than 2 times between rebalancing dates, which could be postponed up to five trading days if a market disruption event occurs, potentially causing leverage to significantly exceed two, according to the pricing supplement.
Because the notes rebalance at least quarterly, investors are advised to closely monitor the performance of the index and the notes. If on a rebalancing date the index has declined since the last rebalancing date, investors should carefully consider redeeming or selling the notes, the issuer noted.
Due to the fee payable upon redemption and potential delays due to the minimum redemption amount and potential redemption postponements, selling the notes will have less risk as to timing and might pay more net of fees despite an offered price lower than the redemption value, according to the prospectus.
Payout at maturity
The payout at maturity per $100 principal amount of notes will be an amount in cash equal to the closing indicative note value on the final valuation date minus the settlement fee.
The closing indicative value was $100 at inception. On any valuation date after the initial date, the closing indicative value is (i) the asset position on that valuation date minus (ii) the financing level on that valuation date, subject to a minimum of zero.
The settlement fee is the product of 0.06% times the asset position on the final valuation date.
The asset position was $200, or the initial leverage factor of 2 times the face amount per note, on the initial valuation date. After that, the asset position is the sum of (i) the product of (a) the asset position on the immediately preceding valuation date times (b) the index performance factor on the current valuation date plus (ii) the rebalancing amount (if any) on the current valuation date.
The index performance factor is initially 1. On any valuation date other than the initial date, the factor is the quotient of (i) the closing level of the index on the current valuation date divided by (ii) the closing level of the index on the immediately preceding valuation date.
The financing level is initially $100. On any valuation date other than the initial valuation date, it is the sum of (i) the financing level on the immediately preceding valuation date plus (ii) the daily investor fee on the current valuation date plus (iii) the rebalancing fee (if any) on the current valuation date plus (iv) the rebalancing amount (if any) on the current valuation date.
The daily fee is initially zero. After inception, the fee is the sum of (i) a financing fee of Libor plus 81 basis points times the financing level on the prior rebalancing date plus (ii) an additional fee of 0.65% per year times 50% of the asset position on the prior trading day.
Rebalancing
The rebalancing fee is 0.06% times the absolute value of the rebalancing amount.
The rebalancing amount is zero on any valuation date that is not a rebalancing date. Otherwise, it represents the change in the exposure to the index as a result of any rebalancing event. On each rebalancing date, a rebalancing amount is added to or subtracted from the asset position and the financing level depending on the performance of the index since the preceding rebalancing date so that the leverage is reset to approximately 2.
Specifically, the rebalancing amount is calculated as the product of (i) the result of (a) the product of (1) 2 times (2) the closing indicative note value on the immediately preceding valuation date on which a loss rebalancing event occurs or the immediately preceding quarterly rebalancing calculation date (whichever is more recent) minus (b) the asset position on the immediately preceding valuation date on which a loss rebalancing event occurs or the immediately preceding quarterly rebalancing calculation date (whichever is more recent) times (ii) the quotient of (a) the closing level of the index on the current rebalancing date divided by (b) the closing level of the index on the immediately preceding valuation date on which a loss rebalancing event occurs or the immediately preceding quarterly rebalancing calculation date (whichever is more recent).
Early redemption
The notes are putable, subject to a minimum of 5,000 notes. The amount payable will be the closing indicative note value on the applicable redemption valuation date minus the 0.06% settlement fee.
The notes are also callable at any time. The amount payable will equal the closing indicative note value on the applicable redemption valuation date.
In addition, the notes will be automatically redeemed if the index has declined 30% or more since the last rebalancing date. The redemption amount will be (i) the product of (a) the asset position on the valuation date immediately preceding the automatic redemption event date times (b) the automatic redemption index performance factor minus (ii) the financing level on the automatic redemption event date, subject to a minimum of zero.
The notes are listed on the NYSE Arca under the symbol “FRLG.”
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: | Large Cap Growth index-linked ETNs
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| Underlying index: | Russell 1000 Growth Total Return index
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| Amount: | $125 million, increased from $50 million
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| Maturity: | April 3, 2028
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| Coupon: | 0%
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| Price: | Par of $100 for original $50 million, 100.3632 for $25 million reopened notes, 107.7248 for $25 million of reopened notes, 111.4668 for $25 million of reopened notes
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| Payout at maturity: | Closing indicative note value on the final valuation date minus the settlement fee
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| Closing indicative value: | $100 at inception; after that, (i) the asset position on that valuation date minus (ii) the financing level on that valuation date, subject to a minimum of zero
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| Settlement fee: | 0.06% times the asset position on the final valuation date or applicable redemption valuation date
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| Asset position: | $200 at inception; after that, the sum of (i) the product of (a) the asset position on the immediately preceding valuation date times (b) the index performance factor on the current valuation date plus (ii) the rebalancing amount (if any) on the current valuation date
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| Index performance: | 1 initially; after inception, the quotient of (i) the closing level of the index on the current valuation date divided by (ii) the closing level of the index on the immediately preceding valuation date
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| Financing level: | $100 initially; after that, the sum of (i) the financing level on the immediately preceding valuation date plus (ii) the daily investor fee on the current valuation date plus (iii) the rebalancing fee (if any) on the current valuation date plus (iv) the rebalancing amount (if any) on the current valuation date
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| Daily fee: | Initially zero; after inception, the sum of (i) a financing fee of Libor plus 81 bps times the financing level on the prior rebalancing date plus (ii) an additional fee of 0.65% per year times 50% of the asset position on the prior trading day
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| Rebalancing fee: | 0.06% times the absolute value of the rebalancing amount
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| Rebalancing amount: | Zero on any valuation date that is not a rebalancing date; otherwise, change in the exposure to the index as a result of any rebalancing event
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| Put option: | Subject to a minimum of 5,000 notes; amount payable will be the closing indicative note value on the applicable redemption valuation date minus the settlement fee
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| Call option: | At any time at the closing indicative note value on the applicable redemption valuation date
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| Automatic call: | If the index has declined 30% or more since the last rebalancing date, automatically at (i) the product of (a) the asset position on the valuation date immediately preceding the automatic redemption event date times (b) the automatic redemption index performance factor minus (ii) the financing level on the automatic redemption event date, subject to a minimum of zero
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| Inception date: | March 29
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| Pricing date: | March 29 for $50 million, April 30 for $25 million, May 17 for $25 million, June 1 for $25 million
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| Settlement date: | April 3 for $50 million, May 3 for $25 million, May 22 for $25 million, June 6 for $25 million
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 0.05%
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| Listing: | NYSE Arca: FRLG
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| Cusip: | 362273302
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