Published on 7/3/2019 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $3.3 million callable range accrual notes on swap rates, indexes
By Sarah Lizee
Olympia, Wash., July 3 – GS Finance Corp. priced $3.3 million of callable range accrual notes due June 28, 2034 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will be payable quarterly and will be 10.6% for the first year. After that, interest, if any, will be paid based on (i) the number of days in the relevant interest period on which the closing level of each index is greater than or equal to 70% of its initial level and (ii) the applicable interest factor.
The interest factor for an interest period is the product of (i) 25 times (ii) the CMS spread on the second business day preceding the interest payment date occurring during that interest period, subject to a maximum interest factor of 10% and a minimum interest factor of 0%.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless either index finishes below its 70% barrier level, in which case investors will be fully exposed to the decline of the worse 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: | Callable range accrual notes
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $3.3 million
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| Maturity: | June 28, 2034
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| Coupon: | 10.6% for first year; after that, interest, if any, will be paid based on (i) the number of days in the relevant interest period on which the closing level of each index is greater than or equal to 70% of its initial level and (ii) the applicable interest factor; interest factor is the product of (i) 25 times (ii) the CMS spread, subject to a maximum interest factor of 10% and a minimum interest factor of 0%
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| Price: | Par
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| Payout at maturity: | If least-performing index finishes at or above final barrier level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
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| Call option: | At par on any interest payment date starting June 28, 2020
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| Initial levels: | 3,444.36 for Stoxx, 1,521.035 for Russell and 2,917.38 for S&P
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| Barrier levels: | 2,411.052 for Stoxx, 1,064.7245 for Russell and 2,042.166 for S&P; 70% of initial levels
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| Pricing date: | June 25
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| Settlement date: | June 28
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 5.55%
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| Cusip: | 40056FPG4
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