Published on 12/17/2020 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $10 million callable CMS spread range accrual notes tied to S&P 500
By Wendy Van Sickle
Columbus, Ohio, Dec. 17 – GS Finance Corp. priced $10 million of callable CMS spread and index-linked range accrual notes due Dec. 16, 2035 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be fixed at 7% for the first four quarterly interest payment dates. After that, it will accrue at 7 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate for each day that the index closes at or above the 65% coupon barrier, up to a maximum rate of 7%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to the index’s losses.
The notes will be callable at par on any interest payment date beginning Dec. 16, 2021.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. is the agent.
| Issuer: | GS Finance Corp.
|
| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Callable CMS spread and index-linked range accrual notes
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| Underlying index: | S&P 500
|
| Amount: | $10 million
|
| Maturity: | Dec. 16, 2035
|
| Coupon: | 7% initially; beginning in March 2022, 7 times spread of 30-year CMS rate over the two-year CMS rate for each day that index closes at or above 65% coupon barrier, capped at 7%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless index falls by more than 50%, in which case full exposure to losses
|
| Call option: | At par on any interest payment date beginning Dec. 16, 2021
|
| Initial level: | 3,663.46
|
| Coupon barrier: | 2,381.249, 65% of initial level
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| Trigger level: | 1,831.73, 50% of initial level
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| Pricing date: | Dec. 11
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| Settlement date: | Dec. 16
|
| Agent: | Goldman Sachs & Co.
|
| Fees: | 1.7%
|
| Cusip: | 40057ETM9
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