Published on 7/1/2022 in the Prospect News Structured Products Daily.
New Issue: GS Finance prices $1.21 million callable range accrual notes on indexes, swap spread
By Wendy Van Sickle
Columbus, Ohio, July 1 – GS Finance Corp. priced $1.21 million of callable range accrual securities due June 27, 2037 contingent linked to the spread of the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate, the Dow Jones industrial average, the Euro Stoxx Banks index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Goldman Sachs Group, Inc.
Interest will be at a rate of 13.25% for the first two years, then will accrue at 50 times the spread of 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate for each day each index closes above 60% of its initial level, subject to maximum of 13.25% per annum and floor of zero, payable quarterly.
The notes will be callable at par on any quarterly redemption date after two years.
The payout at maturity will be par plus any accrued interest unless any index finishes below 60% of its initial level, in which case investors will be fully exposed to the decline of the least-performing index.
Goldman Sachs & Co. LLC is the underwriter.
Issuer: | GS Finance Corp.
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Guarantor: | Goldman Sachs Group, Inc.
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Issue: | Callable range accrual securities
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Underliers: | 30-year U.S. dollar SOFR ICE swap rate minus two-year U.S. dollar SOFR ICE swap rate, Euro Stoxx Banks index, S&P 500 index, Dow Jones industrial average
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Amount: | $1.21 million
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Maturity: | June 27, 2037
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Coupon: | 13.25% for first two years, then 50 times spread of 30-year U.S. dollar SOFR ICE swap rate minus two-year U.S. dollar SOFR ICE swap rate for each day each index closes above 60% of initial level, subject to maximum of 13.25% per annum and floor of zero; payable quarterly
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Price: | Par
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Payout at maturity: | Par plus any accrued interest unless any index finishes below 60% of initial level, in which case full exposure to decline of least-performing index
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Call option: | At par on any quarterly redemption date after two years
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Initial levels: | 30,677.36 for Dow, 82.4 for Euro Stoxx Banks, 3,795.73 for S&P
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Accrual barrier levels: | 60% of initial levels
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Pricing date: | June 23
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Settlement date: | June 27
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Underwriter: | Goldman Sachs & Co. LLC
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Fees: | 4.5%
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Cusip: | 40057MH69
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