Business Context and Reporting Period
This 8-K filing serves as a Distribution Report for PPLUS Trust Series GSC-2, a trust issued by Merrill Lynch Depositor Inc. The reporting period covers the distribution date of August 15, 2025. The trust holds 6.345% Capital Securities due 2034 issued by Goldman Sachs Capital I as underlying assets and utilizes an interest rate swap agreement with Merrill Lynch International to manage interest rate exposure.
Key Financial Metrics
| Metric | Value |
|---|---|
| Aggregate Principal Balance | $35,000,000 |
| Underlying Security Interest Received | $1,110,375.00 |
| Swap Agreement Interest Received | $486,393.52 |
| Net Distribution to Holders (Interest) | $486,393.52 |
| Net Payment to Swap Counterparty | $623,981.48 |
| Principal Repayment | $0.00 |
| Trustee Compensation | $0.00 |
| Unpaid Accrued Interest | $0.00 |
Material Changes and Structure
The filing details the cash flow mechanics for the period. The trust received $1,110,375.00 in interest from the underlying Goldman Sachs Capital I securities. Through the interest rate swap, the trust received $486,393.52 in net interest payments. Consequently, the total distributable interest to certificate holders was $486,393.52. The remaining interest received from the underlying securities was netted against the swap obligation, resulting in a net payment of $623,981.48 to Merrill Lynch International. There were no principal repayments or reductions in the principal balance during this period.
Outlook, Risks, and Ratings
The filing provides current ratings and rates as of the distribution date but does not contain forward-looking guidance or management commentary regarding future market conditions.
- Credit Ratings: Standard & Poor's assigned a BB+ rating. Moody's Investor Service rating is listed as N/A.
- Interest Rates: The underlying securities carry a fixed rate of 6.345%. The swap agreement has a notional amount of $35,000,000 with a current interest rate of 3.00%.
- Liquidity: The filing indicates no unpaid accrued interest and no principal reductions, suggesting stable liquidity for the distribution date.
Investor Verification Checklist
- Verify the BB+ credit rating from Standard & Poor's and confirm if any rating actions have occurred since August 15, 2025.
- Confirm the 3.00% swap rate remains fixed or if it is subject to adjustment in future periods.
- Review the Goldman Sachs Capital I underlying securities for any credit events or changes in the 6.345% coupon status.
- Validate that the $486,393.52 distribution aligns with the expected yield based on the net interest spread between the underlying asset and the swap.