GS Finance eyes autocallable contingent coupon notes on three indexes

By Sarah Lizee

Olympia, Wash., March 25 – GS Finance Corp. plans to price autocallable contingent coupon index-linked notes due Nov. 6, 2020 linked to 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.

The notes will pay a contingent quarterly coupon at an annual rate of between 9.25% and 10.25% if each index closes at or above the coupon trigger level, 70% of its initial level, on the review date for that quarter. The coupon rate will be determined at pricing.

Beginning in October and ending in July 2020, the notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any coupon observation date.

The payout at maturity will be par plus a coupon if neither index closes more than 30% below its initial value for the life of the notes.

The payout will also be par plus a coupon if either index has closed below 30% during the life of the notes, but both indexes close above their initial values.

If either index closed below 30% during the life of the notes and either index closes below its initial value, investors will be exposed to the losses of worse performing index, but investors will receive a coupon if both indexes still close above 70% of their initial levels.

Goldman Sachs & Co. is the agent.

The notes (Cusip: 40056F4U6) will price on April 30.

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