Goldman Sachs plans contingent coupon autocallables linked to indexes

By Angela McDaniels

Tacoma, Wash., Sept. 9 – Goldman Sachs Group, Inc. plans to price autocallable contingent coupon notes due Sept. 24, 2029 linked to the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each index’s closing level is greater than or equal to 87.5% of its initial level on the coupon determination date for that quarter. For each $1,000 principal amount of notes, the contingent coupon will equal (i) the product of $20 times the number of determination dates that have occurred up to and including the relevant determination date minus (ii) the sum of all coupons previously paid, if any.

Beginning in September 2018, the notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any coupon determination date.

If the notes have not been called and the return of each index is greater than or equal to negative 12.5%, the payout maturity will be par plus the contingent coupon. If the return of each index is greater than or equal to negative 50% but the return of any index is less than negative 12.5%, the payout will be par. If the return of any index is less than negative 50%, investors will be fully exposed to the decline of the least performing index.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price Sept. 10 and settle Sept. 15.

The Cusip number is 38147QGM2.

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