Goldman plans contingent coupon autocallables linked to two indexes

By Toni Weeks

San Luis Obispo, Calif., June 10 – Goldman Sachs Group, Inc. plans to price autocallable contingent coupon notes due June 26, 2025 linked to the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annualized rate of 9.02% if each underlying index closes at or above its trigger level, 70% of its initial level, on the determination date for that quarter.

The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly determination date beginning in June 2016.

If the notes are not called and each index finishes at or above its 70% trigger level, the payout at maturity will be par plus the contingent coupon. If either index finishes below the trigger level but each index finishes at 50% of the initial level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the worst-performing index.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price June 12 and settle June 17.

The Cusip number is 38148T5J4.

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