GS Finance plans contingent coupon autocallables on S&P, Russell

By Sarah Lizee

Olympia, Wash., March 25 – GS Finance Corp. plans to price autocallable contingent coupon notes due Oct. 23, 2020 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Goldman Sachs Group, Inc.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its barrier level, 70% of its initial level, on the observation date for that quarter. The contingent coupon rate is expected to be 5.75% to 6.75% per year and will be set at pricing.

Beginning in October, the notes will be automatically called at par if each index closes at or above its initial level on any quarterly determination date.

A trigger event will occur if on any day during the life of the notes either index falls by more than 30%.

If a trigger event has not occurred, the payout at maturity will be par.

If a trigger event has occurred but the final level of each index is greater than or equal to its initial level, the payout will be par.

If a trigger event has occurred and either index return is negative, investors will be fully exposed to the decline of the lesser performing index.

Goldman Sachs & Co. is the underwriter.

The notes will price April 16.

The Cusip number is 40056F4M4.

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