GS Finance plans autocallable absolute return notes linked to S&P 500

By Sarah Lizee

Olympia, Wash., May 6 – GS Finance Corp. plans to price 0% autocallable absolute return notes due May 13, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If, on any day during the life of the notes, the closing level of the underlier is less than 80% of the initial underlier level, the notes will be automatically called at par.

At maturity, if the final underlier level is greater than the initial underlier level, the payout will be par plus the index return, capped at par plus 5.5%.

If the final underlier level is equal to or less than the initial underlier level but greater than or equal to 80% of the initial underlier level, the payout will be par plus the absolute underlier return.

If the final underlier level is less than 80% of the initial underlier level, the payout will be par.

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the underwriter.

The notes will price on May 10.

The Cusip number is 40056FGC3.

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